Dr James Huang

Lecturer

Research Interests

Capital asset pricing models, option pricing theory, consumption rules and portfolio theory, term structure and interest rate derivatives, and hedging models.

Convex and decreasing absolute risk aversion is proper
Huang, J. 10/2014 In: Economics Letters. 125, 1, p. 123-125. 3 p.
Journal article

Cautiousness, skewness preference, and demand for options
Huang, J., Stapleton, R. 2014 In: Review of Finance. 18, 6, p. 2375-2395. 21 p.
Journal article

Some new results on when extra risk strictly increases an option's value
Huang, J., Zhang, D. 01/2013 In: Journal of Futures Markets. 33, 1, p. 44-54. 11 p.
Journal article

Should you buy a stock or a corporate bond? Another characterization of cautiousness
Huang, J., Stapleton, R. 2012 , 11 p.
Working paper

The relationship between relative prudence and relative risk aversion
Huang, J., Zhang, Z. 2012 Lancaster : Lancaster University, 34 p.
Working paper

The relationship between risk aversion and cautiousness
Huang, J. 2012 Lancaster : Lancaster University, 38 p.
Working paper

Necessary and sufficient conditions on Gorman aggregation in securities markets with heterogeneous beliefs
Huang, J., Adam-Mueller, A. 2012 Lancaster : Lancaster University, 11 p.
Working paper

Are we extracting the true risk neutral density from option prices?: a question with no easy answer
Huang, J. 2012 Lancaster : Lancaster University, 40 p.
Working paper

What can the option-implied risk aversion really tell us?
Huang, J. 2012 Lancaster : Lancaster University, 36 p.
Working paper

A class of linearly constrained nonlinear optimization problems with corner point optimal solutions and applications in finance
Huang, J. 2012 Lancaster : Lancaster University, 29 p.
Working paper

Changes in risk and valuation of options: a unified approach to option pricing bounds
Huang, J. 2012 Lancaster : Lancaster University, 37 p.
Working paper

Cautiousness in the small and in the large
Huang, J., Stapleton, R. 2012 Lancaster : Lancaster University, 37 p.
Working paper

Effects of background risks on cautiousness with an application to a portfolio choice problem
Hara, C., Huang, J., Kuzmics, C. 01/2011 In: Journal of Economic Theory. 146, 1, p. 346-358. 13 p.
Journal article

Extremal financial risk models and portfolio evaluation
Zhang, Z., Huang, J. 15/12/2006 In: Computational Statistics and Data Analysis. 51, 4, p. 2313-2338. 26 p.
Journal article

Two-dimensional risk neutral valuation relationships for the pricing of options
Huang, J., Franke, G., Stapleton, R.C. 2007 In: Review of Derivatives Research. 9, p. 213-237. 25 p.
Journal article

Representative consumer’s risk aversion and efficient risk-sharing rules
Hara, C., Huang, J., Kuzmics, C. 2007 In: Journal of Economic Theory. 137, 1, p. 652-672. 21 p.
Journal article

Option pricing bounds and the elasticity of the pricing kernel
Huang, J. 2004 In: Review of Derivatives Research. 7, 1, p. 25-51. 27 p.
Journal article

Option bounds from concurrently expiring options when relative risk aversion is bounded
Huang, J. 2004 Lancaster University : The Department of Accounting and Finance
Working paper

DARA and DRRA option bounds from concurrently expiring options
Huang, J. 2004 Lancaster University : The Department of Accounting and Finance
Working paper

Stochastic dominance option bounds and Nth order arbitrage opportunities
Huang, J. 2004 Lancaster University : The Department of Accounting and Finance
Working paper

Option bounds and second order arbitrage opportunities
Huang, J. 2004 Lancaster University : The Department of Accounting and Finance, 60 p.
Working paper

Risk neutral probabilities and option bounds: a geometric approach
Huang, J. 2004 Lancaster University : The Department of Accounting and Finance
Working paper

Cautiousness and tendency to buy options
Huang, J. 2004 Lancaster University : The Department of Accounting and Finance
Working paper

Impact on option prices of divergent consumer confidence
Huang, J. 2003 In: Review of Derivatives Research. 6, 3, p. 165-177. 13 p.
Journal article

Option pricing bounds and the elasticity of the pricing kernel
Huang, J. 2002 Lancaster University : The Department of Accounting and Finance
Working paper

Impact on option prices of divergent consumer confidence
Huang, J. 2002 Lancaster University : The Department of Accounting and Finance
Working paper

Linear sharing rules
Huang, J. 2002 Lancaster University : The Department of Accounting and Finance
Working paper

The role of options in an economy with background risk: a note
Huang, J. 2002 Lancaster University : The Department of Accounting and Finance
Working paper

Existence of an optimal portfolio for every investor in an Arrow-Bebreu economy
Huang, J. 2002 Lancaster University : The Department of Accounting and Finance
Working paper

Who buys options from whom? The role of options in an economy with heterogeneous
Huang, J. 2000 Lancaster University : The Department of Accounting and Finance
Working paper

Relationships between risk aversion, prudence, and cautiousness
Huang, J. 2000 Lancaster University : The Department of Accounting and Finance
Working paper

Deriving preference-free asset prices in a general equilibrium framework
Huang, J. 2000 Lancaster University : The Department of Accounting and Finance
Working paper