top of page

PeiLin (Billy) Hsieh

Associate Professor in Finance, WISE & SOE, Xiamen University, China

Email: ph77@cornell.edu / hsiehpeilin@xmu.edu.cn / PeiLin.h@gmail.com

Office: Room D316, Economics Building, Xiamen University

Academic Appointments

2018~         Associate Professor, WISE and SOE, Xiamen University 

2013~2018  Assistant Professor, WISE and SOE, Xiamen University  

Education
Ph.D., Economics, Cornell University (May, 2013)
M.S., Finance, University of Maryland, College Park (January, 2003)

B.S., Management Science, National Chiao Tung University, Taiwan (May,1999 with Phi-Tau-Phi Scholastic Honor)

 

Publication

1. “Volatility Uncertainty, Time Decay, and Options Bid-Ask Spreads in an Incomplete Market”, Management Science, 2019, 65(4), 1833-1854. (with Robert Jarrow) [Australian Securities Exchange Prize, for the best paper on derivatives/quantitative finance presented  at Australasian Finance & Banking Conference, 2012]

2. "Crash Risk and Risk Neutral Densities", Journal of Empirical Finance, 2018, 47, 162-189.  (with Ren-Raw Chen and Jeffrey Huang)

3. "It Is Time to Shift Log-normal", Journal of Derivatives, 2018, 25(3), 89-103. (with Ren-Raw Chen and Jeffrey Huang)

4. "Jump Risk and Option Liquidity in an Incomplete Market", Journal of Futures Market, 2018, 38(11), 1334-1369. (with YaJun Wang and QinQin Zhang)

5. "A Resolution to Valuation Conflicts of Swaptions/Caps and OIS/LIBOR", Journal of Fixed Income, 2019, 28(3), 68-87. (with Ren-Raw Chen, Jeffrey Huang and Joe Huang)

6. "知情交易、信息不确定性与股票风险溢价", 作者: 陈国进、谢沛霖、 张润泽 、赵向琴 (接受2019, 管理科學學報) [第十四届金融系统工程与风险管理国际年会(FSERM'2016)金融风险管理优秀论文]

7. "已实现跳跃风险与中国股市横截面收益关系", 陈国进、刘晓群、谢沛霖、赵向琴, 管理科學學報, 2016, 19(6):98-113. [第十二届金融系统工程与风险管理国际年会(FSERM'2014)金融风险管理优秀论文]

8. "Realized jump risk and equity premium in China" with Goujin Chen, Xiaoqun Liu and Xiangqin Zhao, Discrete Dynamics in Nature and Society (SCI), vol. 2014, 13.

​Conference Participation
Presentation

"Crash Risk and Risk Neutral Densities", 2017, VINS, NewYork University at ShangHai, ShangHai

"Crash Risk and Risk Neutral Densities", 2017 FSERM, Beijin

"Crash Risk and Risk Neutral Densities", 2017 FMA European Conference, Lisbon, Portugal, 2017

"Crash Risk and Risk Neutral Densities", 2017 Korea Economic Association-APEA Conference, Seoul, Koea, 2017

"Contagion Behavior of High-frequency Trading in Future and Option Markets", 2015 China Youth Economists Forum, Xiamen, China, July 2015.

"Jump Risk and Option Liquidity in an Incomplete Market", Financial Innovations and Bank Regulation Conference, Xiamen, China, Dec 2014. 

"Jump Risk and Option Liquidity in an Incomplete Market", 1st Conference on Recent Developments in Financial Econometrics and Application, Deakin University, Geelong, Australia, Dec 2014

"Jump Risk and Option Liquidity in an Incomplete Market", International Conference on Futures and Derivative Markets, Shanghai Futures Exchange, Oct 2014

"已实现跳跃风险与中国股市横截面收益关系", 第十二届金融系统工程与风险管理国际年会(FSERM'2014), 山西大學, 中國, 報告人:刘晓群

"Jump Risk and Option Liquidity in an Incomplete Market", China Meeting of Econometric Society, Xiamen University, China, June 2014.

“Volatility (Model) Uncertainty, Time Decay, and Options Bid-Ask Spreads”, Annual Australasian Finance and Banking Conference, The University of New South Wales, Sydney, December, 2012.

“Volatility (Model) Uncertainty, Time Decay, and Options Bid-Ask Spreads”, Johnson Graduate School of Management, Cornell University, Ithaca, NY, October 2012.

“Linking the Belief-Base Quoting Strategy to Volatility”, 2011 Annual Meeting of the Midwest Finance

Association, Chicago, IL, March, 2011.

“Linking the Belief-Base Quoting Strategy to Volatility”, International Symposium on Financial Engineering and

Risk Management 2010 (FERM 2010), National Taiwan University, Taipei, Taiwan, July, 2010.

“Linking the Belief-Base Quoting Strategy to Volatility,” The NTU International Conference on Economics, Finance and Accounting (IEFA), National Taiwan University, Taipei, Taiwan, June, 2010.
 

Discussant

2015 China Youth Economists Forum

2014 China Meeting of Econometric Society, Xiamen, China

2013 China International Conference in Finance, ShangHai, China.

2012 Annual Australasian Finance and Banking Conference, The University of New South Wales , Sydney, Australia
2011 Annual meeting of MFA, Chicago, IL, March, 2011.



Award & Honor

1. Xiamen International Bank Teaching Award 2017

2. 第十四届金融系统工程与风险管理国际年会(FSERM'2016)金融风险管理优秀论文

3. Best Teaching Award, WISE, Xiamen University. (2015 and 2016)

4. Australian Securities Exchange Prize, for the best paper on derivatives/quantitative finance presented  at Australasian Finance & Banking Conference, 2012.

5. 第十二届金融系统工程与风险管理国际年会(FSERM'2014)金融风险管理优秀论文
6. Cornell Academic Conference Travel Grant, 2010, 2011 and 2012.

Professional Experience
1.  Equity Derivatives Trader/Assistant Manager, Derivatives Division, Presidential Securities, Taiwan (August, 2007- August 2009).
2.  Equity Derivatives Trader, Equity Derivatives Division, First Securities, First Financial Holding, Taiwan (September 2005- August 2007).

3.  Guest Lecturer: Taiwan Academy of Banking and Finance (2008) and Takming University of Science and Technology, Taiwan (2009). Topic: Hedging of Derivatives

4.  Military officer (Ensign), Information Technology Center, Navy Headquarters, Taiwan (mandatory service, October, 1999-August, 2001).  

Referee Service

Ad hoc Referee for Journal of Econometrics, Journal of Banking and Finance, Journal of Futures Market

​Teaching

1. Asset Pricing (Master/PhD)

2. Corporate Finance (Undergraduate)

3. Fixed Income Analysis (Undergraduate)

4. Derivatives (Master and Undergraduate)



Grant

1. China NSF 2020 (Principal investigator)

2. China NSF 2015 (principal investigator)

3. Fujian SSF 2015 (principal investigator)

bottom of page