Doctor Zhi Jun Guo

• Biography
• Areas of Research / Teaching Expertise
• Selected Publications
• Contact Details

Biography

A graduate of the University of New South Wales, Zhi has been focusing his research on derivative pricing problems in mathematical finance. He is particularly interested in implied volatility modeling and has been working on small and large time properties of the implied volatility in local volatility models.

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Areas of Research / Teaching Expertise

Implied Volatility, Derivative Pricing.

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Selected Publications

Guo, Z. and Platen E. (2009). Small and large time limits of implied volatility in the minimal market model, Working Paper.

Guo, Z. (2008). A note on the CIR process and the existence of equivalent martingale measures, Statistics and Probability Letters, 78, 481–487.

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