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

  • Department of Finance, Lancaster University Management School

    • Email
    • Tel: +441524592776

  • Swiss Finance Institute

SCHOLARLY PAPERS

7

DOWNLOADS

988

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (7)

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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, Ally Zhang and Ally Zhang
IMC Financial Markets and Department of Finance, Lancaster University Management SchoolSwiss Finance Institute
Downloads 323 (151,001)
Citation 1

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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: 48 Posted: 17 Jan 2017 Last Revised: 05 Jan 2022
Ally Zhang and Ally Zhang
Department of Finance, Lancaster University Management SchoolSwiss Finance Institute
Downloads 273 (180,006)

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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, Ally Zhang and Matthias Thul
Department of Finance, Lancaster University Management SchoolSwiss Finance Institute and IMC Financial Markets
Downloads 130 (348,293)

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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: 23 Mar 2021
Ally Zhang, Ally Zhang and Runjie Geng
Department of Finance, Lancaster University Management SchoolSwiss Finance Institute and University of Zurich - Department of Banking and Finance
Downloads 127 (354,366)

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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 and Ally Zhang
Department of Finance, Lancaster University Management SchoolSwiss Finance Institute
Downloads 68 (529,206)

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

6.

Presale Discounts and Risk Sharing: Evidence from the Hong Kong Real Estate Market

Number of pages: 46 Posted: 27 Mar 2023
Quan Gan, Maggie Hu, Yang Shi, Ally Zhang and Ally Zhang
The University of Sydney - Discipline of Finance, The Chinese University of Hong Kong, The University of Melbourne and Department of Finance, Lancaster University Management SchoolSwiss Finance Institute
Downloads 39 (676,245)

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Presale contracts, Presale prices, Risk sharing, Price-time sensitivity

7.

Recursive equilibria in dynamic economies with bounded rationality

Number of pages: 28 Posted: 05 May 2021
Runjie Geng, Ally Zhang and Ally Zhang
University of Zurich - Department of Banking and Finance and Department of Finance, Lancaster University Management SchoolSwiss Finance Institute
Downloads 28 (751,489)

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bounded rationality, recursive equilibria, behavioral economics, asset pricing