Feng Zhao, PhD
 |
Associate Professor
|
Education: |
PhD, Cornell University, 2004 BS/BA, Tsinghua University, 1998 |
Courses: |
BA 4346 Options and Futures Markets FIN 6314 Fixed Income Securities FIN 6360 Options and Futures Market |
Current / Recent Research: |
“Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices.” With Haitao Li. Review of Financial Studies. Forthcoming. “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. “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. “Downside Loss Aversion and Portfolio Management.” With Robert Jarrow. Management Science. 52. (April 2006): 558-566. “Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives.” With Haitao Li. Journal of Finance. 61.1. (February 2006): 341-378. “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. |
Awards and Recognition: |
Russel Sage Fellowship, Cornell University, 1998-2002 |
Professional Organizations: |
AFA WFA FMA |
