Welcome to my academic profile! I am an Assistant Professor in the Department of Accounting and Finance at Lancaster University Management School. I received my PhD in Financial Economics from the University of Zurich.

My research primarily focuses on developing theoretical models that explore how financial frictions and imperfections impact asset pricing, financial intermediaries, agent behaviors, real estate markets, and macroeconomics. I am also interested in building theoretical frameworks to help empirical researchers develop better identification strategies for their data.

I teach “Introduction to Asset Pricing” for undergraduate students and “Fixed Income Markets” for postgraduate students.

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