Ally Quan Zhang

University of Zurich - Department of Banking and Finance

Plattenstrasse 32

Z├╝rich, ZH 8032

Switzerland

Swiss Finance Institute

University of Zurich

Plattenstrasse 32

Zurich, ZH 8032

Switzerland

SCHOLARLY PAPERS

4

DOWNLOADS

396

CITATIONS

0

Scholarly Papers (4)

1.

Analytical Option Pricing under an Asymmetrically Displaced Double Gamma Jump-Diffusion Model

26th Australasian Finance and Banking Conference 2013
Number of pages: 46 Posted: 18 Aug 2013 Last Revised: 01 May 2014
Matthias Thul and Ally Quan Zhang
Commerzbank AG and University of Zurich - Department of Banking and Finance
Downloads 135 (131,368)

Abstract:

displaced tails, jump-diffusion, option pricing, maximum likelihood estimation

2.

Arbitrage, Financial Accelerator, and Sudden Market Freezes

Number of pages: 36 Posted: 11 Sep 2017 Last Revised: 03 Oct 2017
Ally Quan Zhang
University of Zurich - Department of Banking and Finance
Downloads 0 (472,750)

Abstract:

limit of arbitrage, financial intermediary, haircut, segmented markets, financial crises, market liquidity, collateral constraints

3.

Best Friend or Worst Enemy? -- Dynamics and Multiple Equilibria with Arbitrage, Production and Collateral Constraints

Swiss Finance Institute Research Paper No. 17-02
Number of pages: 48 Posted: 17 Jan 2017 Last Revised: 02 Oct 2017
Ally Quan Zhang
University of Zurich - Department of Banking and Finance
Downloads 0 (232,450)

Abstract:

limit of arbitrage, financial intermediary, segmented markets, financial crises, market liquidity, multiple equilibria, collateral constraints

4.

How Much Is the Gap? Efficient Jump Risk-Adjusted Valuation of Leveraged Certificates

Quantitative Finance, Forthcoming
Number of pages: 49 Posted: 02 Feb 2014 Last Revised: 26 Feb 2017
Ally Quan Zhang and Matthias Thul
University of Zurich - Department of Banking and Finance and Commerzbank AG
Downloads 0 (244,161)

Abstract:

leveraged certificates, barrier options, overnight gap, risk management