I work at Assistant Professor in Finance at Lancaster University Management School. I received my Ph.D. in financial economics with Summa Cum Laude from Swiss Finance Institute,University of Zürich.

My research interest lies at the intersection of theoretical asset pricing and macroeconomics, macro-finance, general equilibrium and computational economics. Currently, my research focuses on studying how intermediaries’ financial frictions can lead to financial turmoils that affect asset pricing, market liquidity, and the real economic activities.

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Recent Posts

FAQs for the AD-DG Model

In a recent working paper, cited as Thul and Zhang (2014) below, we propose a novel jump-diffusion model whose jump sizes follow an asymmetrically displaced double gamma (AD-DG) distribution. In this blog post I discuss some of the feedback that we received during seminar and conference presentations. The collection is not exhaustive and will be extended from time to time.

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  1. Stochastic Volatility with AD-DG Jumps Leave a reply