Contact Details
Department of Accounting and Finance
Lancaster University Management School
Bailrigg
Lancaster
LA1 4YX
United Kingdom
phone: +44 (0)15 245 927 76
e-mail: q.zhang20@lancaster.ac.uk
Full-Time Academic Employment
| 2018 – present | Assistant Professor in Finance at Lancaster University Management School |
Education
| 2011 – 2017 | Doctor of Philosophy in Finance at Swiss Finance Institute, University of Zürich
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| 2016 | Ph.D. Exchange at Financial Markets Group, London School of Economics
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| 2009 – 2011 | Master of Philosophy in Finance at University of New South Wales
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| 2004 – 2008 | Bachelor of Arts in Management Information Systems at Fudan University
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Research Areas
- asset pricing theory
- limits to arbitrage
- general equilibrium with collateral constraints
- financial economics
- macroeconomics
- computational economics and finance
- quantitative finance
Publication
- “How Much is the Gap? Efficient Overnight Jump Risk-Adjusted Valuation of Leveraged Certificates” (2017), Quantitative Finance, Vol. 17, No. 9, pp. 1387-1401, joint with Matthias Thul
Working Papers & Work in Progress
- “The Macroeconomic Implications of Limited Arbitrage”
- “Arbitrage Cycles, Financial Accelerator, and Sudden Market Freezes”
- “Risky Arbitrage and Collateral Policies”
- “Capital Flights and Sovereign Defaults” joint with Zhigang Feng
- “Arbitrage with Production, Collateral Constraints and Heterogeneous Beliefs”
- “Analytical Option Pricing under an Asymmetrically Displaced Double Gamma Jump-Diffusion Model” , joint with Matthias Thul
Conference and Seminar Presentations
- SFS Cavalcade North America conference, University of North Carolina, May 2020, USA
- Society for Economic Dynamic (SED) Conference 2020, Barcelona, June 2021, Spain
- Finance Seminar, Vrije Universiteit(VU) Amsterdam, May 2020, Amsterdam, Netherlands
- AEA-NAWES 2020, North American Winter Meeting of the Econometric Society, January 2020, San Diego,USA
- The 50th Annual Conference of the Money, Macro & Finance, September 2018, Edinburgh, UK
- EEA-ESEM 2018, August 2018, Cologne (two presentations), Germany
- AFA 2018 Ph.D. Poster Session, January 2018, Philadelphia, USA
- European Winter Meeting of the Econometric Society 2017, December 2017, Barcelona, Spain
- Swiss Finance Institute Research Day 2017, June 2017, Gerzensee, Switzerland
- RES Symposium of Junior Researchers, April 2017, Bristol, UK
- Annual Conference of the Swiss Society for Financial Market Research, March 2017, Zürich, Switzerland
- Royal Economic Society Ph.D. Meetings, January 2017, London, UK
- European Winter Meeting of the Econometric Society 2016, December 2016, Edinburgh, UK
- SFI Finance Workshop, October 2016, Zürich (poster), Switzerland
- Institute for Banking & Finance Brown Bag Seminar, University of Zürich, September 2016, Zürich, Switzerland
- Annual Meeting of the German Sociopolicital Association 2016, September 2016, Augsburg, Germany
- Department of Economics Brown Bag Seminar, University of Zürich, September 2016, Zürich, Switzerland
- EEA-ESEM 2016, August 2016, Geneva (poster), Switzerland
- 9th World Congress of the Bachelier Finance Society, July 2016, New York (two presentations, one by co-author), US
- Midwest Macro Meetings 2016, May 2016, Lafayette, US
- 2014 FMA European Conference, June 2014, Maastricht (by co-author), Neitherland
- 8th World Congress of the Bachelier Finance Society, June 2014, Brussels (by co-author), Belgium
- Swiss Finance Institute Research Days 2014, June 2014, Gerzensee, Switzerland
- 17th Annual Conference of the Swiss Society for Financial Market Research, April 2014, Zürich (by co-author), Switzerland
- 50th Anniversary Meeting of the Eastern Finance Association, April 2014, Pittsburgh, US
- 11th German Probability and Statistics Days, March 2014, Ulm (by co-author), Germany
- Southwestern Finance Association 2014 Annual Conference, March 2014, Dallas, US
- Advances in Computational Economics and Finance, March 2014, Zürich, Switzerland
- Institute for Banking & Finance Brown Bag Seminar, University of Zürich, March 2014, Zürich, Switzerland
- 26th Australasian Finance & Banking Conference, December 2013, Sydney, Australia
- School of Banking & Finance Brown Bag Seminar, University of New South Wales, April 2013, Sydney (by co-author), Australia
Conference and Workshop Participation
- Advanced Tools for Modern Macroeconomic Models, Ph.D. Summer Course, London School of Economics, August 2014, London, UK
- 2013 Zürich Initiative on Computational Economics, Zürich Center for Computational Financial Economics, University of Zürich, January 2013, Zürich, Switzerland
Grants/Awards/ Scholarships
- LUMS Pump Prime fund, 4270 GBP, 2021
- 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
| Lancaster University Management School | |
| 2018 – 2019 | AcF 215 – Advanced Principle of Finance, undergraduate, Lecturer & tutor |
| 2018 – 2019 | AcF 608 – Fixed Income and Derivatives, postgraduate, Lecturer |
| Institute for Banking & Finance, University of Zürich | |
| 2013 – 2017 | 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 |
Computer and Language Skills
- Programming: MATLAB, Mathematica, Python, C++
- Languages: Mandarin (native), English (fluent), German (intermediate)
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
- Fitness exercises: Insanity, Bodypump, Bodyattack
- Relaxation: cycling, rowing, jogging, swimming, badminton