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
Eric Chieh ChangDean, Faculty of Business and Economics; Quoin Professor in Finance; Chair of Finance, HKUVerified email at hku.hk
Menachem BrennerProfessor of Finance, Stern School of Business, NYUVerified email at stern.nyu.edu
Sebastian GehrickeUniversity of OtagoVerified email at otago.ac.nz
Fang ZhenCentral University of Finance and EconomicsVerified email at cufe.edu.cn
Markus LeippoldUniversity of Zurich, Department of Banking and FinanceVerified email at bf.uzh.ch
Wenjun ZhangAuckland University of TechnologyVerified email at aut.ac.nz
Min DaiProfessor, Dept of Mathematics, NUSVerified email at nus.edu.sg
Xueping WuAssociate Professor of Finance, City University of Hong KongVerified email at cityu.edu.hk
Tian YueUniversity of OtagoVerified email at 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


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
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	318	2002
VIX futures JE Zhang, Y Zhu Journal of Futures Markets: Futures, Options, and Other Derivative Products …, 2006	218	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	175	2000
Testing range estimators of historical volatility J Shu, JE Zhang Journal of Futures Markets: Futures, Options, and Other Derivative Products …, 2006	128	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	122	2001
The new market for volatility trading JE Zhang, J Shu, M Brenner Journal of Futures Markets 30 (9), 809-833, 2010	119*	2010
Hedging volatility risk M Brenner, EY Ou, JE Zhang Journal of Banking & Finance 30 (3), 811-821, 2006	105	2006
Causality in the VIX futures market J Shu, JE Zhang Journal of Futures Markets 32 (1), 24-46, 2012	103	2012
Darboux transformations of classical Boussinesq system and its multi-soliton solutions Y Li, JE Zhang Physics Letters A 284 (6), 253-258, 2001	101	2001
The implied volatility smirk JE Zhang, Y Xiang Quantitative Finance 8 (3), 263-284, 2008	93	2008
Pricing continuously sampled Asian options with perturbation method JE Zhang Journal of Futures Markets: Futures, Options, and Other Derivative Products …, 2003	87*	2003
Variance term structure and VIX futures pricing Y Zhu, JE Zhang International Journal of Theoretical and Applied Finance 10 (01), 111-127, 2007	85	2007
The multiple-soliton solution of the Camassa-Holm equation Y Li, JE Zhang Proceedings of the Royal Society of London. Series A: Mathematical, Physical …, 2004	83	2004
A new well-posed algorithm to recover implied local volatility L Jiang, Q Chen, L Wang, JE Zhang Quantitative Finance 3, 451-457, 2003	82	2003
GARCH Option Pricing Models, the CBOE VIX and Variance Risk Premium J Hao, JE Zhang Journal of Financial Econometrics 11 (3), 556-580, 2013	78	2013
The term structure of VIX X Luo, JE Zhang Journal of Futures Markets 32 (12), 1092-1123, 2012	64	2012
The relationship between implied and realized volatility of S&P 500 index J Shu, JE Zhang Wilmott magazine 4, 83-91, 2003	62	2003
The CBOE S&P 500 three-month variance futures JE Zhang, Y Huang	58	2010
On modeling nonlinear long waves TY Wu, JE Zhang Mathematics Is for Solving Problems, 233-249, 1996	57	1996
Bidirectional solitons on water JE Zhang, Y Li Physical Review E 67 (1), 016306, 2003	53	2003

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