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Jason Z. Wei

Jason Wei

    Jason Z. Wei

    Professor of Finance, Department of Management, University of Toronto Scarborough

    Degrees: PhD, University of Toronto
    MBA, York University
    BSc, Harbin Institute of Technology (China)
    Email: Send an email to Jason Z. Wei

    Bio

    Jason Wei is a Professor of Finance in the Department of Management at the University of Toronto-Scarborough, with a cross-appointment to the Finance area at Rotman.  His early research was mainly on derivatives valuation and applications. His recent research is on empirical asset pricing, focusing on options liquidity and trading. He is currently on the editorial board of The Journal of Derivatives. He was the Finance Division Editor of the Canadian Journal of Administrative Sciences from 2005 to 2011. In addition to his teaching and research duties, Jason is also active in various industry consulting activities and professional education programs.

    Academic Positions

    2005-present  Professor of Finance; University of Toronto
    1998-2005  Associate Professor of Finance; University of Toronto
    1992-1998  Associate Professor of Finance; University of Saskatchewan

    Selected Publications - Papers

    • Behavioral Biases in the Corporate Bond Market; Journal of Empirical Finance; forthcoming; 2017
    • Informed Trading in Corporate Bonds Prior to Earnings Announcements; with Xing Zhou; Financial Management; Issue: Vol 45, No 3; 2016
    • Option Trading: Information or Differences of Opinion?; with Siu Kai Choy; Journal of Banking and Finance; Issue: Vol 36, No 8; 2012
    • Option Market Liquidity: Commonality and Other Characteristics; with Melanie Cao; Journal of Financial Markets; Issue: Vol 13, No 1; 2010
    • Valuation of Housing Index Derivatives; with Melanie Cao; Journal of Futures Markets; Issue: Vol 30, No 7; 2010
    • Trading Activity and Bid-Ask Spreads of Individual Equity Options; with Jinguo Zheng; Journal of Banking and Finance; Issue: Vol 34, No 12; 2010
    • Systematic Risk and the Price Structure of Individual Equity Options; with Jin-Chuan Duan; Review of Financial Studies; Issue: Vol 29, No 5; 2009
    • Corporate Yield Spreads and Bond Liquidity; with Long Chen and David Lesmond; Journal of Finance; Issue: Vol 61, No 1; 2007
    • Executive Stock Options and Incentive Effects due to Systematic Risk; with Jin-Chuan Duan; Journal of Banking and Finance; Issue: Vol 29, No 5; 2005
    • Stock Market Returns: A Note on Temperature Anomaly; with Melanie Cao; Journal of Banking and Finance; Issue: Vol 29, No 6; 2005
    • Price Hedging with Local and Aggregate Quantity Risk; with Jouahn Nam and Alan Tucker; Journal of Derivatives; Issue: Vol 13, No 2; 2005
    • Deposit Insurance and Forbearance under Moral Hazard; with Jacky So; Journal of Risk and Insurance; Issue: Vol 71, No 4; 2004
    • Weather Derivatives Valuation and Market Price of Weather Risk; with Melanie Cao; Journal of Futures Markets; Issue: Vol 24, No 11; 2004
    • A Multi-Factor, Markov Chain Model for Credit Migration and Credit Spreads; Journal of International Money and Finance; Issue: 22; 2003; Pages: 709-735
    • Finding Generators for Markov Chains Via Empirical Transition Matrices; with R. Israel and J. Rosenthal; Mathematical Finance; Issue: Vol 11, No. 2; 2001
    • Vulnerable Options, Risky Corporate Bonds and Credit Spread; with Melanie Cao; Journal of Futures Markets; Issue: Vol 21, No 4; 2001
    • Pricing Foreign Currency and Cross-Currency Options Under GARCH; with Jin-Chuan Duan; Journal of Derivatives; Issue: Vol 7. No 1; 1999
    • Valuation of Barrier Options by Interpolation; Journal of Derivatives; Issue: Vol 6, No. 1; 1998
    • Valuation of LIBOR-Contingent FX Options; with Alan Tucker; Journal of International Money and Finance; Issue: Vol 17, No. 2; 1998
    • A Simple Approach to Bond Option Pricing; Journal of Futures Markets; Issue: Vol. 17, No 2; 1997
    • Empirical Tests of the Pricing of Nikkei Put Warrants; The Financial Review; Issue: Vol 30, No 2; 1995
    • Valuing Differential Swaps; Journal of Derivatives; Issue: Vol 1, No 3 (Spring); 1994
    • Upper Bounds for American Futures Options ----- A Note; with Mohammed Chaudhury; Journal of Futures Markets; Issue: Vol 14, No 1; 1994

    Academic / Professional Service

    2005 -2011  Area Editor, Canadian Journal of Administrative Sciences
    1999 - present  Editorial Board; Journal of Derivatives
    1998-1999  Editorial Board; Journal of Financial Engineering
      
      

    Honors and Awards

    2005  Best Paper in Derivatives; Northern Finance Association
    1998  Toronto Society of Financial Analysts Research Award; TSFA
    1995,1998  Most Effective Professor of the Year; College of Commerce, University of Saskatchewan
    1993  Harvey Rorke Memorial Prize for Best Ph.D. Dissertation
    1993  Best Paper Award; Administrative Science Association of Canada

    Research and Teaching Interests

    Have taught at the undergraduate, MBA, and PhD levels. Subjects covered include introductory finance, advanced finance, investments, portfolio management, international finance, derivative securities, risk management, option trading and liquidity. Main research interests are in empirical asset pricing.  

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