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Mar 22

About me

Posted by abiao at 17:56 | Others | Comments(21) | Reads(70077)




Biao Guo
Beijing, China
Biao.Guo@outlook.com


Work Experience
09/2017–Now       Associate Professor, School of Finance, Renmin University, China
09/2013–08/2017  Assistant Professor, School of Finance, Renmin University, China
05/2013–08/2013  Visiting Researcher, Business School, Xi'an Jiaotong-Liverpool University, China
05/2010–07/2010  Quantitative Consultant Intern, Fintegral Consulting, U.K.
10/2008–07/2009  Statistical Quantitative Researcher, AHL, Man Group, U.K.
01/2007–07/2007  Manager of Risk & Innovation Team, xQuant, China
09/2004–12/2006  Quantitative Analyst, xQuant, China

Education
09/2009–03/2013  PhD in Finance, University of Nottingham, U.K.
08/2007–09/2008  Master of Advanced Studies (MAS) in Finance, Swiss Federal Institute of Technology (ETH), Switzerland
10/2002–08/2004  Master of Economics, University of Konstanz, Germany
09/1998–07/2002  Bachelor of Economics, TongJi University, China
        
Research Interests
Liquidity and default risk for fixed income products, asset / derivative pricing, market uncertainty, statistical arbitrage opportunity

Publication
Guo, B., Han, Q., Lin, H., 2017, Are There Gains from Using Information over the Surface of Implied Volatilities? Journal of Futures Markets
Xun, J.Y., Guo, B., 2017, Twitter as customer’s eWOM: an empirical study on their impact on firm financial performance. Internet Research
"Why doesn't the choice of performance measure matter?", with Yugu Xiao. Finance Research Letters, 2016, Forthcoming
"CDS inferred stock volatility", Journal of Futures Markets, 2016, Forthcoming
"How important is a non-default factor for CDS valuation? A non-parametric analysis", With Qian Han, Jaeram Lee, Doojin Ryu. Journal of Futures Markets, 2015, 35(11), 1088–1101
"Sell in May and go away: Evidence from China", with Xingguo Luo, Ziding Zhang. Finance Research Letters, 2014, 11, 362-368
“The Nelson-Siegel Model of the Term Structure of Option Implied Volatility and Volatility Components”, with Qian Han and Bin Zhao, Journal of Futures Markets, 2014, 34(8), 788-806
“Regime Dependent Liquidity Determinants of Credit Default Swap Spread Changes”, with David Newton, Journal of Financial Research, 2013, 36(2), 279-298
“Is the KOSPI 200 Options Market Efficient? Parametric and Nonparametric Tests of the Martingale Restriction”, with Qian Han and Doojin Ryu, Journal of Futures Markets, 2013, 33(7), 629-652
“A Tale of Two Index Futures: The Intraday Price Discovery Process between the China Financial Futures Exchange and Singapore Exchange”, with Qian Han, Maonan Liu, and Doojin Ryu, Emerging Markets Finance and Trade, 2013, 49(4), 207-222
“Asymmetric and Negative Return-Volatility Relationship: the Case of the VKOSPI”, with Qian Han, Doojin Ryu, and Robert I. Webb, 76, 2012, Investment Analysts Journal, 2012, 76, 69-78  
“Pricing Convertible Bonds with Embedded Parisian Options: Theory and Evidence”, with Fangyi Jin, Review of Futures Markets, 2011, 29(1), 59-82

Working paper
"The New Dominance of Accelerated Seasoned Equity Offerings", with Kai Dai, and David Newton, Revised & Resubmitted
"Sovereign Credit Spread, International Influence and Country Governance", with Kai Dai, and David Newton, submitted
"Macro Factors in Corporate Bond Credit and Liquidity Spreads", with Songtao Wang, submitted
"Forecasting the Term Structure of Implied Volatilities", with Qian Han, and Hai Lin, submitted
"Sovereign Credit Spreads Spillover in Asia: Kazakhstan’s Role", with Qian Han, Jufang Liang, and Doojin Ryu, submitted
"Modelling Sovereign Credit Term Structure with Macroeconomic and Latent Variables", with David Newton

Others
Language: Chinese (native), English (fluent)
Programming: Matlab, R, Python, C++, VBA

Add me as your friend:
Twitter: http://www.twitter.com/a_biao

Stumbleupon: https://www.stumbleupon.com/stumbler/biao/
LinkedIn: http://uk.linkedin.com/in/abiao
Google Plus: https://plus.google.com/115285921999509737652/

郭彪
Beijing, China
Biao.Guo@outlook.com


工作背景
09/2017-现在        副教授,财政金融学院,中国人民大学,中国
09/2013-08/2017   讲师,财政金融学院,中国人民大学,中国
05/2013-07/2013  访问学者,西交利物浦大学,中国
05/2010–07/2010  量化咨询师实习,Fintegral Consulting,英国
10/2008–07/2009  统计量化研究员,AHL,Man Group (曼氏基金) ,英国
01/2007–07/2007  风险创新组经理,衡泰软件,中国
09/2004–12/2006  量化分析师,衡泰软件,中国

教育背景
09/2009–03/2013  金融博士,英国诺丁汉大学
08/2007–09/2008  金融学硕士,瑞士苏黎世联邦理工大学
10/2002–08/2004  经济学硕士,德国康斯坦兹大学
09/1998–07/2002  经济学学士,同济大学

发表文章
Guo, B., Han, Q., Lin, H., 2017, Are There Gains from Using Information over the Surface of Implied Volatilities? Journal of Futures Markets (SSCI)
Xun, J.Y., Guo, B., 2017, Twitter as customer’s eWOM: an empirical study on their impact on firm financial performance. Internet Research (SSCI)
"Why doesn't the choice of performance measure matter?", with Yugu Xiao. Finance Research Letters, 2016, Forthcoming (SSCI)
"CDS inferred stock volatility", Journal of Futures Markets, 2016, Forthcoming (SSCI)
"How important is a non-default factor for CDS valuation? A non-parametric analysis", With Qian Han, Jaeram Lee, Doojin Ryu. Journal of Futures Markets, 2015, 35(11), 1088–1101 (SSCI)
"Sell in May and go away: Evidence from China", with Xingguo Luo, Ziding Zhang. Finance Research Letters, 2014, 11, 362-368 (SSCI)
“The Nelson-Siegel Model of the Term Structure of Option Implied Volatility and Volatility Components”, with Qian Han and Bin Zhao, Journal of Futures Markets, 2014, 34(8), 788-806 (SSCI)
“Regime Dependent Liquidity Determinants of Credit Default Swap Spread Changes”with David Newton,Journal of Financial Research,2013,36(2), 279-298
“Is the KOSPI 200 Options Market Efficient? Parametric and Nonparametric Tests of the Martingale Restriction”with Qian Han, Doojin Ryu,Journal of Futures Markets, 2013, 33(7), 629-652 (SSCI)
“A Tale of Two Index Futures: The Intraday Price Discovery Process between the China Financial Futures Exchange and Singapore Exchange”with Qian Han, Maonan Liu, Doojin Ryu,Emerging Markets Finance and Trade, 2013, 49(4), 207-222 (SSCI)
“Asymmetric and Negative Return-Volatility Relationship: the Case of the VKOSPI”with Qian Han,Doojin Ryu, Robert I. Webb, Investment Analysts Journal, 2012, 76, 69-78 (SSCI)
“Pricing Convertible Bonds with Embedded Parisian Options: Theory and Evidence”with Fangyi Jin,Review of Futures Markets, 2011, 29(1), 59-82

其它
语言: 中文(母语),英语(流利)
编程:Matlab, R, Python, C++, VBA


Tags:
Hi abiao, I tried the register, but it was disabled. Could you please help me out? Thanks
why do you have to register? you don't need to do so to read, download and leave comment.
Hi.i am looking for pdf this book, measure theory and probability  by malcolm adams and victor guillemin
Can you give me that book please?
Its important for me .thanks.
And do you know  exist problem solving this book ?
nilakantan Email
I am trying to implement the Jarrow-Rudd formula for valuing options with adjustment terms for skewness and kurtosis.
The Jarrow-Rudd formula in its simplest variation, gives the value of the option C (F) as
C (F) = C (A) +λ1Q3 +λ2Q4, where Q3 and Q4 involve some term of derivative of St at strike price K.
I am not clear how to work out this derivative in actual conditions. Their paper on approximate valuation of option pricing does not give any indication of this and I do not have access to their other paper on testing of the formula with market prices ( this paper is part of the book on option pricing edited by M Brenner.
Does anyone have an idea as to how to decode this term of derivative?
Thanks for your assistance in advance.
Nilakantan
One of the better weblogs I have seen in a while.

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