Author Page for Jin E. Zhang

Variance Term Structure and VIX Futures Pricing

Number of pages: 24 Posted: 25 Apr 2005

Yingzi Zhu and Jin E. Zhang

Tsinghua University - School of Economics & Management and University of Otago, Otago Business School, Department of Accountancy and Finance

Downloads 2,325 (11,099)

Citation 6

Abstract:

2.

Hedging Volatility Risk

EFA 2002 Berlin Meetings Discussion Paper

Number of pages: 34 Posted: 13 Jul 2002

Menachem Brenner, Ernest Y. Ou and Jin E. Zhang

New York University (NYU) - Department of Finance, Lehman Brothers, New York and University of Otago, Otago Business School, Department of Accountancy and Finance

Downloads 1,203 (30,109)

Citation 1

Abstract:

Hedging Volatility Risk

NYU Working Paper No. FIN-00-057

Number of pages: 31 Posted: 13 Nov 2008

Menachem Brenner, Ernest Y. Ou and Jin E. Zhang

New York University (NYU) - Department of Finance, Lehman Brothers, New York and University of Otago, Otago Business School, Department of Accountancy and Finance

Downloads 96 (467,205)

Citation 2

Abstract:

Hedging Volatility Risk

NYU Working Paper No. S-DRP-01-04

Number of pages: 31 Posted: 07 Nov 2008

Menachem Brenner, Ernest Y. Ou and Jin E. Zhang

New York University (NYU) - Department of Finance, Lehman Brothers, New York and University of Otago, Otago Business School, Department of Accountancy and Finance

Downloads 81 (520,664)

Abstract:

3.

The Market for Volatility Trading; Vix Futures

NYU Working Paper No. FIN-07-003

Number of pages: 30 Posted: 03 Nov 2008

Menachem Brenner, Jinghong Shu and Jin E. Zhang

New York University (NYU) - Department of Finance, affiliation not provided to SSRN and University of Otago, Otago Business School, Department of Accountancy and Finance

Downloads 819 (52,471)

Citation 7

Abstract:

4.

Options on the Minimum or the Maximum of Two Average Prices

Downloads 558 (86,007)

2

Options on the Minimum or the Maximum of Two Average Prices

Number of pages: 37 Posted: 19 Sep 1998

Xueping Wu and Jin E. Zhang

City University of Hong Kong (CityU) - Department of Economics & Finance and University of Otago, Otago Business School, Department of Accountancy and Finance

Downloads 558 (85,017)

Abstract:

Options on the Minimum or the Maximum of Two Average Prices

Review of Derivatives Research, Vol. 3, No. 2, 1999

Posted: 23 Sep 1999

Xueping Wu and Jin E. Zhang

City University of Hong Kong (CityU) - Department of Economics & Finance and University of Otago, Otago Business School, Department of Accountancy and Finance

Abstract:

5.

The Skewness Implied in the Heston Model and its Application

Journal of Futures Markets, (Forthcoming)

Number of pages: 46 Posted: 11 Jun 2016

Jin E. Zhang, Fang Zhen, Xiaoxia Sun and Huimin ZHAO

University of Otago, Otago Business School, Department of Accountancy and Finance, Central University of Finance and Economics (CUFE) - China Economics and Management Academy, Donbei University of Finance and Economics and Sun Yat-sen University (SYSU)

Downloads 485 (102,181)

Citation 3

Abstract:

6.

The CBOE S&P 500 Three-Month Variance Futures

Number of pages: 31 Posted: 23 Jan 2009

Jin E. Zhang and Yuqin Huang

University of Otago, Otago Business School, Department of Accountancy and Finance and The University of Hong Kong

Downloads 277 (189,999)

Citation 6

Abstract:

7.

Is Warrant Really a Derivative? Evidence from the Chinese Warrant Market

Number of pages: 43 Posted: 15 Mar 2010

Eric C. Chang, Lei Shi and Jin E. Zhang

University of Hong Kong - School of Business, The University of Hong Kong, School of Economics and Finance and University of Otago, Otago Business School, Department of Accountancy and Finance

Downloads 256 (205,655)

Citation 2

Abstract:

8.

The Role of Hedgers and Speculators in the Currency Futures Markets

Number of pages: 73 Posted: 09 Aug 2022

Jungah (Isabella) Yoon, Xinfeng Ruan and Jin E. Zhang

University of Otago - Department of Accountancy and Finance, Xi'an Jiaotong-Liverpool University and University of Otago, Otago Business School, Department of Accountancy and Finance

Downloads 234 (224,521)

Abstract:

9.

A Remark on Lin and Chang's Paper 'Consistent Modeling of S&P 500 and VIX Derivatives'

Swiss Finance Institute Research Paper No. 11-54

Number of pages: 21 Posted: 17 Nov 2011

Jun Cheng, Meriton Ibraimi, Markus Leippold and Jin E. Zhang

Shanghai Stock Exchange, University of Zurich - Swiss Banking Institute (ISB), University of Zurich and University of Otago, Otago Business School, Department of Accountancy and Finance

Downloads 228 (230,240)

Abstract:

10.

Covariance Risk Premium and Expected Stock Returns

Number of pages: 56 Posted: 22 Nov 2023

Xiaolan Jia, Xinfeng Ruan and Jin E. Zhang

Chongqing University of Education, Xi'an Jiaotong-Liverpool University and University of Otago, Otago Business School, Department of Accountancy and Finance

Downloads 226 (237,126)

Abstract:

11.

The Relation Between Physical and Risk-Neutral Cumulants

Number of pages: 44 Posted: 10 Mar 2010 Last Revised: 16 Mar 2010

Eric C. Chang, Jin E. Zhang and Huimin Zhao

University of Hong Kong - School of Business, University of Otago, Otago Business School, Department of Accountancy and Finance and The University of Hong Kong

Downloads 204 (255,365)

Abstract:

12.

Asset Pricing in a Production Economy with Heterogeneous Investors

Number of pages: 36 Posted: 13 Mar 2006

Jin E. Zhang and Tiecheng Li

University of Otago, Otago Business School, Department of Accountancy and Finance and Tsinghua University

Downloads 136 (360,261)

Abstract:

13.

The Cross-Sectional Variation of Skew Risk Premia

Number of pages: 37 Posted: 20 Sep 2017

Xinfeng Ruan and Jin E. Zhang

Xi'an Jiaotong-Liverpool University and University of Otago, Otago Business School, Department of Accountancy and Finance

Downloads 118 (400,778)

Abstract:

14.

Market Excess Returns, Variance and the Third Cumulant

Asian Finance Association (AsianFA) 2015 Conference Paper

Number of pages: 40 Posted: 13 Feb 2015

Eric C. Chang, Jin E. Zhang and Huimin ZHAO

University of Hong Kong - School of Business, University of Otago, Otago Business School, Department of Accountancy and Finance and Sun Yat-sen University (SYSU)

Downloads 114 (411,029)

Abstract:

15.

Risk-Neutral Moments in the Crude Oil Market

Energy Economics, Vol. 72, No. 2018, 2018

Number of pages: 61 Posted: 06 Sep 2017 Last Revised: 30 Aug 2018

Xinfeng Ruan and Jin E. Zhang

Xi'an Jiaotong-Liverpool University and University of Otago, Otago Business School, Department of Accountancy and Finance

Downloads 103 (442,129)

Citation 3

Abstract:

16.

Expected Stock Returns and Forward Variance

Journal of Financial Markets, Forthcoming

Number of pages: 42 Posted: 26 Jan 2012 Last Revised: 14 Jun 2016

Xingguo Luo and Jin E. Zhang

Zhejiang University, College of Economics and Academy of Financial Research and University of Otago, Otago Business School, Department of Accountancy and Finance

Downloads 91 (479,875)

Citation 1

Abstract:

17.

The Valid Regions of Gram-Charlier Densities

Number of pages: 40 Posted: 24 Apr 2020

Wei Lin, Wei Lin and Jin E. Zhang

Dept. Accountancy and FinanceCollege of mathematics and science and University of Otago, Otago Business School, Department of Accountancy and Finance

Downloads 83 (507,703)

Citation 3

Abstract:

18.

Time-varying uncertainty and variance risk premium

2019 Financial Markets & Corporate Governance Conference, Journal of Macroeconomics, Vol. 69, 2021

Number of pages: 28 Posted: 23 Oct 2017 Last Revised: 01 Nov 2023

Xinfeng Ruan and Jin E. Zhang

Xi'an Jiaotong-Liverpool University and University of Otago, Otago Business School, Department of Accountancy and Finance

Downloads 63 (595,981)

Abstract:

19.

Equilibrium Variance Risk Premium in a Cost-free Production Economy

Journal of Economic Dynamics and Control, Forthcoming

Number of pages: 48 Posted: 10 May 2018 Last Revised: 10 Jan 2019

Xinfeng Ruan and Jin E. Zhang

Xi'an Jiaotong-Liverpool University and University of Otago, Otago Business School, Department of Accountancy and Finance

Downloads 59 (610,792)

Citation 1

Abstract:

20.

Moment Spreads in the Energy Market

Energy Economics, Vol. 81, 2019

Number of pages: 39 Posted: 06 Sep 2017 Last Revised: 30 Oct 2023

Xinfeng Ruan and Jin E. Zhang

Xi'an Jiaotong-Liverpool University and University of Otago, Otago Business School, Department of Accountancy and Finance

Downloads 56 (626,300)

Citation 1

Abstract:

21.

Testing and Forecasting Price Jumps with Return Moments

Number of pages: 20 Posted: 02 Sep 2023

Fang Zhen, Xinfeng Ruan and Jin E. Zhang

Central University of Finance and Economics (CUFE) - China Economics and Management Academy, Xi'an Jiaotong-Liverpool University and University of Otago, Otago Business School, Department of Accountancy and Finance

Downloads 52 (648,016)

Abstract:

22.

The Price of Covid-19-Induced Uncertainty in the Options Market

Number of pages: 19 Posted: 07 Dec 2021 Last Revised: 30 Oct 2023

Jianhui Li, Xinfeng Ruan and Jin E. Zhang

University of Otago - Department of Accountancy and Finance, Xi'an Jiaotong-Liverpool University and University of Otago, Otago Business School, Department of Accountancy and Finance

Downloads 49 (664,828)

Citation 1

Abstract:

23.

Ambiguity on uncertainty and the equity premium

Finance Research Letters, Vol. 38, 2021

Number of pages: 19 Posted: 23 Oct 2017 Last Revised: 26 Oct 2023

Xinfeng Ruan and Jin E. Zhang

Xi'an Jiaotong-Liverpool University and University of Otago, Otago Business School, Department of Accountancy and Finance

Downloads 43 (701,667)

Abstract:

24.

A Remark on Lin and Chang's Paper ‘Consistent Modeling of S&P 500 and Vix Derivatives’

Journal of Economic Dynamics and Control, Vol. 36, No. 5, 2012

Posted: 03 Oct 2012

Jun Cheng, Meriton Ibraimi, Markus Leippold and Jin E. Zhang

Shanghai Stock Exchange, University of Zurich - Swiss Banking Institute (ISB), University of Zurich and University of Otago, Otago Business School, Department of Accountancy and Finance

Abstract:

25.

VIX Futures

Journal of Futures Markets, Vol. 26, No. 6, pp. 521-531

Posted: 29 Aug 2005

Jin E. Zhang and Yingzi Zhu

University of Otago, Otago Business School, Department of Accountancy and Finance and Tsinghua University - School of Economics & Management

Abstract:

26.

A Semi-Analytical Method for Pricing and Hedging Continuously Sampled Arithmetic Average Rate Options

Journal of Computational Finance, Vol. 5, No. 1

Posted: 08 Jan 2002

Jin E. Zhang

University of Otago, Otago Business School, Department of Accountancy and Finance

Abstract:

27.

Arithmetic Asian Options with Continuous Sampling

Posted: 02 Jul 1999

Jin E. Zhang

University of Otago, Otago Business School, Department of Accountancy and Finance

Jin E. Zhang

University of Otago, Otago Business School, Department of Accountancy and Finance

Professor of Finance

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Scholarly Papers (27)

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