Professor in Finance
B.S (Tsinghua), M.S (Tsinghua), PhD (California Institute of Technology)
Tel +64 3 479 8575
Office OBS 3.33
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/site/jinzhanghomepage/home/research
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
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. Advance online publication. doi: 10.1002/fut.22005
Luo, X., Zhang, J. E., & Zhang, W. (2019). Instantaneous squared VIX and VIX derivatives. Journal of Futures Markets. Advance online publication. doi: 10.1002/fut.22037
Gehricke, S. A., & Zhang, J. E. (2019). The implied volatility smirk in the VXX options market. Applied Economics. Advance online publication. doi: 10.1080/00036846.2019.1646402
Zhen, F., & Zhang, J. E. (2019). Dissecting skewness under affine jump-diffusions. Studies in Nonlinear Dynamics & Econometrics. Advance online publication. doi: 10.1515/snde-2018-0086
Other Research Output
Zhang, J. (2012, November). Quantitative finance: A new field in finance. University of Otago, Dunedin, New Zealand. [Inaugural Professorial Lecture].
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
Zhen, F., & Zhang, J. E. (2019). Dissecting skewness under affine jump-diffusions. Studies in Nonlinear Dynamics & Econometrics. Advance online publication. doi: 10.1515/snde-2018-0086
Gehricke, S. A., & Zhang, J. E. (2019). The implied volatility smirk in the VXX options market. Applied Economics. Advance online publication. doi: 10.1080/00036846.2019.1646402
Luo, X., Zhang, J. E., & Zhang, W. (2019). Instantaneous squared VIX and VIX derivatives. Journal of Futures Markets. Advance online publication. doi: 10.1002/fut.22037
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. Advance online publication. doi: 10.1002/fut.22005
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
Zhang, J. E., Chang, E. C., & Zhao, H. (2018). Market excess returns, variance and the third cumulant. International Review of Finance. Advance online publication. doi: 10.1111/irfi.12234
Lin, W., Li, S., Chern, S., & Zhang, J. E. (2018). Pricing VIX derivatives with free stochastic volatility model. Review of Derivatives Research. Advance online publication. doi: 10.1007/s11147-018-9145-y
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
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
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
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
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
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
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
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
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
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
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
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
Luo, X., & Zhang, J. E. (2012). The Term Structure of VIX. Journal of Futures Markets, 32(12), 1092-1123. doi: 10.1002/fut.21572
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
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
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
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
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., & 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
Zhang, J. E., & Xiang, Y. (2008). The implied volatility smirk. Quantitative Finance, 8(3), 263-284. doi: 10.1080/14697680601173444
Zhu, Y., & Zhang, J. E. (2007). Variance term structure and VIX futures pricing. International Journal of Theoretical & Applied Finance, 10(1), 111-127.
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
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
Li, J., Gehricke, S., & Zhang, J. E. (2018). How do US option traders "smirk" on China: Evidence from FXI options market. Proceedings of the Auckland Centre for Financial Research 8th 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). Modeling VXX under jump diffusion with stochastic long-term mean. Proceedings of the Auckland Centre for Financial Research 8th 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 Auckland Centre for Financial Research 8th New Zealand Finance Meeting (NZFM). Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz
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
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/
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/
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/
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/
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/
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/
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
