Curriculum Vitae

UZH Profile Picture

Contact Details

University of Zürich
Institute for Banking & Finance
Plattenstr. 32
8032 Zürich, ZH
Switzerland

phone: +41 (0)44 634 36 03
e-mail: quan.zhang@bf.uzh.ch

Education

2016 Ph.D. Exchange at Financial Markets Group, London School of Economics
since 2011 Doctor of Philosophy in Finance at Swiss Finance Institute, University of Zürich

2009 – 2011 Master of Philosophy in Finance at University of New South Wales

  • M.Phil. thesis: “Sample Path Equilibrium: An Explicit Multifactor Restriction and Simulation Studies”
  • supervisor: Prof. Dr. David Feldman
2004 – 2008 Bachelor of Arts in Management Information Systems at Fudan University

  • B.A. thesis: “Applications of Real Options to Management Information Systems”

Research Areas

  • limits of arbitrage
  • general equilibrium theory with collateral constraints
  • financial economics
  • macroeconomics
  • numerical computing
  • financial engineering

Publication

  1. “How Much is the Gap? Efficient Overnight Jump Risk-Adjusted Valuation of Leveraged Certificates” (2017), Quantitative Finance (forthcoming), joint with Matthias Thul

Working Papers & Work in Progress

  1. “Arbitrage, Financial Accelerator, and Sudden Market Freezes” (2017)
  2. “Best Friend or Worst Enemy? — Dynamics and Multiple Equilibria with Arbitrage, Collateral Constraints and Macroeconomics” (2016)
  3. “Amplification and Spillover with Financial Arbitrage, Production and Collateral Constraints” (2015)
  4. “Arbitrage with Production, Collateral Constraints and Heterogeneous Beliefs” (2016)
  5. “Analytical Option Pricing under an Asymmetrically Displaced Double Gamma Jump-Diffusion Model” (2013), joint with Matthias Thul

Conference and Seminar Presentations

  • AFA 2018 Ph.D. Poster Session, Jan 2018, Philadelphia, US
  • Swiss Finance Institute Research Day 2017, June 2017, Genzensee, Switzerland
  • RES Symposium of Junior Researchers, April 2017, Bristol
  • Annual Conference of the Swiss Society for Financial Market Research, March 2017, Zürich
  • Royal Economic Society Ph.D. Meetings, January 2017, London
  • European Winter Meeting of the Econometric Society 2016, December 2016, Edinburgh
  • SFI Finance Workshop, October 2016, Zürich (poster)
  • Institute for Banking & Finance Brown Bag Seminar, University of Zürich, September 2016, Zürich
  • Annual Meeting of the German Sociopolicital Association 2016, September 2016, Augsburg
  • Department of Economics Brown Bag Seminar, University of Zürich, September 2016, Zürich
  • EEA-ESEM 2016, August 2016, Geneva (poster)
  • 9th World Congress of the Bachelier Finance Society, July 2016, New York (two presentations, one by co-author)
  • Midwest Macro Meetings 2016, May 2016, Lafayette
  • 2014 FMA European Conference, June 2014, Maastricht (by co-author)
  • 8th World Congress of the Bachelier Finance Society, June 2014, Brussels (by co-author)
  • Swiss Finance Institute Research Days 2014, June 2014, Gerzensee
  • 17th Annual Conference of the Swiss Society for Financial Market Research, April 2014, Zürich (by co-author)
  • 50th Anniversary Meeting of the Eastern Finance Association, April 2014, Pittsburgh
  • 11th German Probability and Statistics Days, March 2014, Ulm (by co-author)
  • Southwestern Finance Association 2014 Annual Conference, March 2014, Dallas
  • Advances in Computational Economics and Finance, March 2014, Zürich
  • Institute for Banking & Finance Brown Bag Seminar, University of Zürich, March 2014, Zürich
  • 26th Australasian Finance & Banking Conference, December 2013, Sydney
  • School of Banking & Finance Brown Bag Seminar, University of New South Wales, April 2013, Sydney (by co-author)

Conference and Workshop Participation

  • Advanced Tools for Modern Macroeconomic Models, Ph.D. Summer Course, London School of Economics, August 2014, London
  • 2013 Zürich Initiative on Computational Economics, Zürich Center for Computational Financial Economics, University of Zürich, January 2013, Zürich

Awards and Scholarships

  • Ph.D. Exchange Scholarship, Swiss Finance Institute, 2016
  • The Chicago Trading Company Outstanding Paper in Derivatives Award, 50th Anniversary Meeting of the Eastern Finance Association, 2014
  • First Year Ph.D. Scholarship, Swiss Finance Institute, 2011
  • Ph.D. Living Allowance Scholarship, University of New South Wales, 2011
  • Tuition Fee Remission Scholarship, University of New South Wales, 2011
  • Fudan University and University of New South Wales Joint Scholarship, 2009
  • People’s Scholarship, Ministry of Education of the People’s Republic of China, 2006
  • People’s Scholarship, Ministry of Education of the People’s Republic of China, 2005

Teaching Experience

Institute for Banking & Finance, University of Zürich
2013 – 2016 supervision of various Bachelor and Master theses in financial economics
School of Banking & Finance, University of New South Wales
2009, 2011 FINS2624 – Portfolio Management, tutor
2010, 2011 FINS5535 – Derivatives and Risk Management Techniques, postgraduate, teaching assistant
2010, 2011 FINS5536 – Fixed Income Securities and Interest Rate Derivatives, postgraduate, teaching assistant
2010 FINS3635 – Options, Futures and Risk Management, tutor
2010 FINS1612 – Capital Markets and Institutions, tutor
NUS Overseas Colleges, National University of Singapore
2007, 2008 TR3002 – New Venture Creation, teaching assistant

Research Experience

School of Banking & Finance, University of New South Wales
2011 research assistant to Prof. Dr. Ron Masulis

Computer and Language Skills

  • Programming: MATLAB, Mathematica, Python, C++
  • Languages: Mandarin (mother tongue), English (full working proficiency), German (upper intermediate – B2)

Postgraduate Coursework

University of Zürich:
Advances in Computational Economics and Finance (Ph.D.), Corporate Finance Theory and Applications (Ph.D.), Dynamics Portfolio Theory and Asset Pricing (Ph.D.), Empirical Corporate Finance (Ph.D.), Financial Econometrics – Empirical Asset Pricing (Ph.D.), Macroeconomics (Ph.D.), Mathematical Finance and Derivatives I & II (Ph.D.), Microeconomics (Ph.D.), Recursive Methods (Ph.D.), Statistical Distribution and Estimation Theory (Ph.D.)

University of New South Wales:
Advanced Econometric Theory (Ph.D.), Advanced Topics in Asset Pricing (Ph.D.), Advanced Topics in Corporate Finance (Ph.D.), Continuous Time Finance (Ph.D.), Econometric Analysis (Ph.D.), Financial Decision Making under Uncertainty (Ph.D.), Higher Probability and Stochastic Processes (M.Sc.), Measure, Integration and Probability (M.Sc.), Microeconomic Analysis (Ph.D.), Optimization (M.Sc.), Stochastic Processes (M.Sc.), Time Series Analysis (Ph.D.)

Personal Hobby

  • Daily Training: Muscle Pump, Body Combat, Body Attack
  • Sport for Relaxation: Cycling, Rowing, Long-Distance Jogging, Swimming, Yoga

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