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.

Higher-order risk vulnerability
Huang, X., Stapleton, R.C. 23/03/2016 In: Economic Theory. 20 p.
Journal article

The utility premium of Friedman and Savage, comparative risk aversion, and comparative prudence
Huang, J., Stapleton, R. 09/2015 In: Economics Letters. 134, p. 34-36. 3 p.
Journal article

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

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

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

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

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

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

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

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

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

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

Cautiousness and tendency to buy options
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

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

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

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

Risk neutral probabilities and option bounds: a geometric approach
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

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

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

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

Option pricing bounds and the elasticity of the pricing kernel
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

Deriving preference-free asset prices in a general equilibrium framework
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

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