Ally Zhang

Department of Finance, Lancaster University Management School

Economics Department,

LUMS,

Bailrigg Lancaster, LA1 4YX

United Kingdom

http://www.allyquanzhang.com/wordpress/

Swiss Finance Institute

University of Zurich

Plattenstrasse 32

Zurich, ZH 8032

Switzerland

SCHOLARLY PAPERS

5

DOWNLOADS

694

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (5)

1.

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

26th Australasian Finance and Banking Conference 2013, Swiss Finance Institute Research Paper No. 17-78
Number of pages: 48 Posted: 18 Aug 2013 Last Revised: 12 Feb 2018
Matthias Thul and Ally Zhang
IMC Financial Markets and Department of Finance, Lancaster University Management School
Downloads 252 (126,345)
Citation 1

Abstract:

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

2.

The Macroeconomic Implications of Limited Arbitrage

Swiss Finance Institute Research Paper No. 17-02
Number of pages: 45 Posted: 17 Jan 2017 Last Revised: 29 Dec 2019
Ally Zhang
Department of Finance, Lancaster University Management School
Downloads 192 (164,056)

Abstract:

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limits of arbitrage, financial crises, mispricing, slow recovery, regime shifts, multiple equilibria, collateralization, externality

3.

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

Quantitative Finance, Vol. 17, No. 9
Number of pages: 49 Posted: 02 Feb 2014 Last Revised: 04 Jan 2018
Ally Zhang and Matthias Thul
Department of Finance, Lancaster University Management School and IMC Financial Markets
Downloads 115 (249,999)

Abstract:

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leveraged certificates, barrier options, overnight gap, risk management

4.

Arbitrage Run and Collateral Run

Swiss Finance Institute Research Paper No. 17-62
Number of pages: 38 Posted: 11 Sep 2017 Last Revised: 14 Nov 2019
Ally Zhang
Department of Finance, Lancaster University Management School
Downloads 86 (303,482)

Abstract:

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

5.

Risky Arbitrage and Collateral Policies

Swiss Finance Institute Research Paper No. 17-56
Number of pages: 46 Posted: 22 Aug 2014 Last Revised: 09 Jan 2018
Ally Zhang
Department of Finance, Lancaster University Management School
Downloads 49 (406,712)

Abstract:

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collateral, financial constraints, systemic risk, liquidity, financial stability, incomplete markets