Professor in Finance and Head of DepartmentB.S (Tsinghua), M.S (Tsinghua), PhD (California Institute of Technology)
Tel +64 3 479 8575
Office OBS 5.16
Email jin.zhang@otago.ac.nz
Professor Jin Zhang has been appointed to the position of Professor of Finance at the University of Otago. Jin was previously Associate Professor at the School of Economics and Finance, the University of Hong Kong (HKU). Jin has been doing research in the area of Quantitative Finance, which is an interdisciplinary area between Finance and Applied Mathematics. The research in this area usually requires advanced mathematical skills, such as partial differential equations, stochastic calculus and applied probability, which have been widely used in Engineering and Applied Sciences. The research outputs often have direct applications in the financial industry.
Jin Zhang received his B.S. and M.S. degrees from Tsinghua University in 1985 and 1988, respectively. He received his Ph.D. from the California Institute of Technology in 1996. After spending one-year as an associate at Morgan Stanley in New York, he went to Hong Kong to teach Financial Engineering at City University Hong Kong from 1997 to 2001, and Hong Kong University of Science and Technology from 2001 to 2004, and then HKU from 2004 to 2012. He has served as the Director of Master of Finance program and Associate Director, Center for Financial Innovation and Risk Management (CFIRM) at University of Hong Kong from 2009.
Teaching
- Convenor FINC306
- Convenor FINC405
Research interests
Derivatives and Quantitative Finance
Personal homepage
https://sites.google.com/view/jinzhangnew
Publications
Ruan, X., Aschakulporn, P., & Zhang, J. E. (2026). A comprehensive analysis of realized skewness trading. Journal of Futures Markets. Advance online publication. doi: 10.1002/fut.70124 Journal - Research Article
Li, W., Zhang, J. E., Ruan, X., & Aschakulporn, P. (2026). The rare disaster concern index: RI X. Global Finance Journal, 69, 101226. doi: 10.1016/j.gfj.2025.101226 Journal - Research Article
Hu, R., Zhang, J. E., & Aschakulporn, P. (2026). The Greeks of the Bakshi-Madan formula. Review of Derivatives Research, 29, 17. doi: 10.1007/s11147-026-09237-8 Journal - Research Article
Zhang, Y., Aschakulporn, P., & Zhang, J. E. (2026). Forecasting VIX with deep learning: A stacking ensemble approach. Proceedings of the 30th Annual New Zealand Finance Colloquium (NZFC). (pp. 13-14). Retrieved from https://nzfc.ac.nz Conference Contribution - Published proceedings: Abstract
Li, T., Aschakulporn, P., & Zhang, J. E. (2026). VIX term structure managed portfolios. Proceedings of the 30th Annual New Zealand Finance Colloquium (NZFC). (pp. 14-15). Retrieved from https://nzfc.ac.nz Conference Contribution - Published proceedings: Abstract
2026
Journal - Research Article
Ruan, X., Aschakulporn, P., & Zhang, J. E. (2026). A comprehensive analysis of realized skewness trading. Journal of Futures Markets. Advance online publication. doi: 10.1002/fut.70124
Li, W., Zhang, J. E., Ruan, X., & Aschakulporn, P. (2026). The rare disaster concern index: RI X. Global Finance Journal, 69, 101226. doi: 10.1016/j.gfj.2025.101226
Hu, R., Zhang, J. E., & Aschakulporn, P. (2026). The Greeks of the Bakshi-Madan formula. Review of Derivatives Research, 29, 17. doi: 10.1007/s11147-026-09237-8
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
Conference Contribution - Published proceedings: Abstract
Zhang, Y., Aschakulporn, P., & Zhang, J. E. (2026). Forecasting VIX with deep learning: A stacking ensemble approach. Proceedings of the 30th Annual New Zealand Finance Colloquium (NZFC). (pp. 13-14). Retrieved from https://nzfc.ac.nz
Li, T., Aschakulporn, P., & Zhang, J. E. (2026). VIX term structure managed portfolios. Proceedings of the 30th Annual New Zealand Finance Colloquium (NZFC). (pp. 14-15). Retrieved from https://nzfc.ac.nz
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
Xu, W., Aschakulporn, P., & Zhang, J. E. (2025). Heterogeneous volatility information content for the realized GARCH modeling and forecasting volatility. Studies in Nonlinear Dynamics & Econometrics, 29(6), 769-785. doi: 10.1515/snde-2024-0013
Journal - Research Other
Zhen, F., Ruan, X., & Zhang, J. E. (2025). Testing and forecasting price jumps with return moments. International Review of Finance, 25, e70002. doi: 10.1111/irfi.70002
Conference Contribution - Verbal presentation and other Conference outputs
Ruan, X., Aschakulporn, P., & Zhang, J. E. (2025, January). Towards a theory of skewness trading. Verbal presentation at the International Business and Economic Conference (IBEC), Bangkok, Thailand.
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
Yue, T., Li, L.-L., Ruan, X., & Zhang, J. E. (2024). Smirking in the energy market: Evidence from the Chinese crude oil options market. International Review of Financial Analysis, 96, 103637. doi: 10.1016/j.irfa.2024.103637
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
Gehricke, S. A., Ruan, X., & Zhang, J. E. (2024). Doing well while doing good: ESG ratings and corporate bond returns. Applied Economics, 56(16), 1916-1934. doi: 10.1080/00036846.2023.2178624
Conference Contribution - Published proceedings: Full paper
Li, W., Zhang, J. E., Ruan, X., & Aschakulporn, P. (2024). The Rare Disaster Concern Index: RIX. Proceedings of the 13th Annual New Zealand Finance Meeting (NZFM). Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz
Hu, R., Zhang, J. E., & Aschakulporn, P. (2024). Option pricing under Gram-Charlier density. Proceedings of the 13th 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
Ruan, X., Aschakulporn, P., & Zhang, J. E. (2024, December). Towards a theory of skewness trading. Verbal presentation at the International Finance and Banking Society (IFABS) Conference: Building a Resilient Financial Future: Technology & Innovation, Green & Sustainability, Shanghai, China.
2023
Journal - Research Article
Zhang, J., Ruan, X., & Zhang, J. E. (2023). Do short-term market swings improve realized volatility forecasts? Finance Research Letters, 58, 104629. doi: 10.1016/j.frl.2023.104629
Yue, T., Ruan, X., Gehricke, S., & Zhang, J. E. (2023). The volatility index and volatility risk premium in China. Quarterly Review of Economics & Finance, 91, 40-55. doi: 10.1016/j.qref.2023.07.004
Jia, X., Ruan, X., & Zhang, J. E. (2023). Carr and Wu’s (2020) framework in the oil ETF option market. Journal of Commodity Markets, 31, 100334. doi: 10.1016/j.jcomm.2023.100334
Guo, W., Ruan, X., Gehricke, S. A., & Zhang, J. E. (2023). Term spreads of implied volatility smirk and variance risk premium. Journal of Futures Markets, 43, 829-857. doi: 10.1002/fut.22409
Lin, W., Shen, K., & Zhang, J. E. (2023). Further exploration into the valid regions of Gram–Charlier densities. Journal of Computational & Applied Mathematics, 429, 115231. doi: 10.1016/j.cam.2023.115231
Zhang, J., Ruan, X., & Zhang, J. E. (2023). Risk-neutral moments and return predictability: International evidence. Journal of Forecasting, 42, 1086-1111. doi: 10.1002/for.2926
Conference Contribution - Published proceedings: Full paper
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/
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
Ford, J. M., Gehricke, S. A., & Zhang, J. E. (2022). Option traders are concerned about climate risks: ESG ratings and short-term sentiment. Journal of Behavioral & Experimental Finance, 35, 100687. doi: 10.1016/j.jbef.2022.100687
Yoon, J., Ruan, X., & Zhang, J. E. (2022). VIX option‐implied volatility slope and VIX futures returns. Journal of Futures Markets, 42, 1002-1038. doi: 10.1002/fut.22317
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
Lin, W., & Zhang, J. E. (2022). Pricing VXX options by modeling VIX directly. Journal of Futures Markets, 42, 888-922. doi: 10.1002/fut.22313
Li, J., Ruan, X., & Zhang, J. E. (2022). The price of COVID-19-induced uncertainty in the options market. Economics Letters, 211, 110265. doi: 10.1016/j.econlet.2021.110265
Lin, W., & Zhang, J. E. (2022). The valid regions of Gram–Charlier densities with high-order cumulants. Journal of Computational & Applied Mathematics, 407, 113945. doi: 10.1016/j.cam.2021.113945
Li, J., Ruan, X., Gehricke, S. A., & Zhang, J. E. (2022). The COVID-19 risk in the Chinese option market. International Review of Finance, 22, 346-355. doi: 10.1111/irfi.12365
Conference Contribution - Published proceedings: Full paper
Zhang, J., Ruan, X., & Zhang, J. E. (2022). The role of risk-neutral moments in forecasting future realised volatility: An international perspective. Proceedings of the Annual Derivative Markets Conference. Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz/
Jia, X., Ruan, X., & Zhang, J. E. (2022). Covariance risk premium. Proceedings of the Annual Derivative Markets Conference. Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz/
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
Zhang, J., Ruan, X., & Zhang, J. (2022, December). Risk-neutral moments and return predictability: International evidence. Verbal presentation at the Finance Management Association (FMA) Asia/Pacific Conference, Melbourne, Australia.
Yoon, J., Ruan, X., & Zhang, J. (2022, December). The role of hedgers and speculators in the currency futures market. Verbal presentation at the Finance Management Association (FMA) Asia/Pacific Conference, Melbourne, Australia.
2021
Journal - Research Article
Yoon, J., Ruan, X., & Zhang, J. E. (2021). The skewness risk in the energy market. Journal of Risk & Financial Management, 14, 620. doi: 10.3390/jrfm14120620
Kirk-Reeve, S., Gehricke, S. A., Ruan, X., & Zhang, J. E. (2021). National air pollution and the cross-section of stock returns in China. Journal of Behavioral & Experimental Finance, 32, 100572. doi: 10.1016/j.jbef.2021.100572
Yue, T., Gehricke, S., Zhang, J. E., & Pan, Z. (2021). The implied volatility smirk in the Chinese equity options market. Pacific-Basin Finance Journal, 69, 101624. doi: 10.1016/j.pacfin.2021.101624
Ruan, X., & Zhang, J. E. (2021). Time-varying uncertainty and variance risk premium. Journal of Macroeconomics, 69, 103347. doi: 10.1016/j.jmacro.2021.103347
Ryan, N., Ruan, X., Zhang, J. E., & Zhang, J. A. (2021). Choosing factors for the Vietnamese stock market. Journal of Risk & Financial Management, 14, 96. doi: 10.3390/jrfm14030096
Gehricke, S. A., & Zhang, J. E. (2021). Tracking performance of VIX futures ETPs. Journal of Empirical Finance, 61, 103-117. doi: 10.1016/j.jempfin.2021.01.002
Stuart, C. J. A., Gehricke, S. A., Zhang, J. E., & Ruan, X. (2021). Implied volatility smirk in the Australian dollar market. Accounting & Finance, 61, 4573-4599. doi: 10.1111/acfi.12741
Guo, W., Gehricke, S. A., Ruan, X., & Zhang, J. E. (2021). The implied volatility smirk in SPY options. Applied Economics, 53(23), 2671-2692. doi: 10.1080/00036846.2020.1866159
Tan, X., Wang, C., Lin, W., Zhang, J. E., Li, S., Zhao, X., & Zhang, Z. (2021). The term structure of the VXX option smirk: Pricing VXX option with a two-factor model and asymmetry jumps. Journal of Futures Markets, 41, 439-457. doi: 10.1002/fut.22182
Jia, X., Ruan, X., & Zhang, J. E. (2021). The implied volatility smirk of commodity options. Journal of Futures Markets, 41, 72-104. doi: 10.1002/fut.22161
Aschakulporn, P., & Zhang, J. E. (2021). New Zealand whole milk powder options. Accounting & Finance, 61, 2201-2246. doi: 10.1111/acfi.12660
Ruan, X., & Zhang, J. E. (2021). The economics of the financial market for volatility trading. Journal of Financial Markets, 52, 100556. doi: 10.1016/j.finmar.2020.100556
Ruan, X., & Zhang, J. E. (2021). Ambiguity on uncertainty and the equity premium. Finance Research Letters, 38, 101429. doi: 10.1016/j.frl.2020.101429
2020
Journal - Research Article
Huang, J., Guo, W., & Zhang, J. E. (2020). Do stocks outperform bank deposits in China? Pacific-Basin Finance Journal, 64, 101464. doi: 10.1016/j.pacfin.2020.101464
Yue, T., Zhang, J. E., & Tan, E. K. M. (2020). The Chinese equity index options market. Emerging Markets Review, 45, 100742. doi: 10.1016/j.ememar.2020.100742
Ruan, X., & Zhang, J. E. (2020). Asset pricing in a pure exchange economy with heterogeneous investors. Mathematics & Financial Economics, 14, 605-634. doi: 10.1007/s11579-020-00266-x
Gehricke, S. A., & Zhang, J. E. (2020). Modeling VXX under jump diffusion with stochastic long‐term mean. Journal of Futures Markets, 40(10), 1508-1534. doi: 10.1002/fut.22145
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
Zhang, W., & Zhang, J. E. (2020). GARCH option pricing models and the variance risk premium. Journal of Risk & Financial Management, 13(3), 51. doi: 10.3390/jrfm13030051
Zhen, F., & Zhang, J. E. (2020). Dissecting skewness under affine jump-diffusions. Studies in Nonlinear Dynamics & Econometrics, 24(4), 20180086. doi: 10.1515/snde-2018-0086
Gehricke, S. A., & Zhang, J. E. (2020). The implied volatility smirk in the VXX options market. Applied Economics, 52(8), 769-788. doi: 10.1080/00036846.2019.1646402
Zhang, J. E., Chang, E. C., & Zhao, H. (2020). Market excess returns, variance and the third cumulant. International Review of Finance, 20(3), 605-637. doi: 10.1111/irfi.12234
Conference Contribution - Published proceedings: Full paper
Guo, W., Gehricke, S., Ruan, X., & Zhang, J. (2020). The implied volatility smirk in SPY options. Accounting & Finance Association of Australia and New Zealand (AFAANZ) Conference. Retrieved from http://www.afaanzconference.com
Ford, J. M., Gehricke, S. A., & Zhang, J. E. (2020). Option traders are concerned about climate risks: ESG ratings and sentiment. Proceedings of the Accounting & Finance Association of Australia and New Zealand (AFAANZ) Conference. Retrieved from http://www.afaanzconference.com
Conference Contribution - Verbal presentation and other Conference outputs
Ford, J. M., Gehricke, S. A., & Zhang, J. (2020, December). Option traders are concerned about climate risks: ESG ratings and sentiment. Verbal presentation at the 1st Climate and Energy Finance Group (CEFGroup) Climate Finance Symposium, [Hybrid].
2019
Journal - Research Article
Luo, X., Zhang, J. E., & Zhang, W. (2019). Instantaneous squared VIX and VIX derivatives. Journal of Futures Markets, 39, 1193-1213. doi: 10.1002/fut.22037
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
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, 39, 1450-1470. doi: 10.1002/fut.22005
Lin, W., Li, S., Chern, S., & Zhang, J. E. (2019). Pricing VIX derivatives with free stochastic volatility model. Review of Derivatives Research, 22, 41-75. doi: 10.1007/s11147-018-9145-y
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
Yue, T., Gehricke, S., Zhang, J. E., & Pan, Z. (2019). How do Chinese option-traders 'smirk' on China: Evidence from SSE 50 ETF options. Proceedings of the Annual Derivative Markets Conference. Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz/
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
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
2018
Journal - Research Article
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
Gehricke, S. A., & Zhang, J. E. (2018). Modeling VXX. Journal of Futures Markets, 38(8), 958-976. doi: 10.1002/fut.21913
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
Conference Contribution - Published proceedings: Full paper
Gehricke, S. A., & Zhang, J. E. (2018). The implied volatility smirk in the VXX options market. Proceedings of the Annual Derivative Markets Conference. 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 8th Annual 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 8th Annual New Zealand Finance Meeting (NZFM). Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz
Li, J., Gehricke, S., & Zhang, J. E. (2018). How do US option traders "smirk" on China: Evidence from FXI options market. Proceedings of the 8th Annual New Zealand Finance Meeting (NZFM). Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz
2017
Journal - Research Article
Zhang, J. E., Zhen, F., Sun, X., & Zhao, H. (2017). The skewness implied in the Heston Model and its application. Journal of Futures Markets, 37(3), 211-237. doi: 10.1002/fut.21801
Luo, X., & Zhang, J. E. (2017). Expected stock returns and forward variance. Journal of Financial Markets, 34, 95-117. doi: 10.1016/j.finmar.2016.06.001
Conference Contribution - Published proceedings: Full paper
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
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
Working Paper; Discussion Paper; Technical Report
Ruan, X., & Zhang, J. E. (2017). The cross-sectional variation of skew risk premia. SSRN. doi: 10.2139/ssrn.3038641
2016
Journal - Research Article
Ruan, X., & Zhang, J. E. (2016). Investor attention and market microstructure. Economics Letters, 149, 125-130. doi: 10.1016/j.econlet.2016.10.032
Chen, Y., Shu, J., & Zhang, J. E. (2016). Investor sentiment, variance risk premium and delta-hedged gains. Applied Economics, 48(31), 2952-2964. doi: 10.1080/00036846.2015.1133894
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
Conference Contribution - Published proceedings: Full paper
Zhen, F., & Zhang, J. E. (2016). A theory of CBOE SKEW. Proceedings of the New Zealand Finance Colloquium. Retrieved from http://www.nzfc.ac.nz/archives/2016/schedule/
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/
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/
Nguyen, N., Ulku, N., & Zhang, J. (2016). The Fama-French five factor model: Evidence from Vietnam. Proceedings of the New Zealand Finance Colloquium. Retrieved from http://www.nzfc.ac.nz/archives/2016/schedule/
2015
Conference Contribution - Published proceedings: Full paper
Rahmaniani, M., Zhang, J. E., & Roberts, H. (2015). Modeling the dynamics of correlations among international equity volatility indices. Proceedings of the New Zealand Finance Colloquium. Retrieved from http://www.nzfc.ac.nz/archives/2015/colloquium/
2013
Journal - Research Article
Zhang, J. E., Huang, S., & Li, T. (2013). The intersection between European put price and its payoff function. International Journal of Theoretical & Applied Finance, 16(4), 1350055. doi: 10.1142/S0219024913500222
Hao, J., & Zhang, J. E. (2013). GARCH option pricing models, the CBOE VIX, and variance risk premium. Journal of Financial Econometrics, 11(3), 556-580. doi: 10.1093/jjfinec/nbs026
Zhao, H., Zhang, J. E., & Chang, E. C. (2013). The relation between physical and risk-neutral cumulants. International Review of Finance, 13(3), 345-381. doi: 10.1111/irfi.12013
Chang, E. C., Luo, X., Shi, L., & Zhang, J. E. (2013). Is warrant really a derivative? Evidence from the Chinese warrant market. Journal of Financial Markets, 16(1), 165-193. doi: 10.1016/j.finmar.2012.04.003
Conference Contribution - Published proceedings: Full paper
Luo, X., & Zhang, J. (2013). Expected stock returns and forward variance. Proceedings of the New Zealand Finance Colloquium. Retrieved from http://www.nzfc.ac.nz/archives/2013/programme/
2012
Journal - Research Article
Zhang, J. E., Zhao, H., & Chang, E. C. (2012). Equilibrium asset and option pricing under jump diffusion. Mathematical Finance, 22(3), 538-568. doi: 10.1111/j.1467-9965.2010.00468.x
Zhang, J. E., & Li, Y. (2012). New analytical option pricing models with Weyl–Titchmarsh theory. Quantitative Finance, 12(7), 1003-1010. doi: 10.1080/14697688.2010.503659
Luo, X., & Zhang, J. E. (2012). The Term Structure of VIX. Journal of Futures Markets, 32(12), 1092-1123. doi: 10.1002/fut.21572
Cheng, J., & Zhang, J. E. (2012). Analytical pricing of American options. Review of Derivatives Research, 15(2), 157-192. doi: 10.1007/s11147-011-9073-6
Luo, X., Han, H., & Zhang, J. E. (2012). Forecasting the term structure of Chinese Treasury yields. Pacific-Basin Finance Journal, 20(5), 639-659. doi: 10.1016/j.pacfin.2012.02.002
Cheng, J., Ibraimi, M., Leippold, M., & Zhang, J. E. (2012). A remark on Lin and Chang's paper 'Consistent modeling of S&P 500 and VIX derivatives'. Journal of Economic Dynamics & Control, 36(5), 708-715. doi: 10.1016/j.jedc.2012.01.002
Shu, J., & Zhang, J. E. (2012). Causality in the VIX futures market. Journal of Futures Markets, 32(1), 24-46. doi: 10.1002/fut.20506
Other Research Output
Zhang, J. (2012, November). Quantitative finance: A new field in finance. University of Otago, Dunedin, New Zealand. [Inaugural Professorial Lecture].
2010
Journal - Research Article
Zhang, J. E., & Li, T. (2010). Pricing and hedging American options analytically: A perturbation method. Mathematical Finance, 20(1), 59-87. doi: 10.1111/j.1467-9965.2009.00389.x
Luo, X., & Zhang, J. E. (2010). The dynamics of long forward rate term structures. Journal of Futures Markets, 30(10), 957-982. doi: 10.1002/fut.20447
Zhang, J. E., & Huang, Y. (2010). The CBOE S&P 500 three-month variance futures. Journal of Futures Markets, 30(1), 48-70. doi: 10.1002/fut.20400
Zhang, J. E., Shu, J., & Brenner, M. (2010). The new market for volatility trading. Journal of Futures Markets, 30(9), 809-833. doi: 10.1002/fut.20448
Dai, M., Li, P., & Zhang, J. E. (2010). A lattice algorithm for pricing moving average barrier options. Journal of Economic Dynamics & Control, 34(3), 542-554. doi: 10.1016/j.jedc.2009.10.008
2008
Journal - Research Article
Zhang, J. E., & Xiang, Y. (2008). The implied volatility smirk. Quantitative Finance, 8(3), 263-284. doi: 10.1080/14697680601173444
2007
Journal - Research Article
Zhu, Y., & Zhang, J. E. (2007). Variance term structure and VIX futures pricing. International Journal of Theoretical & Applied Finance, 10(1), 111-127.
2006
Journal - Research Article
Brenner, M., Ou, E. Y., & Zhang, J. E. (2006). Hedging volatility risk. Journal of Banking & Finance, 30(3), 811-821. doi: 10.1016/j.jbankfin.2005.07.015
Shu, J., & Zhang, J. E. (2006). Testing range estimators of historical volatility. Journal of Futures Markets, 26(3), 297-313. doi: 10.1002/fut.20197
Zhang, J. E., & Zhu, Y. (2006). VIX futures. Journal of Futures Markets, 26(6), 521-531. doi: 10.1002/fut.20209