Professor Jin Zhang, Our people, Department of Accountancy & Finance, University of Otago, New Zealand

Jin Zhang Professor 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

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Publications

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. Advance online publication. 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

Gehricke, S. A., Ruan, X., & Zhang, J. E. (2023). Doing well while doing good: ESG ratings and corporate bond returns. Applied Economics. Advance online publication. doi: 10.1080/00036846.2023.2178624

Struwig, J., Aschakulporn, P., & Zhang, J. E. (2022). The implied volatility smirk of pharmaceutical options during the COVID-19 pandemic. Proceedings of the Auckland Centre for Financial Research New Zealand Finance Meeting (NZFM). Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz

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

Journal - Research Article

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

Journal - Research Article

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. Advance online publication. doi: 10.1016/j.jbef.2022.100687

Journal - Research Article

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

Lin, W., & Zhang, J. E. (2022). Pricing VXX options by modeling VIX directly. Journal of Futures Markets. Advance online publication. doi: 10.1002/fut.22313

Journal - Research Article

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

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

Aschakulporn, P., & Zhang, J. E. (2021). New Zealand whole milk powder options. Accounting & Finance, 61, 2201-2246. doi: 10.1111/acfi.12660

Journal - Research Article

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

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

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

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

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

Journal - Research Article

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

Journal - Research Article

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

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

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

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

Journal - Research Article

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

Journal - Research Article

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

Journal - Research Article

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

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

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

Journal - Research Article

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

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

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

Gehricke, S. A., & Zhang, J. E. (2018). Modeling VXX. Journal of Futures Markets, 38(8), 958-976. doi: 10.1002/fut.21913

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

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

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

Journal - Research Article

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

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

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

Journal - Research Article

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

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

Journal - Research Article

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

Journal - Research Article

More publications...