Grace Xing Hu                                                                                              818 K.K.Leung Building

Assistant Professor of Finance                                                                     University of Hong Kong

School of Economics and Finance                                                               Email: gracexhu@hku.hk

University of Hong Kong                                                                             Phone: (852)3917-4178

                                                                                          

CV     click here for my CV

 

 

 

Working Papers

 

          Tri-Party Repo Pricing (with Jun Pan and Jiang Wang)   PDF version

               

                Chinese Capital Market: An Empirical Overview (with Jun Pan and Jiang Wang)   PDF version

 

 

Publications

 

            Noise as Information for Illiquidity (with Jun Pan and Jiang Wang), Journal of Finance, Volume 68, pages 22232772, 2013  PDF version 

 

            Early Peek Advantage? (with Jun Pan and Jiang Wang),  Journal of Financial Economics, Volume 126, pages 399-421, 2017  PDF version

 

Bayesian Inference via Filtering Equations for Ultra-High Frequency Data (I) (with David Kuipers and Yong Zeng), SIAM/ASA Journal on Uncertainty Quantification, Volume 6, pages 34-60, 2018   PDF version

           

            Bayesian Inference via Filtering Equations for Ultra-High Frequency Data (II) (with David kuipers and Yong Zeng), SIAM/ASA Journal on Uncertainty Quantification, Volume 6, pages 61-86, 2018   PDF version

 

                Fama-French in China, Size and Value Factors in Chinese Stock Returns (with Can Chen, Yuan Shao, and Jiang Wang), International Review of Finance, Forthcoming PDF version

 

 

Book Chapters

 

          Filtering with Counting Process Observations and Other Factors: Applications to Bond Price Tick Data (with David Kuipers and Yong Zeng).

In Stochastic Analysis, Stochastic Systems and Application to Finance.

Edited by Allanus Tsoi, David Nualart and George Yin, World Scientific, Singapore, page 133-162, 2011

 

 

Teaching

 

Risk Management, MFin

 

Quantitative Risk Management, FINA0601

 

Advanced Option Pricing Models, MFin