Jin E. Zhang

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

Professor of Finance

Dunedin, 9054

New Zealand

http://sites.google.com/site/jinzhanghomepage/home

SCHOLARLY PAPERS

23

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Scholarly Papers (23)

1.

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 2,119 (6,528)
Citation 1

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Stochastic volatility, variance term structure, arbitrage-free model, volatility derivatives, VIX futures

2.
Downloads 1,241 ( 15,673)
Citation 13

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 1,110 (18,201)
Citation 1

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Straddle, Compound Options, Stochastic Volatility

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 75 (320,565)
Citation 2

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Straddle, Compound Options, Stochastic Volatility

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 56 (374,936)

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Straddle, Compound Options, Stochastic Volatility

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 744 (32,875)
Citation 3

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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 (CityUHK) - Department of Economics & Finance and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 521 (52,002)

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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 (CityUHK) - Department of Economics & Finance and University of Otago, Otago Business School, Department of Accountancy and Finance

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5.

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 236 (129,662)
Citation 4

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Volatility trading, Variance Futures, VIX

6.

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 227 (134,741)

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Warrants, the Chinese warrant market, Option pricing model

7.

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
Shanghai Stock Exchange, University of Zurich - Swiss Banking Institute (ISB), University of Zurich - Department of Banking and Finance and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 190 (159,345)
Citation 1

Abstract:

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VIX option pricing, affine jump di usion, characteristic function

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 166 (179,806)

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Skewness swap, Kurtosis swap, Equity risk premium, Variance risk premium, Skewness risk premium, Kurtosis risk premium

The Relation between Physical and Risk‐Neutral Cumulants

International Review of Finance, Vol. 13, Issue 3, pp. 345-381, 2013
Number of pages: 37 Posted: 03 Sep 2013
Huimin Zhao, Jin E. Zhang and Eric C. Chang
The University of Hong Kong, University of Otago, Otago Business School, Department of Accountancy and Finance and University of Hong Kong - School of Business
Downloads 1 (685,416)
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9.

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 163 (182,421)

Abstract:

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Skewness; Heston model; Third cumulant

10.

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 95 (274,399)

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Asset pricing, Heterogeneous preferences, Market price of risk, Interest rate

11.

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 85 (294,442)

Abstract:

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Equilibrium asset pricing model; Market excess return; Variance; The third cumulant; Variance risk premium

12.

The Cross-Sectional Variation of Skew Risk Premia

Number of pages: 37 Posted: 20 Sep 2017
Xinfeng Ruan and Jin E. Zhang
University of Otago - Department of Accountancy and Finance and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 75 (317,231)

Abstract:

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Skew Swap; Skew Risk Premium; Variance Risk Premium; Cross-Section

13.

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 51 (388,754)

Abstract:

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Stock returns; Forward variance; Predictability

14.

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
University of Otago - Department of Accountancy and Finance and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 48 (395,582)

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Risk-neutral moments; risk-neutral cumulants, crude oil; options; stock returns; cross section

15.

Market Moment Spreads and the Cross Section of Expected Returns: Evidence from the Energy Sector

Number of pages: 38 Posted: 06 Sep 2017 Last Revised: 02 Jun 2019
Xinfeng Ruan and Jin E. Zhang
University of Otago - Department of Accountancy and Finance and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 41 (421,054)

Abstract:

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Market Moment Spreads; Cross Section of Expected Returns; Energy Sector

16.

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
University of Otago - Department of Accountancy and Finance and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 32 (458,564)

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Variance risk premium; term structure; equity premium puzzle; cost-free production economy; affine model.

17.

Equilibrium Variance Risk Premium and Option Smirk in the AK Production Model

2019 Financial Markets & Corporate Governance Conference
Number of pages: 37 Posted: 23 Oct 2017 Last Revised: 09 Apr 2019
Xinfeng Ruan and Jin E. Zhang
University of Otago - Department of Accountancy and Finance and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 26 (488,462)

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AK production model; asset pricing; variance risk premium; implied volatility surface; option smirk.

18.

Pricing and Hedging American Options Analytically: A Perturbation Method

Mathematical Finance, Vol. 20, Issue 1, pp. 59-87, January 2010
Number of pages: 29 Posted: 18 Jan 2010
Jin E. Zhang and Tiecheng Li
University of Otago, Otago Business School, Department of Accountancy and Finance and Tsinghua University
Downloads 3 (630,778)
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19.

Equilibrium Asset and Option Pricing Under Jump Diffusion

Mathematical Finance, Vol. 22, Issue 3, pp. 538-568, 2012
Number of pages: 31 Posted: 08 Jun 2012
Jin E. Zhang, Huimin Zhao and Eric C. Chang
University of Otago, Otago Business School, Department of Accountancy and Finance, The University of Hong Kong and University of Hong Kong - School of Business
Downloads 1 (653,079)
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asset pricing, option pricing, jump diffusion, equity risk premium, variance risk premium

20.

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

Abstract:

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VIX option pricing, affine jump diffusion, characteristic function

21.

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:

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VIX, VIX futures, square root process

22.

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

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Average rate Asian options, Arithmetic mean, Continuous sampling, Partial differential equation, Singularity removal technique

23.

Arithmetic Asian Options with Continuous Sampling

Posted: 02 Jul 1999
Jin E. Zhang
University of Otago, Otago Business School, Department of Accountancy and Finance

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