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Dr Xinfeng (Edwin) Ruan

Xinfeng Edwin Ruan imageSenior Lecturer
PhD (Otago) MSc (SWUFE)

Tel +64 3 479 8315
Office OBS 5.09
Email xinfeng.ruan@otago.ac.nz

Dr Xinfeng (Edwin) Ruan is a Senior Lecturer in Finance, the Director of PhD Programme, and the Chair of Postgraduate Committee at the Department of Accountancy and Finance. Edwin is also the organizer of the Departmental PhD Workshop and Postgraduate Seminars.

Edwin’s research focuses on asset pricing, derivatives, and portfolio choice. 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. He regularly publishes in high-quality journals, such as Journal of Financial Markets, Journal of Economic Dynamics & Control, and Journal of Futures Markets, among others.

Edwin was awarded the Otago Business School Best Emerging Researcher in 2019.

Teaching

Current

  • FINC 299 Special Topic: Fundamentals of Quantitative Finance
  • FINC 412 Financial Analytics

Past

Research Interests

  • Asset Pricing
  • Derivatives
  • Portfolio Choice

Supervision

Edwin actively seeks PhD/MCom students who are genuinely passionate about research in Asset Pricing and Derivatives. Strong skills in mathematics (e.g. stochastic calculus and PDE) and programming (e.g. Python, MATLAB, R, SAS, and Stata) are desirable.

For a list of completed and ongoing postgraduate students, please see
https://sites.google.com/view/ruanxinf/service

Personal Homepage

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

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Publications

Zhang, J., Ruan, X., & Zhang, J. E. (2022). Risk-neutral moments and return predictability: International evidence. Journal of Forecasting. Advance online publication. doi: 10.1002/for.2926

Yoon, J., Ruan, X., & Zhang, J. E. (2022). VIX option‐implied volatility slope and VIX futures returns. Journal of Futures Markets. Advance online publication. doi: 10.1002/fut.22317

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

Tadele, H., Ruan, X., & Li, W. (2022). Corporate governance and firm-level jump and volatility risks. Applied Economics, 54(22), 2529-2553. doi: 10.1080/00036846.2021.1998325

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

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

Journal - Research Article

Tadele, H., Ruan, X., & Li, W. (2022). Corporate governance and firm-level jump and volatility risks. Applied Economics, 54(22), 2529-2553. doi: 10.1080/00036846.2021.1998325

Journal - Research Article

Yoon, J., Ruan, X., & Zhang, J. E. (2022). VIX option‐implied volatility slope and VIX futures returns. Journal of Futures Markets. Advance online publication. doi: 10.1002/fut.22317

Journal - Research Article

Zhang, J., Ruan, X., & Zhang, J. E. (2022). Risk-neutral moments and return predictability: International evidence. Journal of Forecasting. Advance online publication. doi: 10.1002/for.2926

Journal - Research Article

Cao, J., Ruan, X., Su, S., & Zhang, W. (2021). Specification analysis of VXX option pricing models under Lévy processes. Journal of Futures Markets, 41, 1456-1477. doi: 10.1002/fut.22218

Journal - Research Article

Chen, X., Ruan, X., & Zhang, W. (2021). Dynamic portfolio choice and information trading with recursive utility. Economic Modelling, 98, 154-167. doi: 10.1016/j.econmod.2021.02.020

Journal - Research Article

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

Journal - Research Article

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

Journal - Research Article

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

Journal - Research Article

Li, J., Ruan, X., Gehricke, S. A., & Zhang, J. E. (2021). The COVID-19 risk in the Chinese option market. International Review of Finance. Advance online publication. doi: 10.1111/irfi.12365

Journal - Research Article

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

Journal - Research Article

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

Journal - Research Article

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

Journal - Research Article

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

Journal - Research Article

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

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

Journal - Research Article

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

Journal - Research Article

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

Journal - Research Article

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, 62, 101379. doi: 10.1016/j.pacfin.2020.101379

Journal - Research Article

Ruan, X. (2020). Ambiguity, long-run risks, and asset prices in continuous time. International Review of Economics & Finance, 71, 115-126. doi: 10.1016/j.iref.2020.09.007

Journal - Research Article

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

Journal - Research Article

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

Journal - Research Article

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

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

Journal - Research Article

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

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

Journal - Research Article

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

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

Journal - Research Article

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

Journal - Research Article

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

Journal - Research Article

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

Journal - Research Article

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

Journal - Research Article

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

Journal - Research Article

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

Journal - Research Article

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

Journal - Research Article

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

Journal - Research Article

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

Journal - Research Article

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

Journal - Research Article

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

Journal - Research Article

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 Article

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

Journal - Research Other

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

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

Conference Contribution - Published proceedings: Full paper

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

Conference Contribution - Published proceedings: Full paper

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

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: Full paper

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: Full paper

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

Conference Contribution - Published proceedings: Abstract

Ruan, X., & Zhang, J. E. (2017). The cross-sectional variation of skew risk premia. SSRN. doi: 10.2139/ssrn.3038641

Working Paper; Discussion Paper; Technical Report

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

Awarded Doctoral Degree

More publications...