Xiaoyang ZHUO
5 South Zhongguancun Street, Haidian District, Beijing 100081, China
E-mail: zhuoxy@bit.edu.cn
Xiaoyang Zhuo is currently an Assistant Professor at the School of Management and Economics, Beijing Institute of Technology, Beijing, China. Zhuo obtained her B.A., M.A., and Ph.D. degrees from the Business School, Nankai University, Tianjin, China. She also served as a post-doctoral researcher at the PBC School of Finance, Tsinghua University, and as a visiting scholar at the University of Illinois at Urbana-Champaign, the University of Liverpool, and the University of Massachusetts, Amherst. Her research interests encompass areas such as option pricing, option return, term structure models, and credit risk. Her research work has been published in academic journals including the Journal of Finance, Journal of Real Estate Finance and Economics, Quantitative Finance, Computational Economics, and others.
Education Background
2014/09-2018/06 Business School, Nankai University, Ph.D. in Business Management (Quantitative Finance)
2016/11-2017/10 University of Illinois at Urbana–Champaign, Visiting Student in Quantitative Finance
2012/09-2014/06 Business School, Nankai University, M.A. in Business Management (Financial Management)
2008/09-2012/06 Business School, Nankai University, B.A. in Financial Management
Academic Positions
2020/08-Present School of Management and Economics, Beijing Institute of Technology, Assistant Professor
2023/07-Present School of Management and Economics, Beijing Institute of Technology, Vice Chair of Department of International Trade and Finance
2018/07-2020/07 PBC School of Finance, Tsinghua University, Post-Doc Fellow
Visiting Positions
2017/04-2017/09 Isenberg School of Management, University of Massachusetts, Amherst, Visiting Researcher
2016/03-2016/09 Institute for Financial and Actuarial Mathematics, University of Liverpool, Honorary Research Fellow
Affiliations
2014-Present: Non-Practicing CPA
2020-2022: Institute of State and Global Governance, Tsinghua University, Adjunct Research Fellow
Publications
Sanjay Nawalkha, Xiaoyang Zhuo*, Equivalent Expectation Measures for Risk and Return Analysis of Contingent Claims[J], Journal of Investment Management, 2024, 22(1): 1-24.
Olivier Menoukeu-Pamen, Guangli Xu, Xiaoyang Zhuo*. Finite Difference Scheme versus Piecewise Binomial Lattice for Interest Rates under the Skew CEV Model[J]. Quantitative Finance, 2023, 23(5): 843-862. (SSCI)
Sanjay Nawalkha, Xiaoyang Zhuo*, A Theory of Equivalent Expectation Measures for Contingent Claim Returns[J], Journal of Finance, 2022, 77(5): 2853-2906. (SSCI, UTD24)
Yizhou Bai, YongjinWang, Haoyan Zhang, Xiaoyang Zhuo*. Bayesian Estimation of the Skew Ornstein-Uhlenbeck Process[J]. Computational Economics, 2022, 60(2): 479-527. (SSCI)
Xiaoyang Zhuo, Guangli Xu, Yongjin Wang. The Issuer-pays Business Model and Competitive Rating Market: Rating Network Structure[J]. Journal of Real Estate Finance and Economics, 2017, 55(2): 216-241. (SSCI)
Xiaoyang Zhuo, Guangli Xu, Haoyan Zhang. A Simple Trinomial Lattice Approach for the Skew-extended CIR Models[J]. Mathematics and Financial Economics, 2017, 11(4): 499-526. (SSCI)
Xiaoyang Zhuo, Olivier Menoukeu-Pamen. Efficient Piecewise Trees for the Generalized Skew Vasicek Model with Discontinuous Drift[J]. International Journal of Theoretical and Applied Finance, 2017, 20(4): 1-34. (ESCI)
Chang Guo, Xiaoyang Zhuo, Corina Constantinescu, Olivier Menoukeu-Pamen. Optimal Reinsurance-Investment Strategy Under Risks of Interest Rate, Exchange Rate and Inflation[J]. Methodology and Computing in Applied Probability, 2018, 20(4): 1477-1502. (SCI)
Xiaoyang Zhuo. The Expected Returns of Financial Derivatives and Fixed Income Securities: The Future of Risk Management? [J]. Tsinghua Financial Review, 2022, (12): 97-98. (in Chinese)
Xiaoyang Zhuo, Guangli Xu. Influence of Open Interest and Participants on the Asset Prices in Futures Markets [J]. Operations Research and Management Science, 2016, 25(3): 169-177. (CSSCI, in Chinese)
Fundings
[1] Youth Program of National Natural Science Foundation of China: A Theory for Expected Prices of Options and Its Implications for the Index Option Return Puzzle (No.72001024), 2021-2023, Principal Investigator
[2] General Program of China Postdoctoral Science Foundation: Statistical Inference and Empirical Evidence of the Skew-extended Stochastic Interest Rate Models(2018M641396), 2019-2020, Principal Investigator
[3] Beijing Institute of Technology Research Fund Program for Young Scholars: Equivalent Expectation Measures: Theory and Application for Expected Prices of Contingent Claims, 2020-2023, Principal Investigator[4] Youth Program of National Natural Science Foundation of China: Several Typical Doubly Skewed Processes and Their Applications in Pricing Financial Derivatives (No.11701085), 2018-2020, Participant
[5] General Program of National Natural Science Foundation of China: The Theoretical Properties and Parameters Estimation of Several Classes of Stochastic (Partial) Differential Equations (No.11571190), 2016-2019, Participant
Presentations (* presented by coauthor)
2023：Q Group Fall Seminar 2023*（Arizona）；2023 Center for International Securities and Derivative Markets (CISDM) Conference*（online）；The 12th Annual Conference on Financial Engineering and Risk Management*(Fuzhou); CSIAM 2023(Kunming); University of Liverpool (online)；Peking University (Beijing)；CIFFP 2023 (Beijing, discussant)
2022: CSIAM 2022(online); Nankai University(online); Chinese Academy of Social Sciences (Beijing); 2022 CSIAM Online Workshop on Financial Mathematics & Financial Engineering and Insurance Actuarial Science(online); Peking University(online); The 11th Annual Conference on Financial Engineering and Risk Management*(online); The 14th BIT SME Workshop for Young Scholars (online)
2021: China International Conference in Finance(Shanghai，discussant); The 10th Annual Conference on Financial Engineering and Risk Management (Chengdu); CSIAM 2021(Hefei); the 1st Camphor English Conference for Finance(online); NUS(online); RUC RMBS workshop (online); The 13th BIT SME Workshop for Young Scholars (Beijing)
2020: International Online Workshop on Financial Mathematics & Financial Engineering & Insurance Actuary CSIAM 2020 (Online); The 12th BIT SME Workshop for Young Scholars (Beijing); The 2nd Asian Quantitative Finance Seminar*(online); CISDM Annual Research Conference 2020* (online); NYU BQE Lecture Series*(online)
2019: Annual Conference on Financial Engineering and Risk Management (Shanghai); Nanjing University Myron Scholes Financial Seminar (Nanjing); The 2019 Soochow University Workshop for Mathematical Finance and Financial Engineering (Soochow); Annual Conference on Quantitative Finance and Insurance (Hulunbeir)
2018: The 3rd PKU-NUS Annual International Conference on Quantitative Finance and Economics (Beijing); Frontier Forums on Financial Statistics and AI (Xi’An)
2017: The PKU-NKU-Soochow Workshop for Financial Risk Analysis (Tianjin); University of Science and Technology of China (Hefei)
Selected Honors & Awards
2022: The Grand Prize for the 14th BIT SME Workshop for Young Scholars
2021: The Grand Prize for the 13th BIT SME Workshop for Young Scholars
2021: The First Prize for the 1st Camphor English Conference for Finance
2020: The First Prize for the 12th BIT SME Workshop for Young Scholars
2016: Nankai’s Top-Ten Outstanding Graduates, Nankai University
2016: National Scholarship, Ministry of Education of China
2015: CFA Program Awareness Scholarships, CFA Institute
2015: The Grand Prize for the 2015 Youth Financial Talent Program, Shanghai Financial Service Office & CFA China-Shanghai
2015: The Grand Prize for the 2nd CFFEX Cup Finance and Derivatives Knowledge Contest, China Financial Futures Exchange & China Futures Association
2014: The Grand Prize for the 1st CFFEX Cup Finance and Derivatives Knowledge Contest, China Financial Futures Exchange & China Futures Association
