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About Me

I received my Ph.D. in financial economics with Summa Cum Laude from Swiss Finance Institute, University of Zürich. My research lies in the intersection of asset pricing and macroeconomics. My doctoral research focuses on the interaction between limits of arbitrage in the financial markets and the aggregate economy. I am also interested in derivative pricing, quantitative finance and computational economics.

I will join Lancaster University as tenure-track lecturer (assistant professor) in finance this May.

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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