Accessibility Skip to Global Navigation Skip to Local Navigation Skip to Content Skip to Search Skip to Site Map Menu

Dr Xinfeng (Edwin) Ruan

Xinfeng Edwin Ruan imageLecturer
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/

^ Top of page

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

^ Top of page

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

^ Top of page

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

^ Top of page

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/

^ Top of page

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

^ Top of page

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

More publications...