Professor Jin Zhang, Our staff, Department of Accountancy & Finance

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

Publications

Aschakulporn, P., & Zhang, J. E. (2024). The Edgeworth and Gram-Charlier densities. International Journal of Theoretical & Applied Finance. Advance online publication. doi: 10.1142/s0219024924500201 Journal - Research Article

Yue, T., Li, L.-L., Ruan, X., & Zhang, J. E. (2024). Smirking in the energy market: Evidence from the Chinese crude oil options market. International Review of Financial Analysis, 96, 103637. doi: 10.1016/j.irfa.2024.103637 Journal - Research Article

Xu, W., Aschakulporn, P., & Zhang, J. E. (2024). Heterogeneous volatility information content for the realized GARCH modeling and forecasting volatility. Studies in Nonlinear Dynamics & Econometrics. Advance online publication. doi: 10.1515/snde-2024-0013 Journal - Research Article

Li, W., Zhang, J. E., Ruan, X., & Aschakulporn, P. (2024). An empirical study on the early exercise premium of American options: Evidence from OEX and XEO options. Journal of Futures Markets. Advance online publication. doi: 10.1002/fut.22508 Journal - Research Article

Gehricke, S. A., Ruan, X., & Zhang, J. E. (2024). Doing well while doing good: ESG ratings and corporate bond returns. Applied Economics, 56(16), 1916-1934. doi: 10.1080/00036846.2023.2178624 Journal - Research Article

2024

Journal - Research Article

Gehricke, S. A., Ruan, X., & Zhang, J. E. (2024). Doing well while doing good: ESG ratings and corporate bond returns. Applied Economics, 56(16), 1916-1934. doi: 10.1080/00036846.2023.2178624

2023

Journal - Research Article

Zhang, J., Ruan, X., & Zhang, J. E. (2023). Do short-term market swings improve realized volatility forecasts? Finance Research Letters, 58, 104629. doi: 10.1016/j.frl.2023.104629

Yue, T., Ruan, X., Gehricke, S., & Zhang, J. E. (2023). The volatility index and volatility risk premium in China. Quarterly Review of Economics & Finance, 91, 40-55. doi: 10.1016/j.qref.2023.07.004

Jia, X., Ruan, X., & Zhang, J. E. (2023). Carr and Wu’s (2020) framework in the oil ETF option market. Journal of Commodity Markets, 31, 100334. doi: 10.1016/j.jcomm.2023.100334

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, 43, 829-857. 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

Zhang, J., Ruan, X., & Zhang, J. E. (2023). Risk-neutral moments and return predictability: International evidence. Journal of Forecasting, 42, 1086-1111. doi: 10.1002/for.2926

Conference Contribution - Published proceedings: Full paper

Li, W., Zhang, J. E., Ruan, X., & Aschakulporn, P. (2023). An empirical study on the early exercise premium of American options: Evidence from OEX and XEO options. Proceedings of the Annual Derivative Markets Conference. Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz/

2022

Journal - Research Article

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

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, 35, 100687. doi: 10.1016/j.jbef.2022.100687

Yoon, J., Ruan, X., & Zhang, J. E. (2022). VIX option‐implied volatility slope and VIX futures returns. Journal of Futures Markets, 42, 1002-1038. doi: 10.1002/fut.22317

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

Lin, W., & Zhang, J. E. (2022). Pricing VXX options by modeling VIX directly. Journal of Futures Markets, 42, 888-922. doi: 10.1002/fut.22313

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

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

Li, J., Ruan, X., Gehricke, S. A., & Zhang, J. E. (2022). The COVID-19 risk in the Chinese option market. International Review of Finance, 22, 346-355. doi: 10.1111/irfi.12365

Conference Contribution - Published proceedings: Full paper

Zhang, J., Ruan, X., & Zhang, J. E. (2022). The role of risk-neutral moments in forecasting future realised volatility: An international perspective. Proceedings of the Annual Derivative Markets Conference. Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz/

Jia, X., Ruan, X., & Zhang, J. E. (2022). Covariance risk premium. Proceedings of the Annual Derivative Markets Conference. Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz/

Struwig, J., Aschakulporn, P., & Zhang, J. E. (2022). The implied volatility smirk of pharmaceutical options during the COVID-19 pandemic. Proceedings of the 11th Annual New Zealand Finance Meeting (NZFM). Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz

Conference Contribution - Verbal presentation and other Conference outputs

Zhang, J., Ruan, X., & Zhang, J. (2022, December). Risk-neutral moments and return predictability: International evidence. Verbal presentation at the Finance Management Association (FMA) Asia/Pacific Conference, Melbourne, Australia.

Yoon, J., Ruan, X., & Zhang, J. (2022, December). The role of hedgers and speculators in the currency futures market. Verbal presentation at the Finance Management Association (FMA) Asia/Pacific Conference, Melbourne, Australia.

2021

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

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, 69, 101624. 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

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

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

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

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

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

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

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

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

2020

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

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

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). Modeling VXX under jump diffusion with stochastic long‐term mean. Journal of Futures Markets, 40(10), 1508-1534. doi: 10.1002/fut.22145

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

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

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

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

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

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

Conference Contribution - Verbal presentation and other Conference outputs

Ford, J. M., Gehricke, S. A., & Zhang, J. (2020, December). Option traders are concerned about climate risks: ESG ratings and sentiment. Verbal presentation at the 1st Climate and Energy Finance Group (CEFGroup) Climate Finance Symposium, [Hybrid].

2019

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

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, 39, 1450-1470. doi: 10.1002/fut.22005

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

Conference Contribution - Published proceedings: Full paper

Aschakulporn, P., & Zhang, J. E. (2019). Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators. Proceedings of the 9th Annual New Zealand Finance Meeting (NZFM). Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz

Yue, T., Gehricke, S., Zhang, J. E., & Pan, Z. (2019). How do Chinese option-traders 'smirk' on China: Evidence from SSE 50 ETF options. Proceedings of the Annual Derivative Markets Conference. Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz/

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

Working Paper; Discussion Paper; Technical Report

Aschakulporn, P., & Zhang, J. E. (2019). Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators. Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz/__data/assets/pdf_file/0006/293406/BKM-RN-Moment-Estimators.pdf

2018

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

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

Conference Contribution - Published proceedings: Full paper

Gehricke, S. A., & Zhang, J. E. (2018). The implied volatility smirk in the VXX options market. Proceedings of the Annual Derivative Markets Conference. 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 8th Annual 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 8th Annual New Zealand Finance Meeting (NZFM). Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz

Li, J., Gehricke, S., & Zhang, J. E. (2018). How do US option traders "smirk" on China: Evidence from FXI options market. Proceedings of the 8th Annual New Zealand Finance Meeting (NZFM). Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz

2017

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

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

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: 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

Working Paper; Discussion Paper; Technical Report

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

2016

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

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

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

Conference Contribution - Published proceedings: Full paper

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/

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/

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/

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/

2015

Conference Contribution - Published proceedings: Full paper

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/

2013

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

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

Conference Contribution - Published proceedings: Full paper

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/

2012

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

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

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

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

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

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

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

Other Research Output

Zhang, J. (2012, November). Quantitative finance: A new field in finance. University of Otago, Dunedin, New Zealand. [Inaugural Professorial Lecture].

2010

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

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., & 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

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

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

2008

Journal - Research Article

Zhang, J. E., & Xiang, Y. (2008). The implied volatility smirk. Quantitative Finance, 8(3), 263-284. doi: 10.1080/14697680601173444

2007

Journal - Research Article

Zhu, Y., & Zhang, J. E. (2007). Variance term structure and VIX futures pricing. International Journal of Theoretical & Applied Finance, 10(1), 111-127.

2006

Journal - Research Article

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