Skip to main content

South Dakota State University

Menu
Close Search

Stahly Scholar in Financial Economics

Student Presenting in Conference Room

The main goal of the Stahly Scholar is to conduct research on financial and agricultural commodity markets and financial risk management, and to enhance undergraduate and graduate education in financial economics at South Dakota State University. The Stahly Scholar in Financial Economics is Dr. Zhiguang (Gerald) Wang. He leads research on Financial Markets and Financial Risk Management. 

Dr. Wang's research spans the pricing and risk management of volatility futures and options, agricultural commodity marketing and derivatives pricing, and asset pricing in equity and forex markets. His recent research projects involve: (1) understanding tail risks through the lens of financial derivatives during the financial crisis; (2) developing new models for pricing volatility derivatives; and (3) developing new models for pricing agricultural commodity derivatives and exploring volatility connections among different commodity markets.

As Stahly Scholar, Dr. Wang has been advising the SDSU Investment Clubsince Fall 2011 and has sponsored the SDSU Investment Competition since Spring 2012. Through the joint effort of Dr. Wang and student leaders, the Investment Club was officially recognized by the university in Fall 2012. He currently advises one undergraduate student in Math/Econ, two Masters students in economics and a PhD student in Mathematics and Statistics.

 

Recent Publications and Presentations

Presentations

Schmitz, A., Wang, Z. and Kimn, J. (2013). Pricing Calendar Spread Options on Agricultural Commodities. NCCC-134 2013 Annual Meeting*, St. Louis, MO; Financial Management Association Annual Conference 2013**, Chicago, IL; International Mathematical Finance Conference 2014**, Miami, FL.

Wang, Z. and Daigler, R.T. (2013). The Option SKEW Index and the Volatility of Volatility. World Finance and Banking Symposium**, Shanghai, China; Financial Management Association Annual Conference 2013**, Chicago, IL.

Kolecka, C. and Wang, Z. (2013). Term Structure of VIX Futures: A Cascade Model. Missouri Valley Economics Association 2013 Annual Conference*, Kansas City, MO.

Schmitz, A., Wang, Z. and Kimn, J. (2012). A Jump Diffusion Model for Agricultural Commodities with Bayesian Analysis. NCCC-134 2012 Annual Meeting*, St. Louis, MO; Midwest Finance Association 2012 Annual Meeting*, New Orleans, LA; Financial Management Association Annual Conference 2012*, Atlanta, GA.

*    Partially sponsored by Stahly Scholar Funds 
**  Fully sponsored by Stahly Scholar Funds

 

Publications

Fausti, Wang, Qasmi and Diersen (2014). Risk and Marketing Behavior: Pricing Fed Cattle on a Grid. Agricultural Economics, forthcoming.

Schmitz, Wang and Kimn (2014). A Jump Diffusion Model for Agricultural Commodities with Bayesian Analysis. Journal of Futures Markets, forthcoming.

Fausti, Wang and Lange (2013). Expected Utility, Risk, and Marketing Behavior: Theory and Evidence from the Fed Cattle Market. Canadian Journal of Agricultural Economics, 61(3):371–395.

Wang, Fausti and Qasmi (2012). Variance Risk Premiums and Predictive Power of Alternative Forward Variances in the Corn Market. Journal of Futures Markets, 32(6): 587-608.

Wang and Bidarkota (2012). Risk Premia in Forward Foreign Exchange Rates: A Comparison of Signal Extraction and Regression Methods. Empirical Economics, 42(1): 21-51.

Wang and Daigler (2011). The performance of VIX option pricing models: Empirical evidence beyond simulation. Journal of Futures Markets, 31(3): 251-281.

Wang and Bidarkota (2010). A long run risks model of asset pricing with fat tails. Review of Finance, 14(3): 409-449.