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

608

CITATIONS

0

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 229 (123,949)

Abstract:

Loading...

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

2.

The Macroeconomics of Arbitrage Trading -- Dynamics and Multiple Equilibria with Arbitrage, Production and Collateral Constraints

Swiss Finance Institute Research Paper No. 17-02
Number of pages: 50 Posted: 17 Jan 2017 Last Revised: 17 Aug 2018
Ally Zhang
Department of Finance, Lancaster University Management School
Downloads 159 (173,271)

Abstract:

Loading...

limits of arbitrage, financial intermediary, segmented markets, financial crises, mispricing, regime shift, multiple equilibria, collateral constraints, 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 110 (231,474)

Abstract:

Loading...

leveraged certificates, barrier options, overnight gap, risk management

4.

Arbitrage Crashes, Financial Accelerator, and Sudden Market Freezes

Swiss Finance Institute Research Paper No. 17-62
Number of pages: 36 Posted: 11 Sep 2017 Last Revised: 09 Jan 2018
Ally Zhang
Department of Finance, Lancaster University Management School
Downloads 67 (314,729)

Abstract:

Loading...

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 43 (385,971)

Abstract:

Loading...

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