个人简介

本科、硕士,数学,浙江大学数学系; 博士,金融学,香港大学经济金融学院; 副教授(博导),金融学,浙江大学经济学院浙江省金融研究院(AFR),浙江大学“求是青年学者”

 

研究领域:资产定价,波动率指数(VIX)及其期货期权,金融工程,量化交易,能源金融,资产证券化和信用风险等,涉及中国大陆、香港和美国的债券、股票、期货、期权、可转债和VIX衍生品等金融市场。近年来担任10多种SSCI/SCI学术期刊的匿名审稿人,多次在主流金融学国际会议宣读论文,曾担任第一届和第二届International Conference on Energy Finance( 2016 & 2017)的共同主席(Co-Chair), 2016 First China Derivatives Markets Conference (CDMC)的程序委员会委员(Program Committee),担任国际金融管理学会(Financial Management Association, FMA)2010年会、亚洲金融学会(Asian Finance Association)2012年会、第五届和第六届期货与衍生品国际会议(ICFOD, 2016 & 2017)、第十五届金融系统工程与风险管理国际年会(FSERM, 2017)的分会场主席(Session Chair)。2012年获得芝加哥商业交易所集团(CME Group,全球最大的期货期权交易市场)的特别研究奖励,2015-2017年获得金融系统工程与风险管理国际年会优秀论文奖。

 

教学: 1. Derivatives and Risk Management, Undergraduate, Spring and Summer 2015-17; 2. Advanced Derivatives, Graduate, Spring 2014-17; 3. 连续时间金融,本科,春夏 2014;4. 金融经济学,本科,冬 2013;5. 信用风险管理,硕博,冬 2013;6. 资产定价理论,硕博,春 2013;7. 金融工程学,本科,春夏 2013-14

 

部分科研项目:1. 国家自科面上项目,主持人,2018-21; 2. 国家自科青年项目,主持人,2014-16;3. 浙江省“钱江人才计划”,主持人,2013-15;4. Small Project Funding, Principal Investigator, 2012

 

部分发表SSCI论文:

1. Expected stock returns and forward variance, Journal of Financial Markets, 2017.

2. The dynamics correlations between the G7 economies and China: Evidence from both realized and implied volatilities, Journal of Futures Markets, 2017.

3. Stochastic volatility vs. jump diffusions: Evidence from the Chinese convertible bond market, International Reivew of Economics and Finance, 2017. (封面首篇)

4. The information content of implied volatility and jumps in forecasting volatility: Evidence from the Shanghai gold futures market, Finance Research Letters, 2016.

5. Predicting volatility of the Shanghai silver futures market: What is the role of the U.S. options market?, Finance Research Letters, 2015

6. Sell in May and Go Away: Evidence from China, Finance Research Letters, 2014

7. Is Warrant Really a Derivative? Evidence from the Chinese Warrant Market, Journal of Financial Markets, 2013

8. The Term Structure of VIX, Journal of Futures Markets, 2012 (封面首篇)

9.  Forecasting the Term Structure of Chinese Treasury Yields, Pacific-Basin Finance Journal, 2012 (封面首篇)

10. The Dynamics of Long Forward Rate Term  Structures, Journal of Futures Markets, 2010 

 

担任10余种国际知名金融学SSCI期刊的匿名审稿人:

1. Management Science

2. Journal of Futures Markets

3. Pacific-Basin Finance Journal

4. Quantitative Finance

5. Energy Economics

6. International Reivew of Economics and Finance

7. North American Journal of Economics and Finance

8. Finance Research Letters

9. Economic Modelling

10. World Economy

11. International Review of Finance

12. Emerging Markets Finance and Trade

 

近些年部分国内外重要会议:

2017.11, Third Annual Volatility Institute Conference at NYU Shanghai, Discussion and Poster Session

2017.11, The Sixth International Conference on Futures and Other Derivatives, Session Chair, Presentation, Discussion

2017.10, 第十四届中国金融学年会,报告论文和评论论文

2017.10, The 15th International Symposium and Financial System Engineering and Risk Management, Session Chair, Presentation; Best paper award

2017.07, The 15th China International Conference in Finance, Co-organizer, Discussion

2016.12, The Fifth International Conference on Futures and Other Derivatives, Presentation, Discussion; 中国(深圳)国际期货大会

2016.11, Second Annual Volatility Institute Conference at NYU Shanghai, Discussion

2016.08, The 14th International Symposium and Financial System Engineering and Risk Management, Presentation; Best paper award

2016.05, First China Derivatives Markets Conference, Program Committee Member, Presentation, Discussion

2015.12, 中国科协第297次青年科学家论坛,做有关国际能源衍生品发展对中国市场影响的邀请报告。

2015.11, First Annual Volatility Institute Conference at NYU Shanghai, Presentation, Discussion

2015.08, The 13th International Symposium and Financial System Engineering and Risk Management, Presentation; Best paper award

2014.10, Third International Conference on Futures and Other Derivatives, Presentation

 

其他:(1)因为不少同学来信讨论相关研究课题,欢迎对金融学术研究感兴趣的同学当面交流(不限专业,习惯阅读英文文献),地址:玉泉校区外经贸楼216-3。

    (2)鉴于很多同学咨询香港大学(亚洲第一,Quacquarelli Symonds (QS) World University Rankings 2012,而且MBA项目也是亚洲第一,the Economist World MBA Rankings 2012)的研究生项目,现提供相关链接方便查阅:金融硕士经济硕士PhDMBA,IMBA,EMBA

 

工作研究领域

金融学:资产定价,波动率指数(VIX)及其期货期权,能源金融,金融工程,利率期限结构和信用风险


联系方式

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电子信箱:xgluo at zju.edu.cn; 微信: xgluo99