Lecturer
PhD (Otago) MSc (SWUFE) BSc (ZSTU)
Tel +64 3 479 8315
Office OBS 3.06
Email xinfeng.ruan@otago.ac.nz
Dr Xinfeng (Edwin) Ruan joined the University of Otago as a Lecturer in February 2019. Prior to that, he was a Postdoctoral Research Fellow at the Auckland University of Technology, undertaking the project of Data-driven Models for Financial Engineering.
Edwin’s research focuses on asset pricing, derivatives and investment. He obtained his PhD in Finance from the University of Otago in 2017 with his thesis entitled “Equilibrium Asset Prices and Variance Risk Premia”, which was formally recognized by the Division of Commerce as being of exceptional quality. Some of his academic works are published in peer-reviewed journals, such as Journal of Financial Markets, Journal of Economic Dynamics and Control and Energy Economics. Edwin was awarded the Otago Business School Best Emerging Researcher in 2019.
Edwin plays several service roles within the department including as the coordinator of PhD/MCom programs, a member of the postgraduate committee, the organizer of Departmental PhD Workshop and a course approver and advisor. Visit the Departmental PhD Workshop website.
Teaching
- FINC310
- FINC499
Research Interests
- Asset Pricing
- Derivatives
- Investment
Personal Homepage
https://sites.google.com/site/ruanxinf/
Publications
Ruan, X., & Zhang, J. E. (2020). The economics of the financial market for volatility trading. Journal of Financial Markets. Advance online publication. doi: 10.1016/j.finmar.2020.100556
Cao, J., Ruan, X., Su, S., & Zhang, W. (2020). Pricing VIX derivatives with infinite-activity jumps. Journal of Futures Markets, 40(2), 329-354. doi: 10.1002/fut.22074
Ruan, X. (2020). Volatility-of-volatility and the cross-section of option returns. Journal of Financial Markets, 48, 100492. doi: 10.1016/j.finmar.2019.03.002
Cao, J., Ruan, X., & Zhang, W. (2020). Inferring information from the S&P 500, CBOE VIX, and CBOE SKEW indices. Journal of Futures Markets, 40(6), 945-973. doi: 10.1002/fut.22093
Han, X., Ruan, X., & Tan, Y. (2020). Can the relative price ratio of gold to platinum predict the Chinese stock market? Pacific-Basin Finance Journal. Advance online publication. doi: 10.1016/j.pacfin.2020.101379
Working Paper; Discussion Paper; Technical Report
Ruan, X., & Zhang, J. E. (2019). A production economy with shocks in the volatility of capital stock and its application. SSRN. doi: 10.2139/ssrn.3056533
Ruan, X., & Zhang, J. E. (2017). The cross-sectional variation of skew risk premia. SSRN. doi: 10.2139/ssrn.3038641
Journal - Research Article
Ruan, X., & Zhang, J. E. (2020). The economics of the financial market for volatility trading. Journal of Financial Markets. Advance online publication. doi: 10.1016/j.finmar.2020.100556
Han, X., Ruan, X., & Tan, Y. (2020). Can the relative price ratio of gold to platinum predict the Chinese stock market? Pacific-Basin Finance Journal. Advance online publication. doi: 10.1016/j.pacfin.2020.101379
Cao, J., Ruan, X., & Zhang, W. (2020). Inferring information from the S&P 500, CBOE VIX, and CBOE SKEW indices. Journal of Futures Markets, 40(6), 945-973. doi: 10.1002/fut.22093
Ruan, X. (2020). Volatility-of-volatility and the cross-section of option returns. Journal of Financial Markets, 48, 100492. doi: 10.1016/j.finmar.2019.03.002
Cao, J., Ruan, X., Su, S., & Zhang, W. (2020). Pricing VIX derivatives with infinite-activity jumps. Journal of Futures Markets, 40(2), 329-354. doi: 10.1002/fut.22074
Ruan, X., & Zhang, J. E. (2020). Ambiguity on uncertainty and the equity premium. Finance Research Letters. Advance online publication. doi: 10.1016/j.frl.2020.101429
Zhen, F., Ruan, X., & Zhang, J. E. (2020). Left-tail risk in China. Pacific-Basin Finance Journal, 63, 101391. doi: 10.1016/j.pacfin.2020.101391
Ruan, X., & Zhang, J. E. (2019). Moment spreads in the energy market. Energy Economics, 81, 598-609. doi: 10.1016/j.eneco.2019.04.025
Zhu, W., & Ruan, X. (2019). Pricing swaps on discrete realized higher moments under the Lévy process. Computational Economics, 53(2), 507-532. doi: 10.1007/s10614-017-9753-x
Ruan, X., & Zhang, J. E. (2018). Equilibrium variance risk premium in a cost-free production economy. Journal of Economic Dynamics & Control, 96, 42-60. doi: 10.1016/j.jedc.2018.08.011
Ruan, X., & Zhang, J. E. (2018). Risk-neutral moments in the crude oil market. Energy Economics, 72, 583-600. doi: 10.1016/j.eneco.2018.04.026
Ruan, X., Zhu, W., Huang, J., & Zhang, J. E. (2016). Equilibrium asset pricing under the Lévy process with stochastic volatility and moment risk premiums. Economic Modelling, 54, 326-338. doi: 10.1016/j.econmod.2015.12.030
Ruan, X., & Zhang, J. E. (2016). Investor attention and market microstructure. Economics Letters, 149, 125-130. doi: 10.1016/j.econlet.2016.10.032
Fang, N., Ruan, X., & Liao, C. (2015). Real option model of dynamic growth processes with consumption. Communications in Mathematical Sciences, 13(8), 2223-2239. doi: 10.4310/CMS.2015.v13.n8.a11
Zhu, W., Huang, J., Ruan, X., & Zhao, Z. (2014). Exponential stability of stochastic differential equation with mixed delay. Journal of Applied Mathematics, 2014, 187037. doi: 10.1155/2014/187037
Li, S., Zhou, Y., Ruan, X., & Wiwatanapataphee, B. (2014). Pricing of American put option under a jump diffusion process with stochastic volatility in an Iincomplete market. Abstract & Applied Analysis, 2014, 236091. doi: 10.1155/2014/236091
Huang, J. T.-J., Zhu, W., & Ruan, X. (2014). Option pricing using the Fast Fourier Transform under the double exponential jump model with stochastic volatility and stochastic intensity. Journal of Computational & Applied Mathematics, 263, 152-159. doi: 10.1016/j.cam.2013.12.009
Huang, J., Zhu, W., & Ruan, X. (2013). Fast Fourier Transform based power option pricing with stochastic interest rate, volatility, and jump intensity. Journal of Applied Mathematics, 2013, 875606 . doi: 10.1155/2013/875606
Ruan, X., Zhu, W., Huang, J., & Li, S. (2013). Continuous-time portfolio selection and option pricing under risk-minimization criterion in an incomplete market. Journal of Applied Mathematics, 2013, 175269 . doi: 10.1155/2013/175269
Ruan, X., Zhu, W., Hu, J., & Huang, J. (2013). Optimal portfolio and consumption with habit formation in a jump diffusion market. Applied Mathematics & Computation, 222, 391-401. doi: 10.1016/j.amc.2013.07.063
Ruan, X., Zhu, W., Li, S., & Huang, J. (2013). Equilibrium asset and option pricing under jump-diffusion model with stochastic volatility. Abstract & Applied Analysis, 2013, 780542. doi: 10.1155/2013/780542
Zhu, W., Ruan, X., & Zhuang, J. (2013). Exponential stability of stochastic nonlinear dynamical price system with delay. Mathematical Problems in Engineering, 2013, 168169. doi: 10.1155/2013/168169
Ruan, X., Zhu, W., Li, S., & Huang, J. (2013). Option pricing under risk-minimization criterion in an incomplete market with the finite difference method. Mathematical Problems in Engineering, 2013, 165727 . doi: 10.1155/2013/165727
Ruan, X., & Zhu, W. (2012). Hedging parameters of the entropy pricing formula and application in the dynamic hedging. Journal of Sichuan University of Science & Engineering, 5. Retrieved from http://en.cnki.com.cn/Article_en/CJFDTotal-SCQX201205025.htm
Journal - Research Other
Ruan, X., & Zhang, W. (2019). A note on “A closed-form pricing formula for European options under the Heston model with stochastic interest rate” [Short communication]. Journal of Computational & Applied Mathematics, 350, 55-56. doi: 10.1016/j.cam.2018.10.002
Conference Contribution - Published proceedings: Full paper
Ruan, X., & Zhang, J. E. (2019). Equilibrium variance risk premium and option smirk in the AK production model. Proceedings of the Financial Markets and Corporate Governance (FMCG) Conference. Retrieved from https://www.ssrn.com
Frömmel, M., Han, X., & Ruan, X. (2017). The price of liquidity beta in China: A sentiment-based explanation. Proceedings of the Auckland Finance Meeting. Retrieved from https://acfr.aut.ac.nz/conferences-And-events/2017-auckland-finance-meeting/academic-programme
Frömmel, M., Han, X., & Ruan, X. (2017). The price of liquidity beta in China: A sentiment-based explanation. Proceedings of the Financial Management Association (FMA) Annual Meeting. Retrieved from http://fmaconferences.org/Boston/BostonProgram.htm
Ruan, X., & Zhang, J. E. (2017). A demand-based equilibrium model of volatility trading. Proceedings of the Auckland Finance Meeting. Retrieved from https://acfr.aut.ac.nz/conferences-And-events/2017-auckland-finance-meeting/academic-programme
Ruan, X., & Zhang, J. E. (2016). Asset pricing in a pure exchange economy with heterogeneous investors. Proceedings of the New Zealand Finance Colloquium. Retrieved from http://www.nzfc.ac.nz/archives/2016/schedule/
Conference Contribution - Published proceedings: Abstract
Ruan, X., & Zhang, J. E. (2017). Risk-neutral moments and cumulants in the crude oil market. Proceedings of the 11th Otago Energy Research Centre (OERC) Symposium and Ag@Otago Colloquium. (pp. 25-26). Retrieved from http://www.otago.ac.nz/oerc/index.html
Awarded Doctoral Degree
Ruan, X. (2017). Equilibrium asset prices and variance risk premia (PhD). University of Otago, Dunedin, New Zealand. Retrieved from http://hdl.handle.net/10523/7783
