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Professional Preparation
Ph.D. - Economics Cornell University - 2004
M.A. - Economics Cornell University - 2002
B.S. - Economics and Physics Tsinghua University - 1998
Research Areas
Area of Interests
Asset pricing, fixed income securities, continuous-time finance, credit risk, option pricing, financial
econometrics, behaviorfinance and real estate
Publications
Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices. With Haitao Li. Review of Financial Studies. Forthcoming. forthcoming - Publication
Can the Random Walk Model be beaten in Out-of-Sample Density Forecasts: Evidence from Intraday Foreign Exchange Rates. With Yongmiao Hong and Haitao Li. Journal of Econometrics. 141.2. (December 2007): 736-776. 2007 - Publication
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?. With Robert Jarrow and Haitao Li. Journal of Finance. 62.1. (February 2007): 345-382. 2007 - Publication
Downside Loss Aversion and Portfolio Management. With Robert Jarrow. Management Science. 52. (April 2006): 558-566. 2006 - Publication
Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives. With Haitao Li. Journal of Finance. 61.1. (February 2006): 341-378. 2006 - Publication
Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models. With Yongmiao Hong and Haitao Li. Journal of Business and Economic Statistics. (October 2004): 457-473. 2004 - Publication
Appointments
Assistant Professor The University of Texas at Dallas [2018–2018]
Associate Professor University of Texas at Dallas [2011–Present]
Assistant Professor Rutgers Business School [2005–Present]
Assistant Professor Fordham University [2004–2005]
Additional Information
CONFERENCE ACCEPTAN CES, DISCUSSIONS AND PRESENTATIONS
The Econometric Society North American Winter Meeting, New Orleans,January 2008
2007 China International Conference in Finance, Chengdu, China, July 2007
17th Annual Derivatives Securities and Risk Management Conference, FDIC, April, 2007
The Financial Management Association Annual Meeting, Salt Lake City, October 2006
13th Annual Conference on Pacific Basin Finance, Economics and Accounting, Rutgers, June, 2005
15th Annual Derivatives Securities and Risk Management Conference, FDIC, April, 2005
Bank of Canada Workshop on Fixed Income Markets, Montréal, November, 2004
The Western Finance Association Meeting, Vancouver, June, 2004
The Econometric Society North American Winter Meeting, San Diego,January, 2004
The European Finance Association Meeting, Scotland, August; 2003 .
The Econometric Society North American \Vinter Meeting, Washington D.C.,January, 2003
The European Econometric Society Summer Meeting, Italy, August, 2002
An examination of counterintuitive investor behavior has won a best paper award for three Naveen Jindal School of Management finance professors. The trio investigated the puzzle of why actively managed mutual funds attract more investment dollars even though they generally perform more poorly than their passively managed counterparts.
Associate Professors Valery Polkovnichenko and Feng Zhao and Assistant Professor Kelsey Wei took home the Best Paper Award from the 2013 Asian Conference of the Financial Management Association International for their research.