Pakorn (Beam) Aschakulporn, Our staff, Department of Accountancy & Finance | University of Otago

Beam Aschakulporn 2022 image Lecturer in Finance
BE(Hons)(Cant) BSc DipGrad MFinc PhD(Otago)

Tel +64 3 479 5626
Email pakorn.aschakulporn@otago.ac.nz
Office OBS 5.15

Pakorn (Beam) Aschakulporn joined the Department of Accountancy and Finance as a Finance Lecturer in 2022. He is a member of the department's Postgraduate Committee and AKO (Learning and Teaching) Committee.

Beam is the deputy director of the Derivatives and Quantitative Finance Group and the organiser of the semiannual department’s PhD Workshop and Postgraduate Seminars.

Beam's primary research area lies in derivatives and quantitative finance, a field in which he earned his PhD. Under the supervision of Professor Jin E. Zhang, his “PhD thesis [was] formally recognised by the Division of Commerce as being of exceptional quality”.

Teaching

Current

FINC 102 Business Mathematics
FINC 306 Derivatives

Past

BSNS 114 Financial Decision Making
FINC 204 Personal Finance

Supervision

Current

Doctor of Philosophy

Tianjiao Li
Ruizi Hu
Wen Xu
Weihan Li

Master of Finance

Mohan Zhang
Darcy Hunter
Vincent Mooney
Duncan Roff

Completed

Master of Finance

Ben Wilkinson
Jasper Struwig

Summer Research Scholarship

Arrian Ryan
Jasper Struwig
Andre Castaing

Publications

Xu, W., Aschakulporn, P., & Zhang, J. E. (2026). The economic value of forecasting and strategy gains in volatility timing. Finance Research Letters, 99(109831). doi: 10.1016/j.frl.2026.109831 Journal - Research Article

Aschakulporn, P., & Zhang, J. E. (2026). Option-pricing formulas with skewness and kurtosis. Review of Derivatives Research, 29, 2. doi: 10.1007/s11147-025-09224-5 Journal - Research Article

Li, T., Aschakulporn, P., & Zhang, J. E. (2025). VIX term structure and future realized volatility. Applied Economics. Advance online publication. doi: 10.1080/00036846.2025.2601895 Journal - Research Article

Xu, W., Aschakulporn, P., & Zhang, J. E. (2025). Modeling and forecasting the CBOE VIX with the TVP-HAR model. Journal of Forecasting. Advance online publication. doi: 10.1002/for.3260 Journal - Research Article

Lin, W., Aschakulporn, P., Ye, Y., & Zhang, J. E. (2025). Skewness and option prices under stochastic volatility models: The role of shot-noise jumps. European Journal of Finance, 31(8), 990-1017. doi: 10.1080/1351847X.2025.2453750 Journal - Research Article

2026

Journal - Research Article

Xu, W., Aschakulporn, P., & Zhang, J. E. (2026). The economic value of forecasting and strategy gains in volatility timing. Finance Research Letters, 99(109831). doi: 10.1016/j.frl.2026.109831

Aschakulporn, P., & Zhang, J. E. (2026). Option-pricing formulas with skewness and kurtosis. Review of Derivatives Research, 29, 2. doi: 10.1007/s11147-025-09224-5

2025

Journal - Research Article

Li, T., Aschakulporn, P., & Zhang, J. E. (2025). VIX term structure and future realized volatility. Applied Economics. Advance online publication. doi: 10.1080/00036846.2025.2601895

Xu, W., Aschakulporn, P., & Zhang, J. E. (2025). Modeling and forecasting the CBOE VIX with the TVP-HAR model. Journal of Forecasting. Advance online publication. doi: 10.1002/for.3260

Lin, W., Aschakulporn, P., Ye, Y., & Zhang, J. E. (2025). Skewness and option prices under stochastic volatility models: The role of shot-noise jumps. European Journal of Finance, 31(8), 990-1017. doi: 10.1080/1351847X.2025.2453750

2024

Journal - Research Article

Aschakulporn, P., & Zhang, J. E. (2024). The Edgeworth and Gram-Charlier densities. International Journal of Theoretical & Applied Finance, 27(5-6), 2450020. doi: 10.1142/s0219024924500201

Xu, W., Aschakulporn, P., & Zhang, J. E. (2024). Heterogeneous volatility information content for the realized GARCH modeling and forecasting volatility. Studies in Nonlinear Dynamics & Econometrics. Advance online publication. doi: 10.1515/snde-2024-0013

Li, W., Zhang, J. E., Ruan, X., & Aschakulporn, P. (2024). An empirical study on the early exercise premium of American options: Evidence from OEX and XEO options. Journal of Futures Markets, 44, 1117-1153. doi: 10.1002/fut.22508

2023

Conference Contribution - Published proceedings: Full paper

Gehricke, S. A., Aschakulporn, P., Suleman, T., & Wilkinson, B. (2023). The effect of divestment from ESG exchange traded funds. Proceedings of the 12th Annual New Zealand Finance Meeting (NZFM). Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz

Gehricke, S. A., Aschakulporn, P., Suleman, T., & Wilkinson, B. (2023). The effect of divestment from ESG Exchange Traded Funds. Proceedings of the 6th Annual Global Research Alliance for Sustainable Finance and Investment (GRASFI) Conference. Retrieved from https://sustainablefinancealliance.org/

Li, W., Zhang, J. E., Ruan, X., & Aschakulporn, P. (2023). An empirical study on the early exercise premium of American options: Evidence from OEX and XEO options. Proceedings of the Annual Derivative Markets Conference. Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz/

Conference Contribution - Verbal presentation and other Conference outputs

Gehricke, S., Aschakulporn, P., Suleman, T., & Wilkinson, B. (2023, November-December). The effect of divestment from ESG exchange traded funds. Verbal presentation at the 4th Climate and Energy Finance Group (CEFGroup) Sustainable Finance and Accounting Symposium, Dunedin, New Zealand.

Aschakulporn, P. (2023, February). The Edgeworth and Gram-Charlier densities. Verbal presentation at the New Zealand Finance Colloquium, Wellington, New Zealand.

2022

Journal - Research Article

Aschakulporn, P., & Zhang, J. E. (2022). Bakshi, Kapadia, and Madan (2003) risk‐neutral moment estimators: A Gram–Charlier density approach. Review of Derivatives Research, 25, 233-281. doi: 10.1007/s11147-022-09187-x

Aschakulporn, P., & Zhang, J. E. (2022). Bakshi, Kapadia, and Madan (2003) risk‐neutral moment estimators: An affine jump‐diffusion approach. Journal of Futures Markets, 42(3), 365-388. doi: 10.1002/fut.22280

Conference Contribution - Published proceedings: Full paper

Struwig, J., Aschakulporn, P., & Zhang, J. E. (2022). The implied volatility smirk of pharmaceutical options during the COVID-19 pandemic. Proceedings of the 11th Annual New Zealand Finance Meeting (NZFM). Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz

Conference Contribution - Verbal presentation and other Conference outputs

Aschakulporn, P. (2022, February). Bakshi, Kapadia, and Madan (2003) risk‐neutral moment estimators: A Gram‐Charlier density approach. Verbal presentation at the New Zealand Finance Colloquium, [Online].

Awarded Doctoral Degree

Aschakulporn, P. (2022). Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators (PhD). University of Otago, Dunedin, New Zealand. Retrieved from http://hdl.handle.net/10523/13663

2021

Journal - Research Article

Aschakulporn, P., & Zhang, J. E. (2021). New Zealand whole milk powder options. Accounting & Finance, 61, 2201-2246. doi: 10.1111/acfi.12660

Conference Contribution - Verbal presentation and other Conference outputs

Aschakulporn, P. (2021, December). Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: An affine jump-diffusion approach. Verbal presentation at the 10th International Futures and Derivatives Conference, [Online].

2020

Conference Contribution - Verbal presentation and other Conference outputs

Aschakulporn, P. (2020, December). Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: A Gram-Charlier density approach. Verbal presentation at the 9th International Futures and Derivatives Conference, [Online].

2019

Conference Contribution - Published proceedings: Full paper

Aschakulporn, P., & Zhang, J. E. (2019). Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators. Proceedings of the 9th Annual New Zealand Finance Meeting (NZFM). Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz

Conference Contribution - Verbal presentation and other Conference outputs

Aschakulporn, P. (2019, February). New Zealand whole milk powder options. Verbal presentation at the 23rd New Zealand Finance Colloquium, Lincoln, New Zealand.

Working Paper; Discussion Paper; Technical Report

Aschakulporn, P., & Zhang, J. E. (2019). Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators. Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz/__data/assets/pdf_file/0006/293406/BKM-RN-Moment-Estimators.pdf