Jialin (Jolene) Zhao is an assistant professor of quantitative management with Greehey School of Business at St. Mary’s University. She graduated with a B.Eng. in Construction Management from North China Electric Power University, an M.S. in Financial Mathematics from University of Dayton, and a Ph.D. in Management Science from Illinois Institute of Technology. Dr. Zhao has taught quantitative analytics, investment, risk management, and financial programming at Illinois Institute of Technology and St. Mary’s University. Her research interest lies in the field of financial derivatives and risk management, especially in the context of energy markets. Dr. Zhao has presented her studies at the Financial Management Association (FMA) Annual Meeting, the International Association for Energy Economics (IAEE) Asian Conference, and the International Conference on Energy Finance (ICEF) Annual Meeting, and she has published in Journal of Computational and Applied Mathematics, Journal of Energy Markets, Theoretical Economic Letters, and Energy Risk. During her Ph.D. study, she received PRMIA Higher Standard Risk Management Scholarship from the Bank of England.
A new approach to evaluating the cost-efficiency of complex hedging strategies: an application to electricity price–volume quanto contracts
In this paper, the authors propose a new hedging assessment model, the economic value of the incremental expected shortfall (EVIES), from a cost-efficiency perspective.
Pricing fast-responding electric storage assets in the presence of negative prices and price spikes: a simulation-and-regression approach
This study focuses on the use of batteries for real-time power trading and proposes a simulation-and-regression-based valuation model.