Publications

2024

1. Li, Weihan, Jin E. Zhang, Xinfeng Ruan, and Pakorn Aschakulporn, 2024, An Empirical Study on the Early Exercise Premium of American Options: Evidence from OEX and XEO Options, Journal of Futures Markets, 44(7), 1117-1153.

2. Gehricke, Sebastian A., Xinfeng Ruan, and Jin E. Zhang, 2024, Doing Well While Doing Good: ESG Ratings and Corporate Bond Returns, Applied Economics, 56(16), 1916-1934.

2023

3. Zhang, Junyu, Xinfeng Ruan, and Jin E. Zhang, 2023, Do Short-Term Market Swings Improve Realized Volatility Forecasts? Finance Research Letters, 58, 104629, 1-10.

4. Yue, Tian, Xinfeng Ruan, Sebastian A. Gehricke, and Jin E. Zhang, 2023, The Volatility Index and Volatility Risk Premium in China, Quarterly Review of Economics and Finance, 91, 44-55.

5. Zhang, Junyu, Xinfeng Ruan, and Jin E. Zhang, 2023, Risk-Neutral Moments and Return Predictability: International Evidence, Journal of Forecasting, 42(5), 1086-1111.

6. Guo, Wei, Xinfeng Ruan, Sebastian A. Gehricke, and Jin E. Zhang, 2023, Term Spreads of Implied Volatility Smirk and Variance Risk Premium, Journal of Futures Markets, 43(7), 829-857.

7. Jia, Xiaolan, Xinfeng Ruan, and Jin E. Zhang, 2023, Carr and Wu’s (2020) Framework in the Oil ETF Option Market, Journal of Commodity Markets, 31, 100334, 1-21.

8. Lin, Wei, Kangli Shen, and Jin E. Zhang, 2023, Further Exploration into the Valid Regions of Gram-Charlier Densities, Journal of Computational and Applied Mathematics, 429, 115231, 1-23.

2022

9. Aschakulporn, Pakorn, and Jin E. Zhang, 2022, Bakshi, Kapadia and Madan (2003) Risk-Neutral Moment Estimators: A Gram-Charlier Density Approach, Review of Derivatives Research, 25(3), 233-281.

10. Ford, Jansson, Sebastian A. Gehricke, and Jin E. Zhang, 2022, Option Traders Are Concerned About Climate Risks: ESG Ratings and Short-Term Sentiment, Journal of Behavioral and Experimental Finance, 35, 100687, 1-13.

11. Li, Jianhui, Xinfeng Ruan, Sebastion A. Gehricke, and Jin E. Zhang, 2022, The COVID-19 Risk in the Chinese Option Market, International Review of Finance, 22(2), 346-355.

12. Zhang, Jin E., and Hai Lin, 2022, Marketwide Liquidity and Options Market, Applied Finance Letters, 11(1), 66-74.

13. Yoon, Jungah, Xinfeng Ruan, and Jin E. Zhang, 2022, VIX Option-Implied Volatility Slope and VIX Futures Returns, Journal of Futures Markets, 42(6), 1002-1038.

14. Lin, Wei, and Jin E. Zhang, 2022, Pricing VXX Options by Modelling VIX Directly, Journal of Futures Markets, 42(5), 888-922.

15. Aschakulporn, Pakorn, and Jin E. Zhang, 2022, Bakshi, Kapadia and Madan (2003) Risk-Neutral Moment Estimators: An Affine Jump-Diffusion Approach, Journal of Futures Markets, 42(3), 365-388.

16. Li, Jianhui, Xinfeng Ruan, and Jin E. Zhang, 2022, The Price of COVID-19-Induced Uncertainty in the Options Market, Economics Letters, 211, 110265, 1-7.

17. Lin, Wei, and Jin E. Zhang, 2022, The Valid Regions of the Gram-Charlier Densities with Higher-Order Cumulants, Journal of Computational and Applied Mathematics, 407, 113945, 1-28.

2021

18. Yoon, Jungah, Xinfeng Ruan, and Jin E. Zhang, 2021, Skewness Risk in the Energy Market, Journal of Risk and Financial Management, 14(12), 620, 1-24.

19. Kirk-Reeve, Samuel, Sebastian A. Gehricke, Xinfeng Ruan, and Jin E. Zhang, 2021, National Air Pollution and the Cross-Section of Stock Returns in China, Journal of Behavioral and Experimental Finance, 32, 100572, 1-15.

20. Stuart, Connor J. A., Sebastian A. Gehricke, Jin E. Zhang, and Xinfeng Ruan, 2021, Implied Volatility Smirk in the Australian Dollar Market, Accounting and Finance, 61(3), 4573-4599.

21. Yue, Tian, Sebastian A. Gehricke, Jin E. Zhang, and Zheyao Pan, 2021, The Implied Volatility Smirk in the Chinese Equity Options Market, Pacific-Basin Finance Journal, 69, 101624, 1-16.

22. Ruan, Xinfeng, and Jin E. Zhang, 2021, Time-Varying Uncertainty and Variance Risk Premium, Journal of Macroeconomics, 69, 103347, 1-13.

23. Aschakulporn, Pakorn, and Jin E. Zhang, 2021, New Zealand Whole Milk Powder Options, Accounting and Finance, 61(S1), 2201-2246.

24. Guo, Wei, Sebastian A. Gehricke, Xinfeng Ruan, and Jin E. Zhang, 2021, The Implied Volatility Smirk in SPY Options, Applied Economics, 53(23), 2671-2692.

25. Tan, Xiaoyu, Chengxiang Wang, Wei Lin, Jin E. Zhang, Shenghong Li, Xuejun Zhao, and Zili Zhang, 2021, The Term Structure of the VXX Option Smirk: Pricing VXX Options with a Two-Factor Model and Asymmetry Jumps, Journal of Futures Markets, 41(4), 439-457. Lead article.

26. Ryan, Nina, Xinfeng Ruan, Jin E. Zhang, and Jing A. Zhang, 2021, Choosing Factors for the Vietnamese Stock Market, Journal of Risk and Financial Management, 14, 96, 1-23.

27. Ruan, Xinfeng, and Jin E. Zhang, 2021, The Economics of the Financial Market for Volatility Trading, Journal of Financial Markets, 52, 100556, 1-20.

28. Ruan, Xinfeng, and Jin E. Zhang, 2021, Ambiguity on Uncertainty and the Equity Premium, Finance Research Letters, 38, 101429, 1-8.

29. Gehricke, Sebastian A., and Jin E. Zhang, 2021, Tracking Performance of VIX Futures ETPs, Journal of Empirical Finance, 61, 103-117.

30. Jia, Xiaolan, Xinfeng Ruan, and Jin E. Zhang, 2021, The Implied Volatility Smirk of Commodity Options, Journal of Futures Markets, 41(1), 72-104.

2020

31. Huang, Jiexiang, Wei Guo, and Jin E. Zhang, 2020, Do Stocks Outperform Bank Deposits in China? Pacific-Basin Finance Journal, 64, 101464, 1-7.

32. Yue, Tian, Jin E. Zhang, and Eric K. M. Tan, 2020, The Chinese Equity Index Options Market, Emerging Markets Review, 45, 100742, 1-18.

33. Zhang, Jin E., Eric C. Chang, and Huimin Zhao, 2020, Market Excess Returns, Variance and the Third Cumulant, International Review of Finance, 20(3), 605-637.

34. Gehricke, Sebastian A., and Jin E. Zhang, 2020, Modeling VXX under Jump-Diffusion with Stochastic Long-Term Mean, Journal of Futures Markets, 40(10), 1508-1534.

35. Zhen, Fang, and Jin E. Zhang, 2020, Dissecting Skewness under Affine Jump-Diffusion, Studies in Nonlinear Dynamics and Econometrics, 24(4), 20180086, 1-19.

36. Ruan, Xinfeng, and Jin E. Zhang, 2020, Asset Pricing in a Pure Exchange Economy with Heterogeneous Investors, Mathematics and Financial Economics, 14(4), 605-634. Lead article.

37. Zhen, Fang, Xinfeng Ruan, and Jin E. Zhang, 2020, Left-Tail Risk in China, Pacific-Basin Finance Journal, 63, 101391, 1-11.

38. Zhang, Wenjun, and Jin E. Zhang, 2020, GARCH Option Pricing Models and the Variance Risk Premium, Journal of Risk and Financial Management, 13(3), 51, 1-21

39. Gehricke, Sebastian, and Jin E. Zhang, 2020, The Implied Volatility Smirk in the VXX Options Market, Applied Economics, 52(8), 769-788. Lead article.

2019

40. Li, Jianhui, Sebastian A. Gehricke, and Jin E. Zhang, 2019, How Do US Options Traders "Smirk" on China? Evidence from FXI Options, Journal of Futures Markets, 39(11), 1450-1470.

41. Luo, Xingguo, Jin E. Zhang, and Wenjun Zhang, 2019, Instantaneous Squared VIX and VIX Derivatives, Journal of Futures Markets, 39(10), 1193-1213. Lead article.

42. Ruan, Xinfeng, and Jin E. Zhang, 2019, Moment Spreads in the Energy Market, Energy Economics, 81, 598-609.

43. Lin, Wei, Shenghong Li, Shane Chern, and Jin E. Zhang, 2019, Pricing VIX Derivatives with Free Stochastic Volatility Model, Review of Derivatives Research, 22(1), 41-75.

2018

44. Ruan, Xinfeng, and Jin E. Zhang, 2018, Equilibrium Variance Risk Premium in a Cost-Free Production Economy, Journal of Economic Dynamics and Control, 96, 42-60.

45. Gehricke, Sebastian A., and Jin E. Zhang, 2018, Modeling VXX, Journal of Futures Markets, 38(8), 758-776.

46. Ruan, Xinfeng, and Jin E. Zhang, 2018, Risk-Neutral Moments in the Crude Oil Market, Energy Economics, 72, 583-600.

2012 - 2017

1. Luo, Xingguo, and Jin E. Zhang, 2017, Expected Stock Returns and Forward Variance, Journal of Financial Markets, 34, 95-117.

2. Zhang, Jin E., Fang Zhen, Xiaoxia Sun, and Huimin Zhao, 2017, The Skewness Implied in the Heston Model and Its Application, Journal of Futures Markets, 37(3), 211-237. Lead article.

3. Ruan, Xinfeng, and Jin E. Zhang, 2016, Investor Attention and Market Microstructure, Economics Letters, 149, 125-130.

4. Chen, Yankun, Jinghong Shu, and Jin E. Zhang, 2016, Investor Sentiment, Variance Risk Premium and Delta-Hedged Gains, Applied Economics, 48(31), 2952-2964.

5. Ruan, Xinfeng, Wenli Zhu, Jiexiang Huang, and Jin E. Zhang, 2016, Equilibrium Asset Pricing under the Levy Process with Stochastic Volatility and Moment Risk Premiums, Economic Modelling, 54, 326-338.

6. Zhao, Huimin, Jin E. Zhang, and Eric C. Chang, 2013, The Relation between Physical and Risk-Neutral Cumulants, International Review of Finance, 13(3), 345-381.

7. Zhang, Jin E., Shoujun Huang, and Tiecheng Li, 2013, The Intersection between European Put Price and Its Payoff Function, International Journal of Theoretical and Applied Finance, 16(4), 1350022, 1-14.

8. Hao, Jinji, and Jin E. Zhang, 2013, GARCH Option Pricing Models, the CBOE VIX and Variance Risk Premium, Journal of Financial Econometrics, 11(3), 556-580.

9. Chang, Eric C., Xingguo Luo, Lei Shi, and Jin E. Zhang, 2013, Is Warrant Really a Derivative? Evidence from the Chinese Warrant Market, Journal of Financial Markets, 16(1), 165-193.

10. Luo, Xingguo, and Jin E. Zhang, 2012, The Term Structure of VIX, Journal of Futures Markets, 32(12), 1092-1123. Lead article.

11. Luo, Xingguo, Haifeng Han, and Jin E. Zhang, 2012, Forecasting the Term Structure of Chinese Treasury Yields, Pacific-Basin Finance Journal, 20(5), 639-659. Lead article.

12. Zhang, Jin E., and Yishen Li, 2012, New Analytical Option Pricing Models with Weyl-Titchmarsh Theory, Quantitative Finance, 12(7), 1003-1010. Feature article.

13. Cheng, Jun, and Jin E. Zhang, 2012, Analytical Pricing of American Options, Review of Derivatives Research, 15(2), 157-192.

14. Zhang, Jin E., Huimin Zhao, and Eric C. Chang, 2012, Equilibrium Asset and Option Pricing Under Jump Diffusion, Mathematical Finance, 22(3), 538-568.

15. Cheng, Jun, Meriton Ibraimi, Markus Leippold and Jin E. Zhang, 2012, A Remark on Lin and Chang's Paper `Consistent modeling of S&P 500 and VIX derivatives', Journal of Economic Dynamics and Control, 36(5), 708-715.

16. Shu, Jinghong, and Jin E. Zhang, 2012, Causality in the VIX Futures Market, Journal of Futures Markets, 32(1), 24-46

2006 - 2011

1. Luo, Xingguo, and Jin E. Zhang, 2010, The Dynamics of Long Forward Rate Term Structures, Journal of Futures Markets, 30(10), 957-982.

2. Zhang, Jin E., Jinghong Shu, and Menachem Brenner, 2010, The New Market for Volatility Trading, Journal of Futures Markets, 30(9), 809-833. Lead article.

3. Dai, Min, Peifan Li, and Jin E. Zhang, 2010, A Lattice Algorithm for Pricing Moving Average Barrier Options, Journal of Economic Dynamics and Control, 34(3), 542-554.

4. Zhang, Jin E., and Tiecheng Li, 2010, Pricing and Hedging American Options Analytically: A Perturbation Method, Mathematical Finance, 20(1), 59-87.

5. Zhang, Jin E., and Yuqin Huang, 2010, The CBOE S&P 500 Three-Month Variance Futures, Journal of Futures Markets, 30(1), 48-70.

6. Zhang, Jin E., and Yi Xiang, 2008, The Implied Volatility Smirk, Quantitative Finance, 8(3), 263-284.

7. Zhu, Yingzi, and Jin E. Zhang, 2007, Variance Term Structure and VIX Futures Pricing, International Journal of Theoretical and Applied Finance, 10(1), 111-127.

8. Zhang, Jin E., and Yingzi Zhu, 2006, VIX Futures, Journal of Futures Markets, 26(6), 521-531. Lead article.

9. Brenner, Menachem, Ernest Y. Ou, and Jin E. Zhang, 2006, Hedging Volatility Risk, Journal of Banking and Finance, 30(3), 811-821.

10. Shu, Jinghong and Jin E. Zhang, 2006, Testing Range Estimators of Historical Volatility, Journal of Futures Markets, 26(3), 297-313.

1999 - 2005

1. Li, Yishen, and Jin E. Zhang, 2004, Option Pricing with Weyl-Titchmarsh Theory, Quantitative Finance, 4(4), 457-464.

2. Shu, Jinghong, and Jin E. Zhang, 2004, Pricing S&P 500 Index Options under Stochastic Volatility with the Indirect Inference Method, Journal of Derivatives Accounting, 1(2), 171-186.

3. Jiang, Lishang, Qihong Chen, Lijun Wang, and Jin E. Zhang, 2003, A New Well-posed Algorithm to Recover Implied Local Volatility, Quantitative Finance, 3(6), 451-457.

4. Zhang, Jin E., 2003, Pricing Continuously Sampled Asian Options with Perturbation Method, Journal of Futures Markets, 23(6), 535-560.

5. Shu, Jinghong and Jin E. Zhang, 2003, The Relation Between Implied and Realized Volatility of S&P 500 Index, Wilmott, (January), 83-91.

6. Wu, D. J., Paul R. Kleindorfer, and Jin E. Zhang, 2002, Optimal Bidding and Contracting Strategies for Capital-intensive Goods, European Journal of Operational Research, 137(3), 657-676.

7. Zhang, Jin E., 2001, A Semi-analytical Method for Pricing and Hedging Continuously Sampled Arithmetic Average Rate Options, Journal of Computational Finance, 5(1), 59-79.

8. Wu, Xueping, and Jin E. Zhang, 1999, Options on the Minimum or the Maximum of Two Average Prices, Review of Derivatives Research, 3(2), 183-204.