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
Guo, W., Gehricke, S. A., Ruan, X., & Zhang, J. E. (2021). The implied volatility smirk in SPY options. Applied Economics. Advance online publication. doi: 10.1080/00036846.2020.1866159
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
Ruan, X., & Zhang, J. E. (2020). Ambiguity on uncertainty and the equity premium. Finance Research Letters. Advance online publication. doi: 10.1016/j.frl.2020.101429
Ruan, X., & Zhang, J. E. (2020). The economics of the financial market for volatility trading. Journal of Financial Markets. Advance online publication. doi: 10.1016/j.finmar.2020.100556
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
Guo, W., Gehricke, S. A., Ruan, X., & Zhang, J. E. (2021). The implied volatility smirk in SPY options. Applied Economics. Advance online publication. doi: 10.1080/00036846.2020.1866159
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
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
Ruan, X., & Zhang, J. E. (2020). The economics of the financial market for volatility trading. Journal of Financial Markets. Advance online publication. doi: 10.1016/j.finmar.2020.100556
Ruan, X., & Zhang, J. E. (2020). Ambiguity on uncertainty and the equity premium. Finance Research Letters. Advance online publication. doi: 10.1016/j.frl.2020.101429
Aschakulporn, P., & Zhang, J. E. (2020). New Zealand whole milk powder options. Accounting & Finance. Advance online publication. doi: 10.1111/acfi.12660
Yue, T., Zhang, J. E., & Tan, E. K. M. (2020). The Chinese equity index options market. Emerging Markets Review. Advance online publication. doi: 10.1016/j.ememar.2020.100742
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
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
Jia, X., Ruan, X., & Zhang, J. E. (2020). The implied volatility smirk of commodity options. Journal of Futures Markets. Advance online publication. doi: 10.1002/fut.22161
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
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
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
Tan, X., Wang, C., Lin, W., Zhang, J. E., Li, S., Zhao, X., & Zhang, Z. (2020). The term structure of the VXX option smirk: Pricing VXX option with a two-factor model and asymmetry jumps. Journal of Futures Markets. Advance online publication. doi: 10.1002/fut.22182
Huang, J., Guo, W., & Zhang, J. E. (2020). Do stocks outperform bank deposits in China? Pacific-Basin Finance Journal. Advance online publication. doi: 10.1016/j.pacfin.2020.101464
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
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
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
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
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
Gehricke, S. A., & Zhang, J. E. (2018). Modeling VXX. Journal of Futures Markets, 38(8), 958-976. doi: 10.1002/fut.21913
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
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
Ford, J. M., Gehricke, S. A., & Zhang, J. E. (2020). Option traders are concerned about climate risks: ESG ratings and sentiment. Proceedings of the Accounting & Finance Association of Australia and New Zealand (AFAANZ) Conference. Retrieved from http://www.afaanzconference.com
