Education
Ph.D in Economics, Bocconi University, Milan, Italy (2009) Master of Science in Economics, Bocconi University, Milan, Italy (2005) Master of Engineering in Systems Engineering, Beijing Jiaotong University, Beijing, China (2001)
Research Areas
Areas
1. Volatility Modeling and Financial Econometrics 2. Empirical Asset Pricing 3. Applied Time Series and Bayesian Econometrics
On-going Projects
Academic Publications
Articles
"Option-Implied Volatility Factors and the Cross-Section of Market Risk Premia" (J. Li), Journal of Banking and Finance, Jan 2012, Vol. Vol 36, Issue Issue 1, p. 249‑260
"Sequential Bayesian Analysis of Time-Changed Infinite Activity Derivatives Pricing Models" (J. Li), Journal of Business and Economic Statistics, Oct 2011, Vol. 29, Issue 4, p. 468‑480
"Volatility Components, Leverage Effects, and the Return-Volatility Relations" (J. Li), Journal of Banking and Finance, Apr 2011, Vol. Volume 35, Issue Issue 6, p. 1530‑1540
Teaching at ESSEC
1. Financial Econometrics, MS-FT Asia 2. Advanced Derivatives, MS-FT, MS-FT Asia, MiM 3. Portfolio Management, SMIB 4. Asset Pricing II (Continuous-Time Finance, with Patrice Poncet)
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Useful Links
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Personal Links
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Personal Page
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Contact
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E-mail
Tel:
+33 (0)1 34 43 30 97
ESSEC Asian Center 100 Victoria Street #13-02 National Library Singapore
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