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Jin ZhangProfessor in Finance and Head of Department
B.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

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 Auckland Centre for Financial Research Derivative Markets Conference. Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz/

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

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