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 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

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Publications

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

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

Yue, T., Gehricke, S., Zhang, J. E., & Pan, Z. (2021). The implied volatility smirk in the Chinese equity options market. Pacific-Basin Finance Journal. Advance online publication. doi: 10.1016/j.pacfin.2021.101624

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

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

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. Advance online publication. 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

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. Advance online publication. doi: 10.1111/acfi.12741

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. Advance online publication. 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

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

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

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

Journal - Research Article

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

Journal - Research Article

Luo, X., & Zhang, J. E. (2012). The Term Structure of VIX. Journal of Futures Markets, 32(12), 1092-1123. doi: 10.1002/fut.21572

Journal - Research Article

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

Journal - Research Article

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

Journal - Research Article

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

Journal - Research Article

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

Journal - Research Article

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

Journal - Research Article

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

Journal - Research Article

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

Journal - Research Article

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

Journal - Research Article

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

Journal - Research Article

More publications...