Zheqi Fan (范哲綺), Ph.D., FRM

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Publications

1. VIX term structure in the rough Heston model via Markovian approximation, with Yifan Ye, Yue-Kuen Kwok,

   • Journal of Futures Markets, 2026. [code]

   • Python package available online: pip install VIXRHeston [PyPI]

2. On cross-stock predictability of peer return gaps in China, with Yilin Chen, 

   • Finance Research Open, 2026, 2(1), 100088. [code]

3. Merton (1976) implied jump, with Junhong Yu, Xinfeng Ruan, 

   • Journal of Economic Dynamics and Control, 2025, 180, 105199.

4. Modeling the implied volatility smirk in China: Do non-affine two-factor stochastic volatility models work?, with Yifan Ye, Xinfeng Ruan,  

   • Journal of Futures Markets, 2025, 45(6), 612-636. [code] 

5. Option profit and loss attribution and pricing in the Chinese options market, with Xiaolan Jia, Xinfeng Ruan, 

   • Pacific-Basin Finance Journal, 2025, 91, 102682. 

Working papers

• Deep surrogate for non-affine stochastic volatility option valuation models, with Xinfeng Ruan, Yifan Ye, 2026, Under review 

• Valuation of VIX derivatives: Incorporating larger spikes in volatility-of-volatility dynamics, with Doojin Ryu, Yifan Ye, 2026, Revision requested 

• On options-driven realized volatility forecasting: Information gains via rough volatility model, with Meng Melody Wang, Yifan Ye, 2025, Under review, [Link]

• Dynamic portfolio choice with stochastic liquidity risk: A perturbation approach, with Jayden Zian Wang, Yifan Ye, 2025, Revision requested

• The effects of shot-noise co-jumps on the valuation of VIX derivatives, [code], with Yifan Ye, 2025, Under review

• VIX options with exponentially decaying jump, [code], with Yifan Ye, Yue-Kuen Kwok, 2025, Under review

• On direct modeling of VIX under affine Volterra models, with Yifan Ye, Yue-Kuen Kwok, 2025, Under review