明德格物
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本科、硕士，数学，浙江大学数学系； 博士，金融学，香港大学经济金融学院； 副教授（博导），金融学，浙江大学经济学院(CEC)、浙江大学金融研究院(AFR)、浙江大学工程师学院数字金融分院(SDF)，浙江大学“求是青年****”，浙江省151人才工程培养人员。
研究领域：衍生品，波动率（VIX）期货期权，量化高频交易，金融工程，绿色能源金融，ABS，信用风险，人民币汇率和数字普惠金融等，涉及中国大陆、香港和美国的债券、股票、期货、期权、可转债和VIX衍生品等金融市场。
学术兼职：近年来担任Management Science等10多种SSCI\/SCI学术期刊的匿名审稿人和国家自然科学基金面上项目函评专家，目前担任衍生品领域国际知名SSCI期刊Journal of Futures Markets编委。
学生培养：近些年与学生(包括本科、硕士和博士)合作的论文被Annual Volatility Institute Conference at NYU Shanghai (2003年诺贝尔经济学奖得主Robert Engle教授主办）,ICFOD,FSERM,中国金融学年会等国内外会议接收，部分发表在金融学SSCI期刊（金融专业和数学专业的学生都有）。指导或者写推荐信的本科和硕士生到国内外名校深造：清华经管和五道口（硕士和博士项目）,北大光华和汇丰,复旦,上交大,Columbia（排名第一的金融工程和其他）,Carnegie Mellon（计算金融）,Cornell,Duke,UIUC,HKU,CUHK,LBS,LSE等。欢迎对金融学术研究感兴趣的各专业学生（特别是数学，计算机等理工科）邮件或者微信联系(微信号: xgluo99，感受氛围--->201909)。
部分科研项目：1. 国家自科面上项目，主持人，2018-21； 2. 国家自科青年项目，主持人，2014-16；3. 浙江省“钱江人才计划”，主持人，2013-15；4. HKU Small Project Funding, Principal Investigator, 2012
部分发表SSCI论文：
16.Option trading and the cross‐listed stock returns: Evidence from Chinese A–H shares,Journal of Futures Markets, 2020.JFutM20_AHoption.pdf
15.What determines the issue price of lease asset-backed securities in China?, Internnational Review of Finanial Analysis, 2020.IRFA20_LeaseABS.pdf
14.Volatility index and the return–volatility relation: Intraday evidence from Chinese options market, Journal of Futures Markets, 2019.JFutM19_iVX.pdf
13.Predicting the volatility of the iShares China Large-Cap ETF: What\ris the role of the SSE 50 ETF?, Pacific-Basin Finance Journal, 2019.PBFJ19_FXIvolatility.pdf
12.Instantaneous squared VIX and VIX derivatives,Journal of Futures Markets, 2019.（封面首篇）JFutM19_VIXo.pdf
11.Do spillover effects between crude oil and natural gas markets disappear? Evidence from option markets,Finance Research Letters, 2018.FRL2018_OilGasOption.pdf
10.Expected stock returns and forward variance,Journal of Financial Markets, 2017.JFinM17_FV.pdf
9.The dynamic correlations between the G7 economies and China: Evidence from both realized and implied volatilities, Journal of Futures Markets, 2017.JFutM17_G7.pdf
8.Oil price uncertainty and Chinese stock returns: New evidence from the oil volatility index,Finance Research Letters, 2017 (截止2020.11被引用77次).FRL2017_OVX.pdf
7.Stochastic volatility vs. jump diffusions: Evidence from the Chinese convertible bond market,International Reivew of Economics and Finance,2017. （封面首篇）IREF17_Convertible.pdf
6.The information content of implied volatility and jumps in forecasting volatility: Evidence from the Shanghai gold futures market, Finance Research Letters, 2016.
5.Sell in May and Go Away: Evidence from China, Finance Research Letters,2014.FRL14_SellinMayGoAway.pdf
4.Is Warrant Really a Derivative? Evidence from the Chinese Warrant Market,Journal of Financial Markets, 2013.JFinM13_warrant.pdf
3.The Term Structure of VIX, Journal of Futures Markets, 2012 （封面首篇，截止2020.11被引用60次）.JFutM12_VIXts.pdf
2.Forecasting the Term Structure of Chinese Treasury Yields,Pacific-Basin Finance Journal, 2012 （封面首篇）.PBFJ12_ChineseTreasuryYield.pdf
1.The Dynamics of Long Forward Rate Term Structures,Journal of Futures Markets,2010
担任10余种国际知名金融学SSCI期刊的匿名审稿人：
1. Management Science
2. Journal of Futures Markets
3. Pacific-Basin Finance Journal
4. Quantitative Finance
5. Energy Economics
6. International Reivew of Economics and Finance
7. North American Journal of Economics and Finance
8. Finance Research Letters
9. Economic Modelling
10. World Economy
11.International Review of Finance
12. Emerging Markets Finance and Trade
13. Journal of Banking and Finance
14. Accounting and Finance
15. Applied Economics Letters
16. Financial Innovation
近些年部分国内外重要会议：
2020.12, The 9th International Conference on Futures and Other Derivatives, Session Organizer & Chair
2020.11, 18th International Symposium and Financial System Engineering and Risk Management (FSERM),Session Chair, Invited Talk
2019.10, 第十六届中国金融学年会，会议主办方主要成员，负责理事论坛、分会场等
2019.10, The8th International Conference on Futures and Other Derivatives, Organizer & Co-Chair
2019.10, 17th International Symposium and Financial System Engineering and Risk Management (FSERM), Best paper,Session Chair
2018.12,The 2018 China International Risk Forum (CIRF), Presentation, Discussion and Session Chair
2018.11, Fourth Annual Volatility Institute Conference at NYU Shanghai (VINS), Presentation and Discussion
2018.10, The 7th International Conference on Futures and Other Derivatives (ICFOD), Presentation, Session Chair
2018.10, 16th International Symposium and Financial System Engineering and Risk Management (FSERM), Presentation,Session Chair
2018.07, The 16th China International Conference in Finance (CICF), Discussion
2017.11, Third Annual Volatility Institute Conference at NYU Shanghai (VINS), Discussion and Poster Session
2017.11, The 6th International Conference on Futures and Other Derivatives (ICFOD), Session Chair, Presentation, Discussion
2017.10, 第十四届中国金融学年会，报告论文和评论论文
2017.10, The 15th FSERM, Session Chair, Presentation; Best paper award
2017.07, The 15th China International Conference in Finance (CICF), Co-organizer, Discussion
2016.12, The 5th ICFOD, Presentation, Discussion; 中国（深圳）国际期货大会
2016.11, Second Annual Volatility Institute Conference at NYU Shanghai (VINS), Discussion
2016.08, The 14th FSERM, Presentation; Best paper award
2016.07, The 14th China International Conference in Finance(CICF), Discussion
2016.05, First China Derivatives Markets Conference, Program Committee Member, Presentation, Discussion
2015.12, 中国科协第297次青年科学家论坛，做有关国际能源衍生品发展对中国市场影响的邀请报告。
2015.11, First Annual Volatility Institute Conference at NYU Shanghai (VINS), Presentation, Discussion
2015.08, The 13th FSERM, Presentation; Best paper award
2014.10, Third International Conference on Futures and Other Derivatives (ICFOD), Presentation
其他：（1）因为不少同学来信讨论相关研究课题，欢迎对金融学术研究感兴趣的同学当面交流（不限专业，习惯阅读英文文献），地址：紫金港校区经济学院615。
（2）鉴于很多同学咨询香港大学各类硕士MBA博士等项目, 英国的权威杂志《经济学人》（The Economist）最新发布了2018年全球MBA项目排名，香港大学经济及工商管理学院连续第9年获得该排名的亚洲首位。
（3）祝贺QS2021亚洲排名中香港大学(No.4)和浙江大学(No.5).
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金融学：资产定价，波动率指数（VIX）及其期货期权，能源金融，金融工程，利率期限结构和信用风险 \r
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2012-11-08 16:34:54
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微信：xgluo99
selfintroduction
本科、硕士，数学，浙江大学数学系； 博士，金融学，香港大学经济金融学院； 副教授（博导），金融学，浙江大学经济学院、浙江省金融研究院(AFR)，浙江大学“求是青年****”
研究领域：资产定价，波动率指数（VIX）及其期货期权，金融工程，量化交易，能源金融，资产证券化和信用风险等，涉及中国大陆、香港和美国的债券、股票、期货、期权、可转债和VIX衍生品等金融市场。近年来担任10多种SSCI\/SCI学术期刊的匿名审稿人，多次在主流金融学国际会议宣读论文，曾担任第一届和第二届International Conference on Energy Finance（ 2016 & 2017）的共同主席（Co-Chair）, 2016 First China Derivatives Markets Conference (CDMC)的程序委员会委员（Program Committee），担任国际金融管理学会（Financial Management Association, FMA）2010年会、亚洲金融学会（Asian Finance Association）2012年会、第五届和第六届期货与衍生品国际会议（ICFOD, 2016 & 2017）、第十五届金融系统工程与风险管理国际年会（FSERM, 2017）的分会场主席（Session Chair）。2012年获得芝加哥商业交易所集团（CME Group，全球最大的期货期权交易市场）的特别研究奖励，2015-2017年获得金融系统工程与风险管理国际年会优秀论文奖。
教学：1. Derivatives and Risk Management, Undergraduate, Spring and Summer 2015-17;2. Advanced Derivatives, Graduate, Spring 2014-17;3.连续时间金融，本科，春夏 2014；4.金融经济学，本科，冬 2013；5.信用风险管理，硕博，冬 2013；6.资产定价理论，硕博，春 2013；7.金融工程学，本科，春夏 2013-14
部分科研项目：1. 国家自科面上项目，主持人，2018-21； 2. 国家自科青年项目，主持人，2014-16；3. 浙江省“钱江人才计划”，主持人，2013-15；4. Small Project Funding, Principal Investigator, 2012
部分发表SSCI论文：
1. Expected stock returns and forward variance,Journal of Financial Markets, 2017.
2. The dynamics correlations between the G7 economies and China: Evidence from both realized and implied volatilities, Journal of Futures Markets, 2017.
3. Stochastic volatility vs. jump diffusions: Evidence from the Chinese convertible bond market,International Reivew of Economics and Finance, 2017. （封面首篇）
4. The information content of implied volatility and jumps in forecasting volatility: Evidence from the Shanghai gold futures market, Finance Research Letters, 2016.
5. Predicting volatility of the Shanghai silver futures market: What is the role of the U.S. options market?, Finance Research Letters, 2015
6. Sell in May and Go Away: Evidence from China, Finance Research Letters,2014
7. Is Warrant Really a Derivative? Evidence from the Chinese Warrant Market,Journal of Financial Markets, 2013
8.The Term Structure of VIX, Journal of Futures Markets, 2012 （封面首篇）
9. Forecasting the Term Structure of Chinese Treasury Yields,Pacific-Basin Finance Journal, 2012 （封面首篇）
10. The Dynamics of Long Forward Rate Term Structures,Journal of Futures Markets,2010
担任10余种国际知名金融学SSCI期刊的匿名审稿人：
1. Management Science
2. Journal of Futures Markets
3. Pacific-Basin Finance Journal
4. Quantitative Finance
5. Energy Economics
6. International Reivew of Economics and Finance
7. North American Journal of Economics and Finance
8. Finance Research Letters
9. Economic Modelling
10. World Economy
11.International Review of Finance
12. Emerging Markets Finance and Trade
近些年部分国内外重要会议：
2017.11, Third Annual Volatility Institute Conference at NYU Shanghai, Discussion and Poster Session
2017.11, The Sixth International Conference on Futures and Other Derivatives, Session Chair, Presentation, Discussion
2017.10, 第十四届中国金融学年会，报告论文和评论论文
2017.10, The 15th International Symposium and Financial System Engineering and Risk Management, Session Chair, Presentation; Best paper award
2017.07, The 15th China International Conference in Finance, Co-organizer, Discussion
2016.12, The Fifth International Conference on Futures and Other Derivatives, Presentation, Discussion; 中国（深圳）国际期货大会
2016.11, Second Annual Volatility Institute Conference at NYU Shanghai, Discussion
2016.08, The 14th International Symposium and Financial System Engineering and Risk Management, Presentation; Best paper award
2016.05, First China Derivatives Markets Conference, Program Committee Member, Presentation, Discussion
2015.12, 中国科协第297次青年科学家论坛，做有关国际能源衍生品发展对中国市场影响的邀请报告。
2015.11, First Annual Volatility Institute Conference at NYU Shanghai, Presentation, Discussion
2015.08, The 13th International Symposium and Financial System Engineering and Risk Management, Presentation; Best paper award
2014.10, Third International Conference on Futures and Other Derivatives, Presentation
其他：（1）因为不少同学来信讨论相关研究课题，欢迎对金融学术研究感兴趣的同学当面交流（不限专业，习惯阅读英文文献），地址：玉泉校区外经贸楼218-3。
（2）鉴于很多同学咨询香港大学（亚洲第一，Quacquarelli Symonds (QS) World University Rankings2012，而且MBA项目也是亚洲第一，the Economist World MBA Rankings2012）的研究生项目，现提供相关链接方便查阅：金融硕士、经济硕士、PhD、MBA，IMBA，EMBA
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紫金港校区西区经济学院615
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2021-01-24 23:10:29
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本科、硕士，数学，浙江大学数学系； 博士，金融学，香港大学经济金融学院； 副教授（博导），金融学，浙江大学经济学院(CEC)、浙江大学金融研究院(AFR)、浙江大学工程师学院数字金融分院(SDF)，浙江大学“求是青年****”，浙江省151人才工程培养人员。
研究领域：衍生品，波动率（VIX）期货期权，量化高频交易，金融工程，绿色能源金融，ABS，信用风险，人民币汇率和数字普惠金融等，涉及中国大陆、香港和美国的债券、股票、期货、期权、可转债和VIX衍生品等金融市场。
学术兼职：近年来担任Management Science等10多种SSCI\/SCI学术期刊的匿名审稿人和国家自然科学基金面上项目函评专家，目前担任衍生品领域国际知名SSCI期刊Journal of Futures Markets编委。
学生培养：近些年与学生(包括本科、硕士和博士)合作的论文被Annual Volatility Institute Conference at NYU Shanghai (2003年诺贝尔经济学奖得主Robert Engle教授主办）,ICFOD,FSERM,中国金融学年会等国内外会议接收，部分发表在金融学SSCI期刊（金融专业和数学专业的学生都有）。指导或者写推荐信的本科和硕士生到国内外名校深造：清华经管和五道口（硕士和博士项目）,北大光华和汇丰,复旦,上交大,Columbia（排名第一的金融工程和其他）,Carnegie Mellon（计算金融）,Cornell,Duke,UIUC,HKU,CUHK,LBS,LSE等。欢迎对金融学术研究感兴趣的各专业学生（特别是数学，计算机等理工科）邮件或者微信联系(微信号: xgluo99，感受氛围--->201909)。
部分科研项目：1. 国家自科面上项目，主持人，2018-21； 2. 国家自科青年项目，主持人，2014-16；3. 浙江省“钱江人才计划”，主持人，2013-15；4. HKU Small Project Funding, Principal Investigator, 2012
部分发表SSCI论文：
16.Option trading and the cross‐listed stock returns: Evidence from Chinese A–H shares,Journal of Futures Markets, 2020.JFutM20_AHoption.pdf
15.What determines the issue price of lease asset-backed securities in China?, Internnational Review of Finanial Analysis, 2020.IRFA20_LeaseABS.pdf
14.Volatility index and the return–volatility relation: Intraday evidence from Chinese options market, Journal of Futures Markets, 2019.JFutM19_iVX.pdf
13.Predicting the volatility of the iShares China Large-Cap ETF: What\ris the role of the SSE 50 ETF?, Pacific-Basin Finance Journal, 2019.PBFJ19_FXIvolatility.pdf
12.Instantaneous squared VIX and VIX derivatives,Journal of Futures Markets, 2019.（封面首篇）JFutM19_VIXo.pdf
11.Do spillover effects between crude oil and natural gas markets disappear? Evidence from option markets,Finance Research Letters, 2018.FRL2018_OilGasOption.pdf
10.Expected stock returns and forward variance,Journal of Financial Markets, 2017.JFinM17_FV.pdf
9.The dynamic correlations between the G7 economies and China: Evidence from both realized and implied volatilities, Journal of Futures Markets, 2017.JFutM17_G7.pdf
8.Oil price uncertainty and Chinese stock returns: New evidence from the oil volatility index,Finance Research Letters, 2017 (截止2020.11被引用77次).FRL2017_OVX.pdf
7.Stochastic volatility vs. jump diffusions: Evidence from the Chinese convertible bond market,International Reivew of Economics and Finance,2017. （封面首篇）IREF17_Convertible.pdf
6.The information content of implied volatility and jumps in forecasting volatility: Evidence from the Shanghai gold futures market, Finance Research Letters, 2016.
5.Sell in May and Go Away: Evidence from China, Finance Research Letters,2014.FRL14_SellinMayGoAway.pdf
4.Is Warrant Really a Derivative? Evidence from the Chinese Warrant Market,Journal of Financial Markets, 2013.JFinM13_warrant.pdf
3.The Term Structure of VIX, Journal of Futures Markets, 2012 （封面首篇，截止2020.11被引用60次）.JFutM12_VIXts.pdf
2.Forecasting the Term Structure of Chinese Treasury Yields,Pacific-Basin Finance Journal, 2012 （封面首篇）.PBFJ12_ChineseTreasuryYield.pdf
1.The Dynamics of Long Forward Rate Term Structures,Journal of Futures Markets,2010
担任10余种国际知名金融学SSCI期刊的匿名审稿人：
1. Management Science
2. Journal of Futures Markets
3. Pacific-Basin Finance Journal
4. Quantitative Finance
5. Energy Economics
6. International Reivew of Economics and Finance
7. North American Journal of Economics and Finance
8. Finance Research Letters
9. Economic Modelling
10. World Economy
11.International Review of Finance
12. Emerging Markets Finance and Trade
13. Journal of Banking and Finance
14. Accounting and Finance
15. Applied Economics Letters
16. Financial Innovation
近些年部分国内外重要会议：
2020.12, The 9th International Conference on Futures and Other Derivatives, Session Organizer & Chair
2020.11, 18th International Symposium and Financial System Engineering and Risk Management (FSERM),Session Chair, Invited Talk
2019.10, 第十六届中国金融学年会，会议主办方主要成员，负责理事论坛、分会场等
2019.10, The8th International Conference on Futures and Other Derivatives, Organizer & Co-Chair
2019.10, 17th International Symposium and Financial System Engineering and Risk Management (FSERM), Best paper,Session Chair
2018.12,The 2018 China International Risk Forum (CIRF), Presentation, Discussion and Session Chair
2018.11, Fourth Annual Volatility Institute Conference at NYU Shanghai (VINS), Presentation and Discussion
2018.10, The 7th International Conference on Futures and Other Derivatives (ICFOD), Presentation, Session Chair
2018.10, 16th International Symposium and Financial System Engineering and Risk Management (FSERM), Presentation,Session Chair
2018.07, The 16th China International Conference in Finance (CICF), Discussion
2017.11, Third Annual Volatility Institute Conference at NYU Shanghai (VINS), Discussion and Poster Session
2017.11, The 6th International Conference on Futures and Other Derivatives (ICFOD), Session Chair, Presentation, Discussion
2017.10, 第十四届中国金融学年会，报告论文和评论论文
2017.10, The 15th FSERM, Session Chair, Presentation; Best paper award
2017.07, The 15th China International Conference in Finance (CICF), Co-organizer, Discussion
2016.12, The 5th ICFOD, Presentation, Discussion; 中国（深圳）国际期货大会
2016.11, Second Annual Volatility Institute Conference at NYU Shanghai (VINS), Discussion
2016.08, The 14th FSERM, Presentation; Best paper award
2016.07, The 14th China International Conference in Finance(CICF), Discussion
2016.05, First China Derivatives Markets Conference, Program Committee Member, Presentation, Discussion
2015.12, 中国科协第297次青年科学家论坛，做有关国际能源衍生品发展对中国市场影响的邀请报告。
2015.11, First Annual Volatility Institute Conference at NYU Shanghai (VINS), Presentation, Discussion
2015.08, The 13th FSERM, Presentation; Best paper award
2014.10, Third International Conference on Futures and Other Derivatives (ICFOD), Presentation
其他：（1）因为不少同学来信讨论相关研究课题，欢迎对金融学术研究感兴趣的同学当面交流（不限专业，习惯阅读英文文献），地址：紫金港校区经济学院615。
（2）鉴于很多同学咨询香港大学各类硕士MBA博士等项目, 英国的权威杂志《经济学人》（The Economist）最新发布了2018年全球MBA项目排名，香港大学经济及工商管理学院连续第9年获得该排名的亚洲首位。
（3）祝贺QS2021亚洲排名中香港大学(No.4)和浙江大学(No.5).
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