Staff profile

Dr Jing Zhao

Lecturer in Finance

Faculty of Business, Economics and Law

La Trobe Business School
Department of Finance

Melbourne (Bundoora)

 

Qualifications

BSc (Fudan), MPhil, PhD (Chinese University of Hong Kong)

Brief profile

Jing Zhao joined the School of Economics and Finance, La Trobe University in July 2010. She completed her PhD degree at the Chinese University of Hong Kong in 2010. Jing's research interests are in quantitative finance and risk management. Her current research focuses on derivative pricing, volatility modelling, and equity-linked insurance products.

Research specialisation

- Financial markets microstructure and information

- Quantitative finance

Recent publications

  • H.Y. Wong and J. Zhao. Optimal Dividends and Bankruptcy Procedures: Analysis of Ornstein-Uhlenbeck Processes. Journal of Computational and Applied Mathematics 236(2), 150-166, 2011.
  • H.Y. Wong and J. Zhao. An Artificial Boundary Method for the Hull-White Model of American Interest Rate Derivatives. Applied Mathematics and Computation 9(1), 4627-4643, 2011.
  • N.H. Chan, H.Y. Wong and J. Zhao (2010). Structural Model of Credit Migration. Computational Statistics and Data Analysis, to appear.
  • J. Zhao and H.Y. Wong (2010). A Closed-form Solution to American Options under General Diffusions. Quantitative Finance, to appear.  
  • H.Y. Wong and J. Zhao. Valuing American Options under the CEV model by Laplace-Carson Transforms. Operations Research Letters 38(5), 474-481, 2010. 
  • H.Y. Wong and J. Zhao. Currency Option Pricing: Mean Reversion and Multi-Scale Stochastic Volatility. Journal of Futures Markets 30(10), 938-956, 2010.
  • H.Y. Wong and J. Zhao. An Artificial Boundary Method for American Option Pricing under the CEV model. SIAM Journal on Numerical Analysis 46(4), 2183-2209, 2008.