Publications:

2012 - Present


1. 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.
2. Hao, Jinji, and Jin E. Zhang, 2013, GARCH Option Pricing Models, the CBOE VIX and Variance Risk Premium, Journal of Financial Econometrics.
   
   
3. 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.
4. Luo, Xingguo, and Jin E. Zhang, 2012, The Term Structure of VIX, Journal of Futures Markets, 32(12), 1092-1123. Lead article.
5. 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.
6. Zhang, Jin E., and Yishen Li, 2012, New Analytical Option Pricing Models with Weyl-Titchmarsh Theory, Quantitative Finance, 12(7), 1003-1010. Feature article.
7. Cheng, Jun, and Jin E. Zhang, 2012, Analytical Pricing of American Options, Review of Derivatives Research, 15(2), 157-192.
8. Zhang, Jin E., Huimin Zhao, and Eric C. Chang, 2012, Equilibrium Asset and Option Pricing Under Jump Diffusion, Mathematical Finance, 22(3), 538-568.
9. 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.
10. Shu, Jinghong, and Jin E. Zhang, 2012, Causality in the VIX Futures Market, Journal of Futures Markets, 32(1), 24-46.
    
    2006 - 2011
    
    
11. Luo, Xingguo, and Jin E. Zhang, 2010, The Dynamics of Long Forward Rate Term Structures, Journal of Futures Markets, 30(10), 957-982.
12. 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.
13. 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.
14. Zhang, Jin E., and Tiecheng Li, 2010, Pricing and Hedging American Options Analytically: A Perturbation Method, Mathematical Finance, 20(1), 59-87.
15. Zhang, Jin E., and Yuqin Huang, 2010, The CBOE S&P 500 Three-Month Variance Futures, Journal of Futures Markets, 30(1), 48-70.
16. Zhang, Jin E., and Yi Xiang, 2008, The Implied Volatility Smirk, Quantitative Finance, 8(3), 263-284.
17. 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.
18. Zhang, Jin E., and Yingzi Zhu, 2006, VIX Futures, Journal of Futures Markets, 26(6), 521-531. Lead article.
19. Brenner, Menachem, Ernest Y. Ou, and Jin E. Zhang, 2006, Hedging Volatility Risk, Journal of Banking and Finance, 30(3), 811-821.
20. Shu, Jinghong and Jin E. Zhang, 2006, Testing Range Estimators of Historical Volatility, Journal of Futures Markets, 26(3), 297-313.
    
    1999 - 2005
    
    
21. Li, Yishen, and Jin E. Zhang, 2004, Option Pricing with Weyl-Titchmarsh Theory, Quantitative Finance, 4(4), 457-464.
22. 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.
23. 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.
24. Zhang, Jin E., 2003, Pricing Continuously Sampled Asian Options with Perturbation Method, Journal of Futures Markets, 23(6), 535-560.
25. Shu, Jinghong and Jin E. Zhang, 2003, The Relation Between Implied and Realized Volatility of S&P 500 Index, Wilmott, (January), 83-91.
26. 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.
27. 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.
28. 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.

Discussions:

• Discussion of "The Impact of Liquidity Risk on Option Prices" by Robin K. Chou, San-Lin Chung, Yu-Jen Hsiao and Yaw-Huei Wang in CICF2010.
• Discussion of "Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices" by Haitao Li and Feng Zhao in CICF2007.
• Discussion of "Characteristic Function Based Estimation of Levy Tempered Stable Stock Price Models and Jump Market Price Calibration" by Junye Li in CICF2007.
• Discussion of "Is Systematic Risk Priced in Options?" by Jin-Chuan Duan and Jason Wei in CICF2006.
• Discussion of "The Law of One Futures Price" by Avi Bick in CICF2006.