Jin E. Zhang

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Xinfeng RuanUniversity of OtagoVerified email at otago.ac.nz
D.J. WuErnest Scheller Jr. Chair, Professor of IT Management, Georgia Institute of TechnologyVerified email at scheller.gatech.edu
Sebastian GehrickeUniversity of OtagoVerified email at otago.ac.nz
Eric Chieh ChangDean, Faculty of Business and Economics; Quoin Professor in Finance; Chair of Finance, HKUVerified email at hku.hk
Menachem BrennerProfessor of Finance-Emeritus, Stern School of Business, NYUVerified email at stern.nyu.edu
Fang ZhenCentral University of Finance and EconomicsVerified email at cufe.edu.cn
Wenjun ZhangAuckland University of TechnologyVerified email at aut.ac.nz
Tian YueChongqing Jiaotong UniversityVerified email at cqjtu.edu.cn
Pakorn AschakulpornUniversity of OtagoVerified email at otago.ac.nz
Markus LeippoldUniversity of Zurich, Department of Banking and FinanceVerified email at bf.uzh.ch
Min DaiProfessor, HKPolyU and NUSVerified email at polyu.edu.hk
Xueping WuAssociate Professor of Finance, City University of Hong KongVerified email at cityu.edu.hk
Wei GuoUniversity of OtagoVerified email at postgrad.otago.ac.nz
Jungah YoonUniversity of OtagoVerified email at postgrad.otago.ac.nz
Jing A. ZhangUniversity of OtagoVerified email at otago.ac.nz

Jin E. Zhang

University of Otago

Verified email at otago.ac.nz - Homepage

Derivatives and Quantitative Finance


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Optimal bidding and contracting strategies for capital-intensive goods DJ Wu, PR Kleindorfer, JE Zhang European Journal of Operational Research 137 (3), 657-676, 2002	342	2002
VIX futures JE Zhang, Y Zhu Journal of Futures Markets 26 (6), 521-531, 2006	231	2006
Darboux transformations of classical Boussinesq system and its new solutions Y Li, WX Ma, JE Zhang Physics Letters A 275 (1-2), 60-66, 2000	188	2000
The new market for volatility trading JE Zhang, J Shu, M Brenner Journal of Futures Markets 30 (9), 809-833, 2010	131*	2010
Testing range estimators of historical volatility J Shu, JE Zhang Journal of Futures Markets 26 (3), 297-313, 2006	129	2006
A semi-analytical method for pricing and hedging continuously sampled arithmetic average rate options J Zhang Journal of Computational Finance 5 (1), 59-80, 2001	125	2001
Causality in the VIX futures market J Shu, JE Zhang Journal of Futures Markets 32 (1), 24-46, 2012	119	2012
Darboux transformations of classical Boussinesq system and its multi-soliton solutions Y Li, JE Zhang Physics Letters A 284 (6), 253-258, 2001	112	2001
Hedging volatility risk M Brenner, EY Ou, JE Zhang Journal of Banking & Finance 30 (3), 811-821, 2006	105	2006
The implied volatility smirk JE Zhang, Y Xiang Quantitative Finance 8 (3), 263-284, 2008	100	2008
GARCH Option Pricing Models, the CBOE VIX and Variance Risk Premium J Hao, JE Zhang Journal of Financial Econometrics 11 (3), 556-580, 2013	92	2013
Pricing continuously sampled Asian options with perturbation method JE Zhang Journal of Futures Markets 23 (6), 535-560, 2003	92*	2003
Variance term structure and VIX futures pricing Y Zhu, JE Zhang International Journal of Theoretical and Applied Finance 10 (01), 111-127, 2007	90	2007
The multiple-soliton solution of the Camassa-Holm equation Y Li, JE Zhang Proceedings of the Royal Society of London. Series A 460 (2049), 2617-2627, 2004	90	2004
A new well-posed algorithm to recover implied local volatility L Jiang, Q Chen, L Wang, JE Zhang Quantitative Finance 3 (6), 451, 2003	83	2003
The term structure of VIX X Luo, JE Zhang Journal of Futures Markets 32 (12), 1092-1123, 2012	76	2012
On modeling nonlinear long waves TY Wu, JE Zhang Mathematics Is for Solving Problems, 233-249, 1996	65	1996
The relationship between implied and realized volatility of S&P 500 index J Shu, JE Zhang Wilmott magazine 4, 83-91, 2003	63	2003
Equilibrium asset and option pricing under jump diffusion JE Zhang, H Zhao, EC Chang Mathematical Finance 22 (3), 538-568, 2012	60	2012
The CBOE S&P 500 three-month variance futures JE Zhang, Y Huang Journal of Futures Markets 30 (1), 48-70, 2010	60	2010

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