Ph.D. - Economics
Cornell University - 2004
M.A. - Economics
Cornell University - 2002
B.S. - Economics and Physics
Tsinghua University - 1998
Area of Interests
Asset pricing, fixed income securities, continuous-time finance, credit risk, option pricing, financial
econometrics, behaviorfinance and real estate
Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices. With Haitao Li. Review of Financial Studies. Forthcoming. forthcoming - 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
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
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
The University of Texas at Dallas [2018–2018]
University of Texas at Dallas [2011–Present]
Rutgers Business School [2005–Present]
Fordham University [2004–2005]
HONORS AND AWARDS
Russell-Sage Fellowship, Cornell University, 1998-2003
Honorary Training Program for Outstanding Students, Tsinghua University, 1994-1998
Annual Academic Scholarships, Tsinghua University, 1994-1998
Ad hoc journal Refereeing: Review of Financial Studies, journal of Econometrics, Finance Research Letters, Global Financejournal, Quantitative Finance, Review of Quantitative Finance and Accounting .
Member: American Finance Association, Western Finance Association
2004-2005: Fordham University; School of Business, teaching valuations: 4.4/5
Futures & Options and Fixed Income Analysis for undergraduates
2005-2006: Rutgers Business School, teaching valuations: 4.0/5
Futures & Options and Fixed Income Analysis for MBA’s and undergraduates .
2006-2007: Rutgers Business School, teaching valuations: 4.2/5 .
Futures & Options and Fixed Income Analysis for MBA’s and undergraduates
2007-2008: Rutgers Business School .
Continuous-time Finance (PhD), Options and Futures
An examination of counterintuitive investor behavior has won a best paper award for three Naveen Jindal School of Management
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.