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
Sebastian GehrickeUniversity of OtagoVerified email at otago.ac.nz
Menachem BrennerProfessor of Finance, Stern School of Business, NYUVerified email at stern.nyu.edu
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
Wei GuoUniversity of OtagoVerified email at postgrad.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	334	2002
VIX futures JE Zhang, Y Zhu Journal of Futures Markets 26 (6), 521-531, 2006	224	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	181	2000
Testing range estimators of historical volatility J Shu, JE Zhang Journal of Futures Markets 26 (3), 297-313, 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	127	2001
The new market for volatility trading JE Zhang, J Shu, M Brenner Journal of Futures Markets 30 (9), 809-833, 2010	120*	2010
Causality in the VIX futures market J Shu, JE Zhang Journal of Futures Markets 32 (1), 24-46, 2012	106	2012
Hedging volatility risk M Brenner, EY Ou, JE Zhang Journal of Banking & Finance 30 (3), 811-821, 2006	103	2006
Darboux transformations of classical Boussinesq system and its multi-soliton solutions Y Li, JE Zhang Physics Letters A 284 (6), 253-258, 2001	103	2001
The implied volatility smirk JE Zhang, Y Xiang Quantitative Finance 8 (3), 263-284, 2008	96	2008
Pricing continuously sampled Asian options with perturbation method JE Zhang Journal of Futures Markets 23 (6), 535-560, 2003	90*	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 460 (2049), 2617-2627, 2004	85	2004
A new well-posed algorithm to recover implied local volatility L Jiang, Q Chen, L Wang, JE Zhang Quantitative Finance 3 (6), 451, 2003	84	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	83	2013
The term structure of VIX X Luo, JE Zhang Journal of Futures Markets 32 (12), 1092-1123, 2012	68	2012
The relationship between implied and realized volatility of S&P 500 index J Shu, JE Zhang Wilmott magazine 4, 83-91, 2003	63	2003
On modeling nonlinear long waves TY Wu, JE Zhang Mathematics Is for Solving Problems, 233-249, 1996	60	1996
The CBOE S&P 500 three-month variance futures JE Zhang, Y Huang Journal of Futures Markets 30 (1), 48-70, 2010	58	2010
Equilibrium asset and option pricing under jump diffusion JE Zhang, H Zhao, EC Chang Mathematical Finance 22 (3), 538-568, 2012	55	2012

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