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Dr Jane Shen

Dr Jane Shen

Senior Lecturer in Finance

2541

+44 (0) 1392 722541

F02
Xfi Building, University of Exeter, Rennes Drive, Exeter, EX4 4ST, UK

Dr Jane Shen is a Lecturer in Finance. She teaches courses in Financial Modelling and International Financial Management and supervises student dissertations. Jane’s PhD is in the area of optimal hedging, and she has already published several papers in leading academic journals, including the Journal of Futures Markets and the Journal of Derivatives. Jane has a wide knowledge of applied finance, and extensive expertise in financial databases and financial modelling using Excel, VBA and econometric and statistical software. Before becoming an academic, Jane worked in commercial and investment banking in the areas of credit analysis, international trade finance and project finance.

Administrative responsibilities

  • Xfi Financial Database Administrator

Qualifications

BA (Wuhan University), MA, PhD (University of Exeter)

Research

Research interests

  • Volatility modelling and forecasting
  • Value at risk
  • Optimal hedging
  • Trading transaction cost analysis
  • Currency valuation

Key publications | Publications by category | Publications by year

Publications by category


Journal articles

Harris RDF, Shen J, Stoja E (2010). The Limits to Minimum-Variance Hedging. Journal of Business Finance & Accounting, 37(5-6), 737-761. Full text.
Cao Z, Harris RDF, Shen J (2009). Hedging and Value at Risk: a Semi-Parametric Approach. Journal of Futures Markets, 30(8), 780-794. Full text.
Harris RDF, Shen J (2006). Hedging and value at risk. Journal of Futures Markets, 26(4), 369-390. Abstract.
Harris RDF, Shen, J. (2004). The Estimation of Value at Risk Using Bias-Corrected Forecasts of Conditional Volatility. Journal of Derivatives, Summer, 1-17.
Harris RDF, Shen J (2003). Robust Estimation of the Optimal Hedge Ratio. Journal of Futures Markets, 23(8), 799-816. Abstract.  Full text.

Publications by year


2010

Harris RDF, Shen J, Stoja E (2010). The Limits to Minimum-Variance Hedging. Journal of Business Finance & Accounting, 37(5-6), 737-761. Full text.

2009

Cao Z, Harris RDF, Shen J (2009). Hedging and Value at Risk: a Semi-Parametric Approach. Journal of Futures Markets, 30(8), 780-794. Full text.

2006

Harris RDF, Shen J (2006). Hedging and value at risk. Journal of Futures Markets, 26(4), 369-390. Abstract.

2004

Harris RDF, Shen, J. (2004). The Estimation of Value at Risk Using Bias-Corrected Forecasts of Conditional Volatility. Journal of Derivatives, Summer, 1-17.

2003

Harris RDF, Shen J (2003). Robust Estimation of the Optimal Hedge Ratio. Journal of Futures Markets, 23(8), 799-816. Abstract.  Full text.