Ally Quan Zhang

Thesis

Thesis Title:	Limits of Arbitrage and Collateral Constraints
Thesis Advisor:	Prof. Felix Kübler
Year of Graduation:	2017

Personal Website

Next Employment

Tenure-track Lecturer (Assistant Professor), Lancaster University, UK

Research Papers

Ally Quan Zhang: Arbitrage Crashes, Financial Accelerator, and Sudden Market Freezes, SFI Research Paper No. 17-62
Ally Quan Zhang: Best Friend or Worst Enemy?-Dynamics and Multiple Equilibria with Arbitrage, Production and Collateral Constraints, SFI Research Paper No. 17-02
Ally Quan Zhang: Amplification and Spillover with Financial Arbitrage, Production and Collateral Constraints, SSRN, 2016
Matthias Thul, Ally Quan Zhang: Analytical Option Pricing under an Asymmetrically Displaced Double Gamma Jump-Diffusion Model, SSRN, 2013

Publications

Matthias Thul, Ally Quan Zhang: How Much Is the Gap? Efficient Jump Risk-Adjusted Valuation of Leveraged Certificates, Quantitative Finance, Vol. 17 (9), 2017