{"id":12,"date":"2020-12-21T11:05:13","date_gmt":"2020-12-20T22:05:13","guid":{"rendered":"https:\/\/blogs.otago.ac.nz\/dqfg\/?page_id=12"},"modified":"2025-02-24T16:32:07","modified_gmt":"2025-02-24T03:32:07","slug":"past-events","status":"publish","type":"page","link":"https:\/\/blogs.otago.ac.nz\/dqfg\/events\/past-events\/","title":{"rendered":"Past Events"},"content":{"rendered":"\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
Time<\/th>\nLocation<\/th>\nPresenter(s)<\/th>\nTopic<\/th>\n<\/tr>\n
Fri 16 Jun. 2023<\/td>\n–<\/td>\n–<\/td>\n~Semester Break~<\/i><\/td>\n<\/tr>\n
Wed 7 Jun. 2023
\n10:30pm ~ 3:00pm<\/td>\n		Zoom<\/a><\/td>\n–<\/td>\nPhD Workshop
\nhttps:\/\/sites.google.com\/view\/uoworkshop\/current-workshop<\/td>\n<\/tr>\n
Fri 2 Jun. 2023
\n3:00pm ~ 4:00pm<\/td>\n		Zoom<\/a>
\nOBS7.08<\/td>\n		Weihan Li<\/a><\/td>\n12-month Progress Review<\/td>\n<\/tr>\n
Tue 16 May. 2023
\n7:00pm ~ 8:00pm<\/td>\n		Zoom<\/a><\/td>\nWeihan Li<\/a><\/td>\n12-month Rehearsal: An empirical study on the early exercise premium of American options: Evidence from OEX and XEO options<\/td>\n<\/tr>\n
Tue 2 May. 2023
\n7:00pm ~ 8:00pm<\/td>\n		Zoom<\/a><\/td>\nWen Xu<\/td>\nRealizing the future — The realized GARCH model<\/td>\n<\/tr>\n
Tue 18 Apr. 2023
\n7:00pm ~ 8:00pm<\/td>\n		Zoom<\/a><\/td>\nWeihan Li<\/a><\/td>\nIntroduction of RIX<\/td>\n<\/tr>\n
Tue 28 Mar. 2023
\n4:00pm ~ 5:00pm<\/td>\n		Zoom<\/a>
\nOBS5.07<\/td>\n		Jungah (Isabella) Yoon<\/a><\/td>\nLiterature review on market microstructure and informed trading in currency (futures) markets<\/td>\n<\/tr>\n
Tue 21 Mar. 2023
\n4:00pm ~ 5:00pm<\/td>\n		Zoom<\/a>
\nOBS5.07<\/td>\n		Jianhui (Iris) Li<\/a><\/td>\nLiterature review on option characteristics as cross-sectional predictors and the mechanisms<\/td>\n<\/tr>\n
Fri 17 Mar. 2023
\n2:00pm ~ 3:00pm<\/td>\n		OBS5.07<\/td>\nJunyu (Jeffery) Zhang<\/a><\/td>\n24-month Progress Review: The role of risk-neutral moments in forecasting future realized volatility: An international perspective<\/td>\n<\/tr>\n
Tue 14 Mar. 2023
\n4:00pm ~ 5:00pm<\/td>\n		Zoom<\/a>
\nOBS5.07<\/td>\n		Junyu (Jeffery) Zhang<\/a><\/td>\n24-month Rehearsal: The role of risk-neutral moments in forecasting future realized volatility: An international perspective<\/td>\n<\/tr>\n
Tue 7 Mar. 2023
\n4:00pm ~ 5:00pm<\/td>\n		Zoom<\/a><\/td>\nWeihan Li<\/a><\/td>\nLiterature review on pricing American options<\/td>\n<\/tr>\n
Tue 28 Feb. 2023
\n7:00pm ~ 8:00pm<\/td>\n		Zoom<\/a><\/td>\nWen Xu<\/td>\nLiterature review on Duan, J.C. (1995)<\/a>, Hao, J., & Zhang, J.E. (2013)<\/a>, and Zhang, W., & Zhang, J. E. (2020)<\/a><\/td>\n<\/tr>\n
Mon 20 Feb. 2023
\n7:00pm ~ 8:30pm<\/td>\n		Zoom<\/a><\/td>\nYi Shi<\/td>\nThe implied volatility smirk of Chinese currency options<\/td>\n<\/tr>\n
Tianjiao Li<\/td>\nCOVID-19 tail risk in the Euro-Dollar option market<\/td>\n<\/tr>\n
Thur 09 Feb. 2023
\n7:00pm ~ 8:30pm<\/td>\n		Zoom<\/a><\/td>\nPakorn (Beam) Aschakulporn
\n<\/a>Jungah (Isabella) Yoon
\n<\/a>Jianhui (Iris) Li
\n<\/a><\/td>\n		Rehearsals for NZFC 2023<\/td>\n<\/tr>\n
Wed 08 Feb. 2023<\/td>\n–<\/td>\n–<\/td>\n~Summer Break~<\/i><\/td>\n<\/tr>\n
\n
01 March 2022 ~ 06 December 2022<\/div>\n

 <\/td>\n<\/tr>\n

Tue 06 Dec. 2022
\n2:00pm ~ 3:00pm<\/td>\n		OBS5.07<\/td>\nXinfeng (Edwin) Ruan<\/a><\/td>\nDissecting tail risk concerns: Do they really capture jumps?<\/td>\n<\/tr>\n
Tue 29 Nov. 2022
\n2:00pm ~ 3:00pm<\/td>\n		OBS5.07<\/td>\nPakorn (Beam) Aschakulporn<\/a><\/td>\nThe Implied Volatility Smirk of Pharmaceutical Options during the COVID-19 Pandemic<\/td>\n<\/tr>\n
Tue 22 Nov. 2022
\n2:00pm ~ 3:00pm<\/td>\n		OBS5.07<\/td>\nShi Yi<\/td>\nCao, C., Simin, T., & Xiao, H. (2020). Predicting the equity premium with the implied volatility spread<\/a>.\u00a0Journal of Financial Markets<\/i>,\u00a051<\/i>, 100531.<\/td>\n<\/tr>\n
Fri 18 Nov. 2022
\n2:00pm ~ 3:00pm<\/td>\n		Zoom<\/td>\nJingda Yan<\/a><\/td>\nOverreaction to volatility shock and option returns<\/td>\n<\/tr>\n
Tue 15 Nov. 2022
\n2:00pm ~ 3:00pm<\/td>\n		OBS5.07<\/td>\nTianjiao Li<\/td>\nZhang, J. E., & Xiang, Y. (2008). The implied volatility smirk<\/a>. Quantitative Finance, 8(3), 263-284.<\/td>\n<\/tr>\n
Tue 08 Nov. 2022
\n2:00pm ~ 3:00pm<\/td>\n		OBS5.07<\/td>\nJunyu (Jeffery) Zhang<\/a><\/td>\nThe role of risk-neutral moments in forecasting future realised volatility: An international perspective<\/td>\n<\/tr>\n
Tue 01 Nov. 2022
\n2:00pm ~ 3:00pm<\/td>\n		OBS5.07<\/td>\nJungah (Isabella) Yoon<\/a><\/td>\nRelationship between SPX, VIX and VXX options<\/td>\n<\/tr>\n
Fri 28 Oct. 2022
\n2:00pm ~ 3:00pm<\/td>\n		OBS5.07<\/td>\nWeihan Li<\/a><\/td>\n6-Month PhD Review:
\nAre American options always more expensive than European options? Evidence from OEX and XEO options<\/td>\n<\/tr>\n
Tue 25 Oct. 2022
\n2:00pm ~ 3:00pm<\/td>\n		OBS5.07<\/td>\nJianhui (Iris) Li<\/a><\/td>\nCOVID-19 tail risk<\/td>\n<\/tr>\n
Tue 18 Oct. 2022
\n2:00pm ~ 3:00pm<\/td>\n		OBS5.07<\/td>\nWeihan Li<\/a><\/td>\n6-Month PhD Review Rehearsal:
\nAre American options always more expensive than European options? Evidence from OEX and XEO options<\/td>\n<\/tr>\n
Fri 26 August 2022
\n2:00pm ~ 3:00pm<\/td>\n		Zoom<\/a><\/td>\nWei Lin<\/a><\/td>\nThe valid regions of Gram-Charlier Densities: A revisit<\/td>\n<\/tr>\n
Fri 19 August 2022
\n2:00pm ~ 3:00pm<\/td>\n		Zoom<\/a><\/td>\nWen (Derrick) Xu<\/td>\nModelling and forecasting the CBOE VIX with TVP-HAR<\/td>\n<\/tr>\n
Fri 8 July 2022
\n2:00pm ~ 3:00pm<\/td>\n		Zoom<\/a><\/td>\nJianhui (Iris) Li<\/a><\/td>\n24-Month PhD Review:
\nThe price of COVID-19-induced uncertainty in the options market<\/td>\n<\/tr>\n
Tue 5 July 2022
\n2:00pm ~ 3:00pm<\/td>\n		Zoom<\/a><\/td>\nJianhui (Iris) Li<\/a><\/td>\n24-Month PhD Review Rehearsal:
\nThe price of COVID-19-induced uncertainty in the options market<\/td>\n<\/tr>\n
Fri 1 July 2022
\n2:00pm ~ 3:00pm<\/td>\n		Zoom<\/a><\/td>\nJungah (Isabella) Yoon<\/a><\/td>\n24-Month PhD Review:
\nThe Role of Hedgers and Speculators in the Currency Futures Markets<\/td>\n<\/tr>\n
Tue 28 June 2022
\n2:00pm ~ 3:00pm<\/td>\n		Zoom<\/a><\/td>\nJungah (Isabella) Yoon<\/a>
\nDuncan Roff<\/td>\n		24-Month PhD Review Rehearsal:
\nThe Role of Hedgers and Speculators in the Currency Futures Markets
\nChanges in the NZ WMP Option Market<\/td>\n<\/tr>\n
Tue 14 June 2022
\n2:00pm ~ 3:00pm<\/td>\n		Zoom<\/a><\/td>\nWen (Derrick) Xu<\/td>\nFernandes et al., (2014) Replicate and Extension on CBOE SKEW and Third cumulants<\/td>\n<\/tr>\n
Tue 7 June 2021
\n1:00pm ~ 4:00pm<\/td>\n		Zoom<\/a><\/td>\n–<\/td>\nPhD Workshop
\nhttps:\/\/sites.google.com\/view\/uoworkshop\/current-workshop<\/td>\n<\/tr>\n
Tue 31 May 2022
\n2:00pm ~ 3:00pm<\/td>\n		Zoom<\/a><\/td>\nJungah (Isabella) Yoon<\/a><\/td>\nMathematical Finance:
\nNo-arbitrage principle, forward price, put-call parity and the Black-Scholes model<\/td>\n<\/tr>\n
Tue 24 May 2022
\n2:00pm ~ 3:00pm<\/td>\n		Zoom<\/a><\/td>\nJunyu (Jeffery) Zhang<\/a><\/td>\nMathematical Finance:
\nStock price model, Ito’s Lemma and option price model<\/td>\n<\/tr>\n
Tue 17 May 2022
\n2:00pm ~ 3:00pm<\/td>\n		Zoom<\/a><\/td>\nJianhui (Iris) Li<\/a><\/td>\nMathematical Finance:
\nConditional expectation of a Function of a Brownian motion and martingale<\/td>\n<\/tr>\n
Tue 10 May 2022
\n2:00pm ~ 3:00pm<\/td>\n		Zoom<\/a><\/td>\nWeihan L<\/a>i<\/td>\nMathematical Finance:
\nUnconditional expectation of a function of a Brownian motion<\/td>\n<\/tr>\n
Tue 03 May 2022
\n2:00pm ~ 3:00pm<\/td>\n		Zoom<\/a><\/td>\nYi Shi<\/td>\nMathematical Finance:
\nProbability density function of a function of Brownian motion<\/td>\n<\/tr>\n
Tue 26 April 2022
\n2:00pm ~ 3:00pm<\/td>\n		Zoom<\/a><\/td>\nWen (Derrick) Xu<\/td>\nMathematical Finance:
\nBrownian motion and normal distribution<\/td>\n<\/tr>\n
Tue 19 April 2022<\/td>\n–<\/td>\n–<\/td>\n~Easter Break~<\/i><\/td>\n<\/tr>\n
Tue 12 April 2022
\n2pm ~ 3:30pm<\/td>\n		Zoom<\/a><\/td>\nPakorn (Beam) Aschakulporn<\/a><\/td>\nThe Black-Scholes Model<\/td>\n<\/tr>\n
Junyu (Jeffery) Zhang<\/a><\/td>\nStock return characteristics, skew laws, and the differential pricing of individual equity options (BKM, 2003, RFS<\/i>)<\/td>\n<\/tr>\n
Tue 05 April 2022
\n2pm ~ 3:30pm<\/td>\n		Zoom<\/a><\/td>\nJungah (Isabella) Yoon<\/a><\/td>\nBinomial Tree Model<\/td>\n<\/tr>\n
Jianhui (Iris) Li<\/a><\/td>\nA review of the options markets during COVID-19<\/td>\n<\/tr>\n
Tue 29 March 2022
\n2pm ~ 3:30pm<\/td>\n		Zoom<\/a><\/td>\nJianhui (Iris) Li<\/a><\/td>\nModel-Free Relationships between Option Prices<\/td>\n<\/tr>\n
Weihan Li<\/a><\/td>\nWhat is the value of being American?<\/td>\n<\/tr>\n
Tue 22 March 2022
\n2pm ~ 3:30pm<\/td>\n		Zoom<\/a><\/td>\nJunyu (Jeffery) Zhang<\/a><\/td>\nForward Rate and Forward Rate Agreements
\nSwaps<\/td>\n<\/tr>\n
Wen (Derrick) Xu<\/td>\nAutoregressive conditional duration: A new model for irregularly spaced transaction data<\/td>\n<\/tr>\n
Mon 14 March 2022
\n2:00pm ~ 3:00pm<\/td>\n		Zoom<\/a><\/td>\nWeihan Li<\/a><\/td>\nNo-Arbitrage Principle and Forward Price Formula
\nThe Current Value of a Forward Contract and Futures Trading<\/td>\n<\/tr>\n
Fri 11 March 2022
\n2:00pm ~ 3:00pm<\/td>\n		Zoom<\/a><\/td>\nJunyu (Jeffery) Zhang<\/a><\/td>\n12-Month PhD Review: Risk-neutral moments and return predictability: International evidence<\/td>\n<\/tr>\n
Tue 08 March 2022
\n2:00pm ~ 3:00pm<\/td>\n		Zoom<\/a><\/td>\nYi Shi<\/td>\nOption Strategies and Static Replication<\/td>\n<\/tr>\n
Tue 01 March 2022
\n2:00pm ~ 3:00pm<\/td>\n		Zoom<\/a><\/td>\nWen Xu<\/td>\nDerivatives:
\nIntroduction<\/td>\n<\/tr>\n
\n
12 January 2022 ~ 23 February 2022<\/div>\n

 <\/td>\n<\/tr>\n

Wed 23 February 2022<\/td>\n–<\/td>\n–<\/td>\n~Summer Break~<\/i><\/td>\n<\/tr>\n
Wed 16 February 2022<\/td>\n–<\/td>\n–<\/td>\nNZFC 2022<\/td>\n<\/tr>\n
Wed 09 February 2022
\n2:00pm ~ 3:30pm<\/td>\n		OBS5.07
\nZoom<\/a><\/td>\n		Pakorn (Beam) Aschakulporn
\n<\/a>Jianhui (Iris) Li
\n<\/a>Jungah (Isabella) Yoon
\n<\/a>Junyu (Jeffery) Zhang<\/a><\/td>\n		Rehearsals for NZFC 2022<\/td>\n<\/tr>\n
Wed 02 February 2022
\n2:00pm ~ 3:00pm<\/td>\n		Zoom<\/a><\/td>\nYi Shi<\/td>\nThe implied volatility smirk in the Chinese currency market<\/td>\n<\/tr>\n
Wed 26 January 2022
\n2:00pm ~ 3:00pm<\/td>\n		Zoom<\/a><\/td>\nWeihan Li<\/a><\/td>\nThe price differences between American and European options: Evidence from OEX and XEO options<\/td>\n<\/tr>\n
Wed 19 January 2022
\n2:00pm ~ 3:00pm<\/td>\n		Zoom<\/a><\/td>\nJasper Struwig<\/td>\nThe implied volatility smirk of U.S. pharmaceutical options during COVID-19<\/td>\n<\/tr>\n
Wed 12 January 2022
\n2:00pm ~ 3:00pm<\/td>\n		OBS3.37
\nZoom<\/a><\/td>\n		Junyu (Jeffery) Zhang<\/a><\/td>\nRisk-neutral moments and return predictability: International evidence<\/td>\n<\/tr>\n
\n
20 October 2021 ~ 14 December 2021<\/div>\n

 <\/td>\n<\/tr>\n

Tue 14 December 2021
\n2:00pm ~ 3:00pm<\/td>\n		OBS3.37
\nZoom<\/a><\/td>\n		Weihan Li<\/a><\/td>\nThe price differences between American and European options: Evidence from OEX and XEO options<\/td>\n<\/tr>\n
Tue 7 December 2021
\n2:00pm ~ 3:00pm<\/td>\n		OBS3.37
\nZoom<\/a><\/td>\n		Pakorn (Beam) Aschakulporn<\/a><\/td>\nOption Pricing Under Gram-Charlier Densities<\/td>\n<\/tr>\n
Tue 30 November 2021
\n2:00pm ~ 3:00pm<\/td>\n		OBS3.37
\nZoom<\/a><\/td>\n		Jasper Struwig<\/td>\nThe implied volatility smirk of U.S. pharmaceutical options during COVID-19<\/td>\n<\/tr>\n
Tue 23 November 2021
\n2:00pm ~ 3:00pm<\/td>\n		OBS3.37
\nZoom<\/a><\/td>\n		Jianhui (Iris) Li<\/a><\/td>\nThe price of information uncertainty in the options market<\/td>\n<\/tr>\n
Tue 16 November 2021
\n2:00pm ~ 3:00pm<\/td>\n		OBS3.37
\nZoom<\/a><\/td>\n		Jungah (Isabella) Yoon<\/a><\/td>\nThe role of hegers and speculators: Evidence from the currency futures markets<\/td>\n<\/tr>\n
Tue 9 November 2021
\n2:00pm ~ 3:00pm<\/td>\n		Zoom<\/a><\/td>\nJianhui (Iris) Li<\/a><\/td>\nThe price of COVID-19 uncertainty in the options market<\/td>\n<\/tr>\n
Thu 4 November 2021
\n2:00pm ~ 3:00pm<\/td>\n		Zoom<\/a><\/td>\nXiaolan Jia<\/a><\/td>\n24-Month PhD Review: Covariance risk premium<\/td>\n<\/tr>\n
Tue 2 November 2021
\n2:00pm ~ 3:00pm<\/td>\n		Zoom<\/a><\/td>\nXiaolan Jia<\/a><\/td>\nCovariance risk premium<\/td>\n<\/tr>\n
Wed 27 October 2021
\n2:00pm ~ 3:00pm<\/td>\n		Zoom<\/a><\/td>\nJunyu (Jeffery) Zhang<\/a><\/td>\n6-Month PhD Review: International stock return and volatility predictability: What is the role of risk-neutral moments?<\/td>\n<\/tr>\n
Tue 26 October 2021
\n2:00pm ~ 3:00pm<\/td>\n		Zoom<\/a><\/td>\nWeihan Li<\/a><\/td>\nCSR and Option-based risk measures<\/td>\n<\/tr>\n
Wed 20 October 2021
\n2:00pm ~ 3:00pm<\/td>\n		Zoom<\/a><\/td>\nJunyu (Jeffery) Zhang<\/a><\/td>\nInternational stock return and volatility predictability: What is the role of risk-neutral moments?<\/td>\n<\/tr>\n
\n
16 March 2021 ~ 25 June 2021<\/div>\n

 <\/td>\n<\/tr>\n

Fri 25 June 2021
\n2:00pm ~ 3:00pm<\/td>\n		OBS3.37
\nZoom<\/a><\/td>\n		Pakorn (Beam) Aschakulporn<\/a><\/td>\n24-Month PhD Review: Bakshi, Kapadia, and Madan (2003) Risk-Neutral Moment Estimators: An Affine Jump-Diffusion Approach<\/td>\n<\/tr>\n
Tue 15 June 2021
\n2:30pm ~ 3:30pm<\/td>\n		OBS3.37
\nZoom<\/a><\/td>\n		Pakorn (Beam) Aschakulporn<\/a><\/td>\nBakshi, Kapadia, and Madan (2003) Risk-Neutral Moment Estimators: An Affine Jump-Diffusion Approach<\/td>\n<\/tr>\n
Fri 6 June 2021
\n1:00pm ~ 4:00pm<\/td>\n		Zoom<\/a><\/td>\n<\/td>\nPhD Workshop
\nhttps:\/\/sites.google.com\/view\/uoworkshop\/<\/td>\n<\/tr>\n
Tue 18 May 2021
\n2:30pm ~ 3:30pm<\/td>\n		OBS3.37
\nZoom<\/a><\/td>\n		Wei Lin<\/a><\/td>\nPricing VXX Options by Modelling VIX Directly<\/td>\n<\/tr>\n
Fri 14 May 2021
\n2:00pm ~ 3:00pm<\/td>\n		OBS3.37
\nZoom<\/a><\/td>\n		Jungah (Isabella) Yoon<\/a><\/td>\n12-Month PhD Review: Volatility Risk Premium and the Volatility Market Sentiment Indicator<\/td>\n<\/tr>\n
Tue 11 May 2021
\n2:30pm ~ 3:30pm<\/td>\n		OBS3.37
\nZoom<\/a><\/td>\n		Xiaolan Jia<\/a><\/td>\nForecasting the equity premium with the information inferred from Carr and Wu’s (2020) framework<\/td>\n<\/tr>\n
Tue 4 May 2021
\n2:30pm ~ 3:30pm<\/td>\n		OBS3.37
\nZoom<\/a><\/td>\n		Jungah (Isabella) Yoon<\/a><\/td>\nVolatility Risk Premium and the Volatility Market Sentiment Indicator<\/td>\n<\/tr>\n
Tue 20 April 2021
\n2:30pm ~ 3:30pm<\/td>\n		OBS3.37
\nZoom<\/a><\/td>\n		Wei Guo<\/a><\/td>\nAre American options always more expensive than European options? Evidence from OEX and XEO options<\/td>\n<\/tr>\n
Wed 14 April 2021
\n2:30pm ~ 3:30pm<\/td>\n		Zoom<\/a><\/td>\nProf. Jin Zhang<\/a><\/td>\nResearch<\/td>\n<\/tr>\n
Tue 13 April 2021
\n2:30pm ~ 3:30pm<\/td>\n		OBS3.37
\nZoom<\/a><\/td>\n		Pakorn (Beam) Aschakulporn<\/a><\/td>\nMarkov Chain Monte Carlo<\/td>\n<\/tr>\n
Tue 30 March 2021
\n2:30pm ~ 3:30pm<\/td>\n		OBS3.37
\nZoom<\/a><\/td>\n		Junyu Zhang<\/td>\nIlhan, Emirhan, Zacharias Sautner, and Grigory Vilkov, 2021, Carbon Tail Risk. Review of Financial Studies<\/em> 34(3), 1540-1571.<\/td>\n<\/tr>\n
Wed 17 March 2021
\n2pm ~ 3pm<\/td>\n		Zoom<\/a><\/td>\nJianhui (Iris) Li<\/td>\n6-Month PhD Review: The Shape of Implied Volatility Smirk, Investor Sentiment, and the Cross-Section of Stock Returns<\/td>\n<\/tr>\n
Tue 16 March 2021
\n2:30pm ~ 3:30pm<\/td>\n		OBS3.33
\nZoom<\/a><\/td>\n		Jianhui (Iris) Li<\/td>\nThe Shape of Implied Volatility Smirk, Investor Sentiment, and the Cross-Section of Stock Returns<\/td>\n<\/tr>\n
\n
13 January 2021 ~ 15 February 2021<\/div>\n

 <\/td>\n<\/tr>\n

Mon 15 February 2021
\n3pm ~ 4pm<\/td>\n		OBS3.37
\nZoom<\/a><\/td>\n		Jasper Struwig<\/td>\nThe Implied Volatility Smirk of Johnson & Johnson Options during the 2009 H1N1 Pandemic<\/td>\n<\/tr>\n
Stanley Pont<\/td>\nSummer Research Project 2020\/2021<\/td>\n<\/tr>\n
Mon 8 February 2021
\n3pm ~ 4pm<\/td>\n		OBS3.37
\nZoom<\/a><\/td>\n		~<\/td>\nNo Meeting Today!<\/td>\n<\/tr>\n
Mon 1 February 2021
\n3pm ~ 4pm<\/td>\n		OBS3.37
\nZoom<\/a><\/td>\n		Jungah (Isabella) Yoon<\/a><\/td>\nKang, 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<\/em> 75(1), 377\u2013417.<\/td>\n<\/tr>\n
Mon 25 January 2021
\n10am ~ 12pm<\/td>\n		OBS3.37
\nZoom<\/a><\/td>\n		Samuel Kirk-Reeve
\nTom Lindsay
\nJames Stanners<\/td>\n		FINC580: Research Project<\/td>\n<\/tr>\n
Wed 20 January 2021
\n3pm ~ 4pm<\/td>\n		OBS3.37
\nZoom<\/a><\/td>\n		Wei Guo<\/a><\/td>\nAre American options more expensive than European options? An empirical study<\/td>\n<\/tr>\n
Wed 13 January 2021
\n3pm ~ 4pm<\/td>\n		OBS3.37
\nZoom<\/a><\/td>\n		Jianhui (Iris) Li<\/td>\nThe shape of IV surface and the cross section of stock returns<\/td>\n<\/tr>\n
\n
16 October 2020 ~ 16 December 2020<\/div>\n

 <\/td>\n<\/tr>\n

Wed 16 December 2020
\n3pm ~ 4pm<\/td>\n		OBS3.37
\nZoom<\/a><\/td>\n		Xiaolan Jia<\/a><\/td>\nForecasting the equity premium with the information inferred from Carr and Wu’s (2020) framework<\/td>\n<\/tr>\n
Wed 9 December 2020
\n3pm ~ 4pm<\/td>\n		OBS3.37<\/td>\nWei Lin<\/a><\/td>\n24-month PhD Review: Pricing VXX Options by Modelling VIX Directly<\/td>\n<\/tr>\n
Wed 2 December 2020
\n3pm ~ 4pm<\/td>\n		OBS3.37
\nZoom<\/a><\/td>\n		Samuel Kirk-Reeve
\nTom Lindsay
\nKate Scott
\nJames Stanners
\nTom Weatherall<\/td>\n		FINC580: Research Project<\/td>\n<\/tr>\n
Stanley Pont
\nJasper Struwig<\/td>\n		Summer Research Project 2020\/2021<\/td>\n<\/tr>\n
Basri Abdul Razak<\/td>\nResearch Project<\/td>\n<\/tr>\n
Wed 25 November 2020
\n3pm ~ 4pm<\/td>\n		OBS3.37
\nZoom<\/a><\/td>\n		Pakorn (Beam) Aschakulporn<\/a><\/td>\nBakshi, Kapadia, and Madan Risk-Neutral Moment Estimators under Affine Jump Diffusion<\/td>\n<\/tr>\n
Wed 18 November 2020
\n3pm ~ 4pm<\/td>\n		OBS3.37
\nZoom<\/a><\/td>\n		Wei Guo<\/a><\/td>\nThe Puzzle of Index ETF Option Mispricing<\/td>\n<\/tr>\n
Fri 13 November 2020
\n2pm ~ 3pm<\/td>\n		OBS3.37<\/td>\nJungah (Isabella) Yoon<\/a><\/td>\n6-month PhD Review: The Implied Volatility Slope in VIX options<\/td>\n<\/tr>\n
Wed 11 November 2020
\n3pm ~ 4pm<\/td>\n		OBS3.37
\nZoom<\/a><\/td>\n		Samuel Kirk-Reeve
\nTom Lindsay
\nKate Scott
\nJames Stanners
\nTom Weatherall<\/td>\n		FINC580: Research Project<\/td>\n<\/tr>\n
Stanley Pont
\nJasper Struwig<\/td>\n		Summer Research Project 2020\/2021<\/td>\n<\/tr>\n
Basri Abdul Razak<\/td>\nResearch Project<\/td>\n<\/tr>\n
Wed 4 November 2020
\n3pm ~ 4pm<\/td>\n		Zoom<\/a><\/td>\nJungah (Isabella) Yoon<\/a><\/td>\nThe Steepness of Implied Volatility in the VIX options market<\/td>\n<\/tr>\n
Wed 28 October 2020
\n3pm ~ 4pm<\/td>\n		Zoom<\/a><\/td>\nWei Lin<\/a><\/td>\nPricing VXX option with stochastic volatility<\/td>\n<\/tr>\n
Wed 21 October 2020
\n3pm ~ 4pm<\/td>\n		Zoom<\/a><\/td>\nJianhui (Iris) Li<\/a><\/td>\nThe COVID-19 risk in the Chinese option market<\/td>\n<\/tr>\n
Fri 16 October 2020
\n2pm ~ 3pm<\/td>\n		OBS3.37<\/td>\nXiaolan Jia<\/a><\/td>\nThree Essays on the Implied Volatility Smile<\/td>\n<\/tr>\n
\n
24 February 2020 ~ 30 June 2020<\/div>\n

 <\/td>\n<\/tr>\n

Mon 22 Jun 2020
\n3pm ~ 4pm<\/td>\n		Zoom<\/a><\/td>\nJungah (Isabella) Yoon<\/a><\/td>\nLiterature on VIX Derivatives<\/td>\n<\/tr>\n
Fri 19 Jun 2020
\n12:30pm ~ 1:30pm<\/td>\n		Zoom*<\/a><\/td>\nWei Guo<\/a><\/td>\n2-Year Presentation – The implied volatility smirk and variance risk premia<\/p>\n

*https:\/\/otago.zoom.us\/j\/97286156928<\/a><\/td>\n<\/tr>\n

Mon 15 Jun 2020
\n3pm ~ 4pm<\/td>\n		Zoom<\/a><\/td>\nSamuel Kirk-Reeve<\/td>\nPedersen, Lasse Heje, Shaun Fitzgibbons, and Lukasz Pomorski, 2020, Responsible Investing: The ESG-Efficient Frontier, Available at SSRN: https:\/\/ssrn.com\/abstract=3466417<\/i><\/a><\/td>\n<\/tr>\n
Mon 8 Jun 2020
\n3pm ~ 4pm<\/td>\n		Zoom<\/a><\/td>\nPakorn (Beam) Aschakulporn<\/a><\/td>\nBakshi, Kapadia, and Madan (2003) Risk-Neutral Skewness under Heston\u2019s Model<\/td>\n<\/tr>\n
Tue 2 Jun 2020
\n2pm ~ 4pm<\/td>\n		Zoom*<\/a><\/td>\n<\/td>\nPhD Workshop<\/p>\n

https:\/\/sites.google.com\/view\/uoworkshop<\/a><\/td>\n<\/tr>\n

Mon 1 Jun 2020
\n3pm ~ 4pm<\/td>\n		<\/td>\n<\/td>\n~Queen’s Birthday!~<\/i><\/td>\n<\/tr>\n
Mon 25 May 2020
\n3pm ~ 4pm<\/td>\n		Zoom<\/a><\/td>\nWei Lin<\/a><\/td>\nPricing VXX options<\/td>\n<\/tr>\n
Mon 18 May 2020
\n3pm ~ 4pm<\/td>\n		Zoom<\/a><\/td>\nXiaolan Jia<\/a><\/td>\nRisk-neutral covariance in crude oil market<\/td>\n<\/tr>\n
Mon 11 May 2020
\n3pm ~ 4pm<\/td>\n		Zoom<\/a><\/td>\nJungah (Isabella) Yoon<\/a><\/td>\nZhang, Jin E., and Yi Xiang, 2008, The implied volatility smirk, Quantitative Finance<\/i> 8(3), 263\u2013284.<\/a><\/td>\n<\/tr>\n
Mon 4 May 2020
\n3pm ~ 4pm<\/td>\n		Zoom<\/a><\/td>\nWei Guo<\/a><\/td>\nThe volatility smirk and variance risk premia in SPX options<\/p>\n

(Preliminary Results)<\/i><\/td>\n<\/tr>\n

Tue 28 Apr 2020
\n3pm ~ 4pm<\/td>\n		Zoom<\/a><\/td>\nFang (Livvy) Zhen<\/a><\/td>\nA closed-form mean-variance-skewness strategy<\/td>\n<\/tr>\n
Mon 20 Apr 2020
\n3pm ~ 4pm<\/td>\n		Zoom*<\/a><\/td>\nPakorn (Beam) Aschakulporn<\/a><\/td>\n12-Month Presentation – Bakshi, Kapadia, and Madan (2003) Risk-Neutral Moment Estimators<\/p>\n

*https:\/\/otago.zoom.us\/j\/98775701673<\/a><\/td>\n<\/tr>\n

Mon 13 Apr 2020
\n3pm ~ 4pm<\/td>\n		<\/td>\n<\/td>\n~Easter Break!~<\/i><\/td>\n<\/tr>\n
Mon 6 Apr 2020
\n3pm ~ 4pm<\/td>\n		Zoom<\/a><\/td>\nWei Lin<\/a><\/td>\nLiterature on VXX Option Pricing<\/td>\n<\/tr>\n
Mon 30 Mar 2020
\n3pm ~ 4pm<\/td>\n		Zoom<\/a><\/td>\nTian (Tin) Yue<\/a><\/td>\nHow Do Chinese Option Traders Smirk on China? Evidence from the SSE 50 options<\/td>\n<\/tr>\n
Thu 26 Mar 2020
\n2pm ~ 3pm<\/td>\n		Zoom*<\/a><\/td>\nXiaolan Jia<\/a><\/td>\n6-Month Presentation – The Implied Volatility Smirk in the Commodity Market<\/p>\n

*https:\/\/otago.zoom.us\/j\/681865853<\/a><\/td>\n<\/tr>\n

Wed 18 Mar 2020
\n2pm ~ 3pm<\/td>\n		Zoom<\/a><\/td>\nJungah (Isabella) Yoon<\/a><\/td>\nHarvey, Campbell R., and Akhtar Siddique, 2000, Conditional skewness in asset pricing tests, Journal of Finance<\/i> 55(3), 1263\u20131295.<\/a><\/td>\n<\/tr>\n
Wed 11 Mar 2020
\n2pm ~ 3pm<\/td>\n		OBS3.37<\/td>\nXiaolan Jia<\/a><\/td>\nHu, Guanglian, and Kris Jacobs, 2019, Volatility and expected option
\nreturns, Journal of Financial and Quantitative Analysis<\/i><\/a><\/td>\n<\/tr>\n
Wed 4 Mar 2020
\n2pm ~ 3pm<\/td>\n		OBS3.37<\/td>\nPakorn (Beam) Aschakulporn<\/a><\/td>\nDennis, Patrick, and Stewart Mayhew, 2002, Risk-Neutral Skewness: Evidence from Stock Options, Journal of Financial and Quantitative Analysis<\/i> 37(3), 471-493<\/a><\/td>\n<\/tr>\n
Wed 26 Feb 2020
\n2pm ~ 3pm<\/td>\n		OBS3.37<\/td>\nWei Guo<\/a><\/td>\nTravis L. Johnson, 2017, Risk Premia and the VIX Term Structure, Journal of Financial and Quantitative Analysis<\/i> 52(6), 2461-2490<\/a><\/td>\n<\/tr>\n
\n
6 January 2020 ~ 21 February 2020<\/div>\n

 <\/td>\n<\/tr>\n

Wed 19 Feb 2020
\n2pm ~ 3pm<\/td>\n		OBS3.37<\/td>\nTian (Tin) Yue<\/a><\/td>\nRecent Developments in the Chinese Derivatives Market<\/td>\n<\/tr>\n
Wed 12 Feb 2020
\n2pm ~ 3pm<\/td>\n		OBS3.37<\/td>\n<\/td>\nNo Meeting!
\n(Due to the NZFC)<\/td>\n<\/tr>\n
Wed 5 Feb 2020
\n2pm ~ 3pm<\/td>\n		OBS3.37<\/td>\nJungah (Isabella) Yoon<\/a><\/td>\nJondeau, Eric, Qunzi Zhang, and Xiaoneng Zhu, 2019, Average skewness matters, Journal of Financial Economics<\/i> 134(1), 29\u201347.<\/a><\/td>\n<\/tr>\n
Wed 29 Jan 2020
\n2pm ~ 3pm<\/td>\n		OBS3.37<\/td>\nXiaolan Jia<\/a><\/td>\nHuang, Darien and Mete Kilic, 2019, Gold, platinum, and expected stock returns, Journal of Financial Economics<\/i> 132(3), 50-75.<\/a><\/td>\n<\/tr>\n
Wed 22 Jan 2020
\n2pm ~ 3pm<\/td>\n		OBS3.37<\/td>\nPakorn (Beam) Aschakulporn<\/a><\/td>\nAssortment of Risk-Neutral Moment Literature<\/td>\n<\/tr>\n
Wed 15 Jan 2020
\n2pm ~ 3pm<\/td>\n		OBS3.37<\/td>\nWei Lin<\/a><\/td>\nGrasselli, Martino and Wagalath, Lakshithe, 2018, VIX vs VXX: A Joint Analytical Framework. Available at SSRN: https:\/\/ssrn.com\/abstract=3144526<\/i><\/a><\/td>\n<\/tr>\n
Wed 8 Jan 2020
\n2pm ~ 3pm<\/td>\n		OBS3.37<\/td>\nWei Guo<\/a><\/td>\nThe implied volatility smirk in SPY options<\/td>\n<\/tr>\n
Mon 6 Jan 2020
\n2pm ~ 3pm<\/td>\n		OBS3.37<\/td>\nJungah (Isabella) Yoon
\nZisha Zhang<\/td>\n		Research Progress Update<\/td>\n<\/tr>\n
\n
23 October 2019 ~ 16 December 2019<\/div>\n

 <\/td>\n<\/tr>\n

Mon 16 Dec 2019
\n1pm ~ 2pm<\/td>\n		OBS3.37<\/td>\nWei Lin<\/a><\/td>\nPricing VXX Options<\/td>\n<\/tr>\n
Thu 12 Dec 2019
\n1pm ~ 2pm<\/td>\n		OBS3.36<\/td>\nPakorn (Beam) Aschakulporn<\/a><\/td>\nBakshi, Kapadia, and Madan (2003) Risk-Neutral Moment Estimators<\/td>\n<\/tr>\n
Andre Castaing<\/td>\nThe Impact of Brexit on the Implied Volatility Smirk of the British Pound<\/td>\n<\/tr>\n
Tue 10 Dec 2019
\n2pm ~ 3pm<\/td>\n		OBS3.37<\/td>\nXinfeng (Edwin) Ruan<\/a><\/td>\nRealized Skewness Revisited<\/td>\n<\/tr>\n
Wed 4 Dec 2019
\n2pm ~ 3pm<\/td>\n		OBS3.37<\/td>\nJansson Ford
\nJungah (Isabella) Yoon
\nZisha Zhang
\nAndre Castaing<\/td>\n		Research Progress Update<\/td>\n<\/tr>\n
Mon 2 Dec 2019
\n1:30pm ~ 2:30pm<\/td>\n		OBS3.36<\/td>\nNhu Nguyen<\/a><\/td>\nEssays in Empirical Finance<\/td>\n<\/tr>\n
Wed 27 Nov 2019
\n2pm ~ 3pm<\/td>\n		OBS3.37<\/td>\nXiaolan Jia<\/a><\/td>\n
\nPeter Carr and Liuren Wu, Option Profit and Loss Attribution and Pricing: A New Framework, Journal of Finance<\/i>, 2019, forthcoming.
\n<\/a><\/td>\n<\/tr>\n
Wed 20 Nov 2019
\n2pm ~ 3pm<\/td>\n		OBS3.37<\/td>\nPakorn (Beam) Aschakulporn<\/a><\/td>\n
\nAmmann, Manuel and Alexander Feser, 2019, Robust estimation of risk-neutral moments, Journal of Futures Markets<\/i> 39(9), 1137-1166.
\n<\/a><\/td>\n<\/tr>\n
Wed 13 Nov 2019
\n2pm ~ 3pm<\/td>\n		OBS3.37<\/td>\nWei Lin<\/a><\/td>\nPricing VXX Options<\/td>\n<\/tr>\n
Wed 6 Nov 2019
\n2pm ~ 3pm<\/td>\n		OBS3.37<\/td>\nJansson Ford
\nConnor Stuart
\nJungah (Isabella) Yoon
\nZisha Zhang<\/td>\n		FINC580: Research Project Proposal<\/td>\n<\/tr>\n
Andre Castaing<\/td>\nSummer Research Proposal 2019\/2020<\/td>\n<\/tr>\n
Wed 30 Oct 2019
\n2pm ~ 3pm<\/td>\n		OBS3.37<\/td>\nWei Guo<\/a><\/td>\nThe Cross-Sectional Variation of Delta Hedged Returns<\/td>\n<\/tr>\n
Wed 23 Oct 2019
\n1pm ~ 2pm<\/td>\n		OBS3.36<\/td>\nXiaolan Jia<\/a><\/td>\nThe Implied Volatility Smirk in the Commodity Market<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

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 […]<\/p>\n","protected":false},"author":39818,"featured_media":0,"parent":6,"menu_order":2,"comment_status":"closed","ping_status":"closed","template":"","meta":{"footnotes":""},"class_list":["post-12","page","type-page","status-publish","hentry"],"_links":{"self":[{"href":"https:\/\/blogs.otago.ac.nz\/dqfg\/wp-json\/wp\/v2\/pages\/12","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/blogs.otago.ac.nz\/dqfg\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/blogs.otago.ac.nz\/dqfg\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/blogs.otago.ac.nz\/dqfg\/wp-json\/wp\/v2\/users\/39818"}],"replies":[{"embeddable":true,"href":"https:\/\/blogs.otago.ac.nz\/dqfg\/wp-json\/wp\/v2\/comments?post=12"}],"version-history":[{"count":0,"href":"https:\/\/blogs.otago.ac.nz\/dqfg\/wp-json\/wp\/v2\/pages\/12\/revisions"}],"up":[{"embeddable":true,"href":"https:\/\/blogs.otago.ac.nz\/dqfg\/wp-json\/wp\/v2\/pages\/6"}],"wp:attachment":[{"href":"https:\/\/blogs.otago.ac.nz\/dqfg\/wp-json\/wp\/v2\/media?parent=12"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}