Guanglian Hu


Discipline of Finance, The University of Sydney


Phone: +61 2 8627 9431

Curriculum Vitae [updated January 2020]


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

Working Papers

Characterizing the Variance Risk Premium: The Role of the Leverage Effect [with Kris Jacobs and Sang Byung Seo]

The Pricing of Volatility and Jump Risks in the Cross-Section of Index Option Returns [with Yuguo Liu]

  • Revise and resubmit, Journal of Financial and Quantitative Analysis
  • 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

Expected and Realized Returns on Volatility [with Kris Jacobs]