| Time | Location | Presenter(s) | Topic |
|---|---|---|---|
| Fri 16 Jun. 2023 | – | – | ~Semester Break~ |
| Wed 7 Jun. 2023 10:30pm ~ 3:00pm |
Zoom | – | PhD Workshop https://sites.google.com/view/uoworkshop/current-workshop |
| Fri 2 Jun. 2023 3:00pm ~ 4:00pm |
Zoom OBS7.08 |
Weihan Li | 12-month Progress Review |
| Tue 16 May. 2023 7:00pm ~ 8:00pm |
Zoom | Weihan Li | 12-month Rehearsal: An empirical study on the early exercise premium of American options: Evidence from OEX and XEO options |
| Tue 2 May. 2023 7:00pm ~ 8:00pm |
Zoom | Wen Xu | Realizing the future ——
The realized GARCH model |
| Tue 18 Apr. 2023 7:00pm ~ 8:00pm |
Zoom | Weihan Li | Introduction of RIX |
| Tue 28 Mar. 2023 4:00pm ~ 5:00pm |
Zoom OBS5.07 |
Jungah (Isabella) Yoon | Literature review on market microstructure and informed trading in currency (futures) markets |
| Tue 21 Mar. 2023 4:00pm ~ 5:00pm |
Zoom OBS5.07 |
Jianhui (Iris) Li | Literature review on option characteristics as cross-sectional predictors and the mechanisms |
| Fri 17 Mar. 2023 2:00pm ~ 3:00pm |
OBS5.07 | Junyu (Jeffery) Zhang | 24-month Progress Review: The role of risk-neutral moments in forecasting future realized volatility: An international perspective |
| Tue 14 Mar. 2023 4:00pm ~ 5:00pm |
Zoom OBS5.07 |
Junyu (Jeffery) Zhang | 24-month Rehearsal: The role of risk-neutral moments in forecasting future realized volatility: An international perspective |
| Tue 7 Mar. 2023 4:00pm ~ 5:00pm |
Zoom | Weihan Li | Literature review on pricing American options |
| Tue 28 Feb. 2023 7:00pm ~ 8:00pm |
Zoom | Wen Xu | Literature review on Duan, J.C. (1995), Hao, J., & Zhang, J.E. (2013), and Zhang, W., & Zhang, J. E. (2020) |
| Mon 20 Feb. 2023 7:00pm ~ 8:30pm |
Zoom | Yi Shi | The implied volatility smirk of Chinese currency options |
| Tianjiao Li | COVID-19 tail risk in the Euro-Dollar option market | ||
| Thur 09 Feb. 2023 7:00pm ~ 8:30pm |
Zoom | Pakorn (Beam) Aschakulporn Jungah (Isabella) Yoon Jianhui (Iris) Li |
Rehearsals for NZFC 2023 |
| Wed 08 Feb. 2023 | – | – | ~Summer Break~ |
|
01 March 2022 ~ 06 December 2022
|
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| Tue 06 Dec. 2022 2:00pm ~ 3:00pm |
OBS5.07 | Xinfeng (Edwin) Ruan | Dissecting tail risk concerns: Do they really capture jumps? |
| Tue 29 Nov. 2022 2:00pm ~ 3:00pm |
OBS5.07 | Pakorn (Beam) Aschakulporn | The Implied Volatility Smirk of Pharmaceutical Options during the COVID-19 Pandemic |
| Tue 22 Nov. 2022 2:00pm ~ 3:00pm |
OBS5.07 | Shi Yi | Cao, C., Simin, T., & Xiao, H. (2020). Predicting the equity premium with the implied volatility spread. Journal of Financial Markets, 51, 100531. |
| Fri 18 Nov. 2022 2:00pm ~ 3:00pm |
Zoom | Jingda Yan | Overreaction to volatility shock and option returns |
| Tue 15 Nov. 2022 2:00pm ~ 3:00pm |
OBS5.07 | Tianjiao Li | Zhang, J. E., & Xiang, Y. (2008). The implied volatility smirk. Quantitative Finance, 8(3), 263-284. |
| Tue 08 Nov. 2022 2:00pm ~ 3:00pm |
OBS5.07 | Junyu (Jeffery) Zhang | The role of risk-neutral moments in forecasting future realised volatility: An international perspective |
| Tue 01 Nov. 2022 2:00pm ~ 3:00pm |
OBS5.07 | Jungah (Isabella) Yoon | Relationship between SPX, VIX and VXX options |
| Fri 28 Oct. 2022 2:00pm ~ 3:00pm |
OBS5.07 | Weihan Li | 6-Month PhD Review: Are American options always more expensive than European options? Evidence from OEX and XEO options |
| Tue 25 Oct. 2022 2:00pm ~ 3:00pm |
OBS5.07 | Jianhui (Iris) Li | COVID-19 tail risk |
| Tue 18 Oct. 2022 2:00pm ~ 3:00pm |
OBS5.07 | Weihan Li | 6-Month PhD Review Rehearsal: Are American options always more expensive than European options? Evidence from OEX and XEO options |
| Fri 26 August 2022 2:00pm ~ 3:00pm |
Zoom | Wei Lin | The valid regions of Gram-Charlier Densities: A revisit |
| Fri 19 August 2022 2:00pm ~ 3:00pm |
Zoom | Wen (Derrick) Xu | Modelling and forecasting the CBOE VIX with TVP-HAR |
| Fri 8 July 2022 2:00pm ~ 3:00pm |
Zoom | Jianhui (Iris) Li | 24-Month PhD Review: The price of COVID-19-induced uncertainty in the options market |
| Tue 5 July 2022 2:00pm ~ 3:00pm |
Zoom | Jianhui (Iris) Li | 24-Month PhD Review Rehearsal: The price of COVID-19-induced uncertainty in the options market |
| Fri 1 July 2022 2:00pm ~ 3:00pm |
Zoom | Jungah (Isabella) Yoon | 24-Month PhD Review: The Role of Hedgers and Speculators in the Currency Futures Markets |
| Tue 28 June 2022 2:00pm ~ 3:00pm |
Zoom | Jungah (Isabella) Yoon Duncan Roff |
24-Month PhD Review Rehearsal: The Role of Hedgers and Speculators in the Currency Futures Markets Changes in the NZ WMP Option Market |
| Tue 14 June 2022 2:00pm ~ 3:00pm |
Zoom | Wen (Derrick) Xu | Fernandes et al., (2014) Replicate and Extension on CBOE SKEW and Third cumulants |
| Tue 7 June 2021 1:00pm ~ 4:00pm |
Zoom | – | PhD Workshop https://sites.google.com/view/uoworkshop/current-workshop |
| Tue 31 May 2022 2:00pm ~ 3:00pm |
Zoom | Jungah (Isabella) Yoon | Mathematical Finance: No-arbitrage principle, forward price, put-call parity and the Black-Scholes model |
| Tue 24 May 2022 2:00pm ~ 3:00pm |
Zoom | Junyu (Jeffery) Zhang | Mathematical Finance: Stock price model, Ito’s Lemma and option price model |
| Tue 17 May 2022 2:00pm ~ 3:00pm |
Zoom | Jianhui (Iris) Li | Mathematical Finance: Conditional expectation of a Function of a Brownian motion and martingale |
| Tue 10 May 2022 2:00pm ~ 3:00pm |
Zoom | Weihan Li | Mathematical Finance: Unconditional expectation of a function of a Brownian motion |
| Tue 03 May 2022 2:00pm ~ 3:00pm |
Zoom | Yi Shi | Mathematical Finance: Probability density function of a function of Brownian motion |
| Tue 26 April 2022 2:00pm ~ 3:00pm |
Zoom | Wen (Derrick) Xu | Mathematical Finance: Brownian motion and normal distribution |
| Tue 19 April 2022 | – | – | ~Easter Break~ |
| Tue 12 April 2022 2pm ~ 3:30pm |
Zoom | Pakorn (Beam) Aschakulporn | The Black-Scholes Model |
| Junyu (Jeffery) Zhang | Stock return characteristics, skew laws, and the differential pricing of individual equity options (BKM, 2003, RFS) | ||
| Tue 05 April 2022 2pm ~ 3:30pm |
Zoom | Jungah (Isabella) Yoon | Binomial Tree Model |
| Jianhui (Iris) Li | A review of the options markets during COVID-19 | ||
| Tue 29 March 2022 2pm ~ 3:30pm |
Zoom | Jianhui (Iris) Li | Model-Free Relationships between Option Prices |
| Weihan Li | What is the value of being American? | ||
| Tue 22 March 2022 2pm ~ 3:30pm |
Zoom | Junyu (Jeffery) Zhang | Forward Rate and Forward Rate Agreements Swaps |
| Wen (Derrick) Xu | Autoregressive conditional duration: A new model for irregularly spaced transaction data | ||
| Mon 14 March 2022 2:00pm ~ 3:00pm |
Zoom | Weihan Li | No-Arbitrage Principle and Forward Price Formula The Current Value of a Forward Contract and Futures Trading |
| Fri 11 March 2022 2:00pm ~ 3:00pm |
Zoom | Junyu (Jeffery) Zhang | 12-Month PhD Review: Risk-neutral moments and return predictability: International evidence |
| Tue 08 March 2022 2:00pm ~ 3:00pm |
Zoom | Yi Shi | Option Strategies and Static Replication |
| Tue 01 March 2022 2:00pm ~ 3:00pm |
Zoom | Wen Xu | Derivatives: Introduction |
|
12 January 2022 ~ 23 February 2022
|
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| Wed 23 February 2022 | – | – | ~Summer Break~ |
| Wed 16 February 2022 | – | – | NZFC 2022 |
| Wed 09 February 2022 2:00pm ~ 3:30pm |
OBS5.07 Zoom |
Pakorn (Beam) Aschakulporn Jianhui (Iris) Li Jungah (Isabella) Yoon Junyu (Jeffery) Zhang |
Rehearsals for NZFC 2022 |
| Wed 02 February 2022 2:00pm ~ 3:00pm |
Zoom | Yi Shi | The implied volatility smirk in the Chinese currency market |
| Wed 26 January 2022 2:00pm ~ 3:00pm |
Zoom | Weihan Li | The price differences between American and European options: Evidence from OEX and XEO options |
| Wed 19 January 2022 2:00pm ~ 3:00pm |
Zoom | Jasper Struwig | The implied volatility smirk of U.S. pharmaceutical options during COVID-19 |
| Wed 12 January 2022 2:00pm ~ 3:00pm |
OBS3.37 Zoom |
Junyu (Jeffery) Zhang | Risk-neutral moments and return predictability: International evidence |
|
20 October 2021 ~ 14 December 2021
|
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| Tue 14 December 2021 2:00pm ~ 3:00pm |
OBS3.37 Zoom |
Weihan Li | The price differences between American and European options: Evidence from OEX and XEO options |
| Tue 7 December 2021 2:00pm ~ 3:00pm |
OBS3.37 Zoom |
Pakorn (Beam) Aschakulporn | Option Pricing Under Gram-Charlier Densities |
| Tue 30 November 2021 2:00pm ~ 3:00pm |
OBS3.37 Zoom |
Jasper Struwig | The implied volatility smirk of U.S. pharmaceutical options during COVID-19 |
| Tue 23 November 2021 2:00pm ~ 3:00pm |
OBS3.37 Zoom |
Jianhui (Iris) Li | The price of information uncertainty in the options market |
| Tue 16 November 2021 2:00pm ~ 3:00pm |
OBS3.37 Zoom |
Jungah (Isabella) Yoon | The role of hegers and speculators: Evidence from the currency futures markets |
| Tue 9 November 2021 2:00pm ~ 3:00pm |
Zoom | Jianhui (Iris) Li | The price of COVID-19 uncertainty in the options market |
| Thu 4 November 2021 2:00pm ~ 3:00pm |
Zoom | Xiaolan Jia | 24-Month PhD Review: Covariance risk premium |
| Tue 2 November 2021 2:00pm ~ 3:00pm |
Zoom | Xiaolan Jia | Covariance risk premium |
| Wed 27 October 2021 2:00pm ~ 3:00pm |
Zoom | Junyu (Jeffery) Zhang | 6-Month PhD Review: International stock return and volatility predictability: What is the role of risk-neutral moments? |
| Tue 26 October 2021 2:00pm ~ 3:00pm |
Zoom | Weihan Li | CSR and Option-based risk measures |
| Wed 20 October 2021 2:00pm ~ 3:00pm |
Zoom | Junyu (Jeffery) Zhang | International stock return and volatility predictability: What is the role of risk-neutral moments? |
|
16 March 2021 ~ 25 June 2021
|
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| Fri 25 June 2021 2:00pm ~ 3:00pm |
OBS3.37 Zoom |
Pakorn (Beam) Aschakulporn | 24-Month PhD Review: Bakshi, Kapadia, and Madan (2003) Risk-Neutral Moment Estimators: An Affine Jump-Diffusion Approach |
| Tue 15 June 2021 2:30pm ~ 3:30pm |
OBS3.37 Zoom |
Pakorn (Beam) Aschakulporn | Bakshi, Kapadia, and Madan (2003) Risk-Neutral Moment Estimators: An Affine Jump-Diffusion Approach |
| Fri 6 June 2021 1:00pm ~ 4:00pm |
Zoom | PhD Workshop https://sites.google.com/view/uoworkshop/ |
|
| Tue 18 May 2021 2:30pm ~ 3:30pm |
OBS3.37 Zoom |
Wei Lin | Pricing VXX Options by Modelling VIX Directly |
| Fri 14 May 2021 2:00pm ~ 3:00pm |
OBS3.37 Zoom |
Jungah (Isabella) Yoon | 12-Month PhD Review: Volatility Risk Premium and the Volatility Market Sentiment Indicator |
| Tue 11 May 2021 2:30pm ~ 3:30pm |
OBS3.37 Zoom |
Xiaolan Jia | Forecasting the equity premium with the information inferred from Carr and Wu’s (2020) framework |
| Tue 4 May 2021 2:30pm ~ 3:30pm |
OBS3.37 Zoom |
Jungah (Isabella) Yoon | Volatility Risk Premium and the Volatility Market Sentiment Indicator |
| Tue 20 April 2021 2:30pm ~ 3:30pm |
OBS3.37 Zoom |
Wei Guo | Are American options always more expensive than European options? Evidence from OEX and XEO options |
| Wed 14 April 2021 2:30pm ~ 3:30pm |
Zoom | Prof. Jin Zhang | Research |
| Tue 13 April 2021 2:30pm ~ 3:30pm |
OBS3.37 Zoom |
Pakorn (Beam) Aschakulporn | Markov Chain Monte Carlo |
| Tue 30 March 2021 2:30pm ~ 3:30pm |
OBS3.37 Zoom |
Junyu Zhang | Ilhan, Emirhan, Zacharias Sautner, and Grigory Vilkov, 2021, Carbon Tail Risk. Review of Financial Studies 34(3), 1540-1571. |
| Wed 17 March 2021 2pm ~ 3pm |
Zoom | Jianhui (Iris) Li | 6-Month PhD Review: The Shape of Implied Volatility Smirk, Investor Sentiment, and the Cross-Section of Stock Returns |
| Tue 16 March 2021 2:30pm ~ 3:30pm |
OBS3.33 Zoom |
Jianhui (Iris) Li | The Shape of Implied Volatility Smirk, Investor Sentiment, and the Cross-Section of Stock Returns |
|
13 January 2021 ~ 15 February 2021
|
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| Mon 15 February 2021 3pm ~ 4pm |
OBS3.37 Zoom |
Jasper Struwig | The Implied Volatility Smirk of Johnson & Johnson Options during the 2009 H1N1 Pandemic |
| Stanley Pont | Summer Research Project 2020/2021 | ||
| Mon 8 February 2021 3pm ~ 4pm |
OBS3.37 Zoom |
~ | No Meeting Today! |
| Mon 1 February 2021 3pm ~ 4pm |
OBS3.37 Zoom |
Jungah (Isabella) Yoon | Kang, Wenjin, K. Geert Rouwenhorst, and Ke Tang, 2020, A tale of two premiums: The role of hedgers and speculators in commodity futures markets, Journal of Finance 75(1), 377–417. |
| Mon 25 January 2021 10am ~ 12pm |
OBS3.37 Zoom |
Samuel Kirk-Reeve Tom Lindsay James Stanners |
FINC580: Research Project |
| Wed 20 January 2021 3pm ~ 4pm |
OBS3.37 Zoom |
Wei Guo | Are American options more expensive than European options? An empirical study |
| Wed 13 January 2021 3pm ~ 4pm |
OBS3.37 Zoom |
Jianhui (Iris) Li | The shape of IV surface and the cross section of stock returns |
|
16 October 2020 ~ 16 December 2020
|
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| Wed 16 December 2020 3pm ~ 4pm |
OBS3.37 Zoom |
Xiaolan Jia | Forecasting the equity premium with the information inferred from Carr and Wu’s (2020) framework |
| Wed 9 December 2020 3pm ~ 4pm |
OBS3.37 | Wei Lin | 24-month PhD Review: Pricing VXX Options by Modelling VIX Directly |
| Wed 2 December 2020 3pm ~ 4pm |
OBS3.37 Zoom |
Samuel Kirk-Reeve Tom Lindsay Kate Scott James Stanners Tom Weatherall |
FINC580: Research Project |
| Stanley Pont Jasper Struwig |
Summer Research Project 2020/2021 | ||
| Basri Abdul Razak | Research Project | ||
| Wed 25 November 2020 3pm ~ 4pm |
OBS3.37 Zoom |
Pakorn (Beam) Aschakulporn | Bakshi, Kapadia, and Madan Risk-Neutral Moment Estimators under Affine Jump Diffusion |
| Wed 18 November 2020 3pm ~ 4pm |
OBS3.37 Zoom |
Wei Guo | The Puzzle of Index ETF Option Mispricing |
| Fri 13 November 2020 2pm ~ 3pm |
OBS3.37 | Jungah (Isabella) Yoon | 6-month PhD Review: The Implied Volatility Slope in VIX options |
| Wed 11 November 2020 3pm ~ 4pm |
OBS3.37 Zoom |
Samuel Kirk-Reeve Tom Lindsay Kate Scott James Stanners Tom Weatherall |
FINC580: Research Project |
| Stanley Pont Jasper Struwig |
Summer Research Project 2020/2021 | ||
| Basri Abdul Razak | Research Project | ||
| Wed 4 November 2020 3pm ~ 4pm |
Zoom | Jungah (Isabella) Yoon | The Steepness of Implied Volatility in the VIX options market |
| Wed 28 October 2020 3pm ~ 4pm |
Zoom | Wei Lin | Pricing VXX option with stochastic volatility |
| Wed 21 October 2020 3pm ~ 4pm |
Zoom | Jianhui (Iris) Li | The COVID-19 risk in the Chinese option market |
| Fri 16 October 2020 2pm ~ 3pm |
OBS3.37 | Xiaolan Jia | Three Essays on the Implied Volatility Smile |
|
24 February 2020 ~ 30 June 2020
|
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| Mon 22 Jun 2020 3pm ~ 4pm |
Zoom | Jungah (Isabella) Yoon | Literature on VIX Derivatives |
| Fri 19 Jun 2020 12:30pm ~ 1:30pm |
Zoom* | Wei Guo | 2-Year Presentation – The implied volatility smirk and variance risk premia |
| Mon 15 Jun 2020 3pm ~ 4pm |
Zoom | Samuel Kirk-Reeve | Pedersen, Lasse Heje, Shaun Fitzgibbons, and Lukasz Pomorski, 2020, Responsible Investing: The ESG-Efficient Frontier, Available at SSRN: https://ssrn.com/abstract=3466417 |
| Mon 8 Jun 2020 3pm ~ 4pm |
Zoom | Pakorn (Beam) Aschakulporn | Bakshi, Kapadia, and Madan (2003) Risk-Neutral Skewness under Heston’s Model |
| Tue 2 Jun 2020 2pm ~ 4pm |
Zoom* | PhD Workshop | |
| Mon 1 Jun 2020 3pm ~ 4pm |
~Queen’s Birthday!~ | ||
| Mon 25 May 2020 3pm ~ 4pm |
Zoom | Wei Lin | Pricing VXX options |
| Mon 18 May 2020 3pm ~ 4pm |
Zoom | Xiaolan Jia | Risk-neutral covariance in crude oil market |
| Mon 11 May 2020 3pm ~ 4pm |
Zoom | Jungah (Isabella) Yoon | Zhang, Jin E., and Yi Xiang, 2008, The implied volatility smirk, Quantitative Finance 8(3), 263–284. |
| Mon 4 May 2020 3pm ~ 4pm |
Zoom | Wei Guo | The volatility smirk and variance risk premia in SPX options
(Preliminary Results) |
| Tue 28 Apr 2020 3pm ~ 4pm |
Zoom | Fang (Livvy) Zhen | A closed-form mean-variance-skewness strategy |
| Mon 20 Apr 2020 3pm ~ 4pm |
Zoom* | Pakorn (Beam) Aschakulporn | 12-Month Presentation – Bakshi, Kapadia, and Madan (2003) Risk-Neutral Moment Estimators |
| Mon 13 Apr 2020 3pm ~ 4pm |
~Easter Break!~ | ||
| Mon 6 Apr 2020 3pm ~ 4pm |
Zoom | Wei Lin | Literature on VXX Option Pricing |
| Mon 30 Mar 2020 3pm ~ 4pm |
Zoom | Tian (Tin) Yue | How Do Chinese Option Traders Smirk on China? Evidence from the SSE 50 options |
| Thu 26 Mar 2020 2pm ~ 3pm |
Zoom* | Xiaolan Jia | 6-Month Presentation – The Implied Volatility Smirk in the Commodity Market |
| Wed 18 Mar 2020 2pm ~ 3pm |
Zoom | Jungah (Isabella) Yoon | Harvey, Campbell R., and Akhtar Siddique, 2000, Conditional skewness in asset pricing tests, Journal of Finance 55(3), 1263–1295. |
| Wed 11 Mar 2020 2pm ~ 3pm |
OBS3.37 | Xiaolan Jia | Hu, Guanglian, and Kris Jacobs, 2019, Volatility and expected option returns, Journal of Financial and Quantitative Analysis |
| Wed 4 Mar 2020 2pm ~ 3pm |
OBS3.37 | Pakorn (Beam) Aschakulporn | Dennis, Patrick, and Stewart Mayhew, 2002, Risk-Neutral Skewness: Evidence from Stock Options, Journal of Financial and Quantitative Analysis 37(3), 471-493 |
| Wed 26 Feb 2020 2pm ~ 3pm |
OBS3.37 | Wei Guo | Travis L. Johnson, 2017, Risk Premia and the VIX Term Structure, Journal of Financial and Quantitative Analysis 52(6), 2461-2490 |
|
6 January 2020 ~ 21 February 2020
|
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| Wed 19 Feb 2020 2pm ~ 3pm |
OBS3.37 | Tian (Tin) Yue | Recent Developments in the Chinese Derivatives Market |
| Wed 12 Feb 2020 2pm ~ 3pm |
OBS3.37 | No Meeting! (Due to the NZFC) |
|
| Wed 5 Feb 2020 2pm ~ 3pm |
OBS3.37 | Jungah (Isabella) Yoon | Jondeau, Eric, Qunzi Zhang, and Xiaoneng Zhu, 2019, Average skewness matters, Journal of Financial Economics 134(1), 29–47. |
| Wed 29 Jan 2020 2pm ~ 3pm |
OBS3.37 | Xiaolan Jia | Huang, Darien and Mete Kilic, 2019, Gold, platinum, and expected stock returns, Journal of Financial Economics 132(3), 50-75. |
| Wed 22 Jan 2020 2pm ~ 3pm |
OBS3.37 | Pakorn (Beam) Aschakulporn | Assortment of Risk-Neutral Moment Literature |
| Wed 15 Jan 2020 2pm ~ 3pm |
OBS3.37 | Wei Lin | Grasselli, Martino and Wagalath, Lakshithe, 2018, VIX vs VXX: A Joint Analytical Framework. Available at SSRN: https://ssrn.com/abstract=3144526 |
| Wed 8 Jan 2020 2pm ~ 3pm |
OBS3.37 | Wei Guo | The implied volatility smirk in SPY options |
| Mon 6 Jan 2020 2pm ~ 3pm |
OBS3.37 | Jungah (Isabella) Yoon Zisha Zhang |
Research Progress Update |
|
23 October 2019 ~ 16 December 2019
|
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| Mon 16 Dec 2019 1pm ~ 2pm |
OBS3.37 | Wei Lin | Pricing VXX Options |
| Thu 12 Dec 2019 1pm ~ 2pm |
OBS3.36 | Pakorn (Beam) Aschakulporn | Bakshi, Kapadia, and Madan (2003) Risk-Neutral Moment Estimators |
| Andre Castaing | The Impact of Brexit on the Implied Volatility Smirk of the British Pound | ||
| Tue 10 Dec 2019 2pm ~ 3pm |
OBS3.37 | Xinfeng (Edwin) Ruan | Realized Skewness Revisited |
| Wed 4 Dec 2019 2pm ~ 3pm |
OBS3.37 | Jansson Ford Jungah (Isabella) Yoon Zisha Zhang Andre Castaing |
Research Progress Update |
| Mon 2 Dec 2019 1:30pm ~ 2:30pm |
OBS3.36 | Nhu Nguyen | Essays in Empirical Finance |
| Wed 27 Nov 2019 2pm ~ 3pm |
OBS3.37 | Xiaolan Jia | Peter Carr and Liuren Wu, Option Profit and Loss Attribution and Pricing: A New Framework, Journal of Finance, 2019, forthcoming. |
| Wed 20 Nov 2019 2pm ~ 3pm |
OBS3.37 | Pakorn (Beam) Aschakulporn | Ammann, Manuel and Alexander Feser, 2019, Robust estimation of risk-neutral moments, Journal of Futures Markets 39(9), 1137-1166. |
| Wed 13 Nov 2019 2pm ~ 3pm |
OBS3.37 | Wei Lin | Pricing VXX Options |
| Wed 6 Nov 2019 2pm ~ 3pm |
OBS3.37 | Jansson Ford Connor Stuart Jungah (Isabella) Yoon Zisha Zhang |
FINC580: Research Project Proposal |
| Andre Castaing | Summer Research Proposal 2019/2020 | ||
| Wed 30 Oct 2019 2pm ~ 3pm |
OBS3.37 | Wei Guo | The Cross-Sectional Variation of Delta Hedged Returns |
| Wed 23 Oct 2019 1pm ~ 2pm |
OBS3.36 | Xiaolan Jia | The Implied Volatility Smirk in the Commodity Market |
Past Events
