Lecturer
BCom(Otago), MBus(Otago)
Office OBS 3.28
Tel +64 3 473 5450
Email sebastian.gehricke@otago.ac.nz
Sebastian joined the Otago team full-time as a Lecturer in June 2018. Before then, he was already part of the department as a PhD student and casual Lecturer/Tutor. He has also done some paid and volunteer financial consulting during his PhD.
Teaching
Current:
- FINC 204: Personal Finance
- FINC 206: Corporate Finance
Past:
- FINC 102: Business Mathematics
- FINC 306: Derivatives
- FINC 405: Mathematical Finance
Research Interests
Dr. Gehricke is researching in Derivatives, Climate Finance, Responsible Investing and Financial Literacy.
Masters Supervision
Current
- Tian Yue, SSE 50 ETF Options, US PhD in Finance, Mar 2014 – present.
- Wei Guo, SPX and SPY Options, PhD in Finance, April 2018 – present.
- Connor Stuart, FXA options, Master of Finance
- Jansson Ford, ESG investment performance, Master of Finance
- Jack Wynne, Do ETF flows increase implied volatility, Master of Finance
Completed
- Jianhui Li, How do US option traders smirk on China: evidence from FXI options market, Master of Business in Finance, 2018.
Publications
Gehricke, S. A., & Zhang, J. E. (2019). The implied volatility smirk in the VXX options market. Applied Economics. Advance online publication. doi: 10.1080/00036846.2019.1646402
Li, J., Gehricke, S. A., & Zhang, J. E. (2019). How do US options traders “smirk” on China? Evidence from FXI options. Journal of Futures Markets. Advance online publication. doi: 10.1002/fut.22005
Diaz-Rainey, I., Gehricke, S., Roberts, H., & Zhang, R. (2019). Trump vs. Paris: The impact of climate policy and climate risk on US listed oil and gas firm valuation. Proceedings of the 13th Otago Energy Research Centre (OERC) and Otago Climate Change Network (OCCENT) Energy & Climate Change Symposium. (pp. 11). Retrieved from https://www.otago.ac.nz/oerc
Gehricke, S. A., & Zhang, J. E. (2018). Modeling VXX. Journal of Futures Markets, 38(8), 958-976. doi: 10.1002/fut.21913
Li, J., Gehricke, S., & Zhang, J. E. (2018). How do US option traders "smirk" on China: Evidence from FXI options market. Proceedings of the Auckland Centre for Financial Research 8th New Zealand Finance Meeting (NZFM). Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz
Journal - Research Article
Gehricke, S. A., & Zhang, J. E. (2019). The implied volatility smirk in the VXX options market. Applied Economics. Advance online publication. doi: 10.1080/00036846.2019.1646402
Li, J., Gehricke, S. A., & Zhang, J. E. (2019). How do US options traders “smirk” on China? Evidence from FXI options. Journal of Futures Markets. Advance online publication. doi: 10.1002/fut.22005
Gehricke, S. A., & Zhang, J. E. (2018). Modeling VXX. Journal of Futures Markets, 38(8), 958-976. doi: 10.1002/fut.21913
Conference Contribution - Published proceedings: Full paper
Li, J., Gehricke, S., & Zhang, J. E. (2018). How do US option traders "smirk" on China: Evidence from FXI options market. Proceedings of the Auckland Centre for Financial Research 8th New Zealand Finance Meeting (NZFM). Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz
Gehricke, S. A., & Zhang, J. E. (2018). Modeling VXX under jump diffusion with stochastic long-term mean. Proceedings of the Auckland Centre for Financial Research 8th New Zealand Finance Meeting (NZFM). Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz
Gehricke, S. A., & Zhang, J. E. (2018). The implied volatility smirk in the VXX options market. Proceedings of the Auckland Centre for Financial Research 8th New Zealand Finance Meeting (NZFM). Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz
Gehricke, S. A., & Zhang, J. E. (2016). Modeling VXX. Proceedings of the New Zealand Finance Colloquium. Retrieved from http://www.nzfc.ac.nz/archives/2016/schedule/
Conference Contribution - Published proceedings: Abstract
Diaz-Rainey, I., Gehricke, S., Roberts, H., & Zhang, R. (2019). Trump vs. Paris: The impact of climate policy and climate risk on US listed oil and gas firm valuation. Proceedings of the 13th Otago Energy Research Centre (OERC) and Otago Climate Change Network (OCCENT) Energy & Climate Change Symposium. (pp. 11). Retrieved from https://www.otago.ac.nz/oerc
Awarded Doctoral Degree
Gehricke, S. A. (2018). VIX futures ETNs and their derivatives (PhD). University of Otago, Dunedin, New Zealand. Retrieved from https://ourarchive.otago.ac.nz/handle/10523/8446
