Guanglian Hu

Publications

Volatility and Expected Option Returns [with Kris Jacobs] , Journal of Financial and Quantitative Analysis, 2020, 55(3), pp. 1025-1060.

Characterizing the Variance Risk Premium: The Role of the Leverage Effect [with Kris Jacobs and Sang Byung Seo], Review of Asset Pricing Studies, 2022, 12(2), pp. 500-542. 

The Pricing of Volatility and Jump Risks in the Cross-Section of Index Option Returns [with Yuguo Liu] , Journal of Financial and Quantitative Analysis, 2022, 57(6), pp. 2385-2411.

• ASX Prize for Best Paper on Derivatives & Quantitative Finance, 32nd Australasian Finance & Banking Conference

• Semi-finalist for Best Paper in Derivatives & Options, 2019 FMA

• Best Paper Award, 2019 Derivative Markets Conference

Working Papers

Expected and Realized Returns on Volatility [with Kris Jacobs], Revise and Resubmit,  Journal of Financial and Quantitative Analysis

Do Common Measures of Stock Market Volatility Risks Have the Same Price?, Revise and Resubmit,  Journal of Financial Markets

Short Term VIX Futures [with Rui Liu] 

Estimating the Intertemporal Risk Return Relation Using Option Implied Expected Returns [with Hamish Malloch]