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 Contact:
Email: jfleming@rice.edu
Office
Rm. 330
Mailstop: MS 531
Phone: 713 348-4677 |
Teaching Areas:
Financial Risk Management, Futures, Options and Derivative Securities Scholarly Areas:
Applied Econometrics, Empirical Finance, Derivative Securities, Information and Market Linkages, Volatility Modeling | Education:
| B.A (1987) Cornell College | | M.B.A. (1989) Duke University | | Ph.D. (1993) Duke University |
Bio Statement:
Teaching Excellence Award Winner
2000, 2003
Jeff Fleming is an Professor of Finance and Associate Dean of Academic Affairs at the Jones Graduate School of Management at Rice University. He joined the Jones School faculty in 1993. He teaches courses on Futures and Options in the MBA program and a course on Financial Risk Management in the MBA program for executives. He received the Jones Graduate School Excellence in Teaching Award in 2000 and 2003. His research interests include option pricing, implied volatility, volatility modeling, and the role of information flow in financial markets. He has published research articles in the Journal of Finance, the Journal of Financial Economics, the Journal of Financial Econometrics, the Journal of Empirical Finance, and other top finance journals. Two of his papers were finalists for the Smith-Breeden Prize awarded annually by the Journal of Finance.
Website:
Publications:
Journal Articles
| Fleming, Jeff, Chris Kirby, and Barbara Ostdiek. 2005. "Stochastic volatility, trading volume, and the daily flow of information." Journal of Business Forthcoming
| Fleming, Jeff, and Chris Kirby. 2003. "A closer look at the relation between GARCH and stochastic autoregressive volatility." Journal of Financial Econometrics 1 365-419
| Fleming, Jeff, Chris Kirby and Barbara Ostdiek. 2003. "The economic value of volatility timing using "realized" volatility." Journal of Financial Economics 67:3 473-509
| Fleming, Jeff, Chris Kirby and Barbara Ostdiek. 2001. "The economic value of volatility timing." Journal of Finance 56 329-352
| Fleming, Jeff, and Barbara Ostdiek. 1999. "The impact of energy derivatives on the crude oil market." Energy Economics 21 135-167
| Fleming, Jeff, Bernard Dumas and Robert E. Whaley. 1998. "Implied volatility functions: Empirical tests." Journal of Finance 53 2059-2106
| Fleming, Jeff, Chris Kirby and Barbara Ostdiek. 1998. "Information and volatility linkages in the stock, bond, and money markets." Journal of Financial Economics 49 111-137
| Fleming, Jeff. 1998. "The quality of market volatility forecasts implied by S&P 100 index option prices." Journal of Empirical Finance 5 317-345
| Fleming, Jeff, Barbara Ostdiek and Robert E. Whaley. 1996. "Trading costs and the relative rates of price discovery in stock, futures, and option markets." Journal of Futures Markets 16 353-387
| Fleming, Jeff, Barbara Ostdiek and Robert E. Whaley. 1995. "Predicting stock market volatility: A new measure." Journal of Futures Markets 15 265-302
| Fleming, Jeff, and Robert E. Whaley. 1994. "The value of wildcard options." Journal of Finance 49 215-236
| Fleming, Jeff, Chris Kirby and Barbara Ostdiek. 2000. "Does volatility timing matter?." Computational Finance -- Proceedings of the Sixth International Conference Cambridge, MA MIT Press 153-170
| Fleming, Jeff, Chris Kirby and Barbara Ostdiek. 1998. "Measuring the impact of stochastic volatility on short-horizon investment and risk management decisions." Proceedings of the Annual Spring Research Seminar Chicago, IL Chicago Board of Trade 133-176
| Fleming, Jeff. 1999. "The economic significance of the forecast bias of S&P 100 index option implied volatility." Advances in Futures and Options Research 10 219-251
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Research in Progress:
Fleming, Jeff, Chris Kirby, and Barbara Ostdiek."Information, trading and volatility: Evidence from weather-sensitive markets."
| Fleming, Jeff and Chris Kirby."Long memory in volatility and trading volume."
| Fleming, Jeff, Chris Kirby, and Barbara Ostdiek."ARCH effects and trading volume."
| Fleming, Jeff, and Chris Kirby."Bayesian efficient portfolio selection with informative priors on optimal asset holdings."
| Fleming, Jeff, and Chris Kirby."Examining the volume-volatility relation using range-based and realized-volatility-based stochastic volatility models."
| Fleming, Jeff, Barbara Ostdiek, and Robert E. Whaley."The efficacy of volatility derivative contracts."
| Fleming, Jeff, and Chris Kirby."Measuring common information flow for MMI stocks: Is liquidity a factor?."
| Fleming, Jeff, Chris Kirby and Barbara Ostdiek."Stochastic volatility and derivatives risk management."
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Recognition and Relationships:
Finalist for Smith-Breeden Prize, Journal of Finance (2002), 12/15/2001
| Finalist for Smith-Breeden Prize, Journal of Finance (1999), 12/12/1999
| Inquire Group Europe Prize, Barcelona meetings (1996), 12/12/1999
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