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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, Energy Economics, Economics Letters and Economic Modelling.

Teaching

  • FINC310
  • FINC499

Research Interests

  • Asset Pricing
  • Derivatives
  • Investment

Personal homepage

https://sites.google.com/site/ruanxinf/

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Publications

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

Ruan, X. (2019). Volatility-of-volatility and the cross-section of option returns. Journal of Financial Markets. Advance online publication. doi: 10.1016/j.finmar.2019.03.002

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. (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

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

Journal - Research Article

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. (2019). Volatility-of-volatility and the cross-section of option returns. Journal of Financial Markets. Advance online publication. doi: 10.1016/j.finmar.2019.03.002

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

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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 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

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

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/

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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

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