中文
WANG Zerong
Non-tenured Associate Professor
Department of Statistics and Finance
Discipline: Finance
Email:zrwang@ustc.edu.cn
Joined University of Science and Technology of China in 2024

Education

Ph.D. in Mathematical Finance, Southwestern University of Finance and Economics, 2016.9 -- 2021.12.


Academic Employment

Non-tenured Associate Professor,  Faculty of Business in Scitech, School of Management, University of Science and Technology of China, 2024.5 --  present.

Post-Doctoral Fellow, School of Accounting and Finance, Hong Kong Polytechnic University, 2022.3 -- 2024.5.


Research Interest

Derivatives pricing


Publications

  1.  Analytical formula for pricing European options with stochastic volatility under the GARCH-PDE approximation, with Qi Wang, Qian Zhang, Yuanyuan Zhang, Journal of Derivatives, 2024(31), 98-124.

  2.  Option valuation via nonaffine dynamics with realized volatility, with Yuanyuan Zhang, Qian Zhang and Qi Wang, Journal of Empirical Finance, 2024(77), 101486.

  3.  VIX futures and its closed-form pricing through an affine GARCH model with realized variance, with Qi Wang, Journal of Futures Markets, 2021(41), 135-156.

  4.  VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump, with Qi Wang, Journal of Banking & Finance, 2020(116), 105845.


Working Papers

  1.  Option pricing with intraday and overnight underlying asset dynamics, with Gang Li, R&R.

  2.  Dynamics of intraday and overnight returns and the implication for option pricing, with Gang Li, R&R.

  3.  Understanding equity option returns in the Chinese market, with Gang Li, Presented at AsianFA (2024, Macau).

  4.  VIX derivatives valuation by GARCH models with good and bad environments, with Gongqiu Zhang.


Professional Services

Ad-hoc Referee Finance Research Letter, The North American Journal of Economics and Finance, Journal of Risk.