Dr Van Le

Lecturer

Newcastle Business School

Career Summary

Biography

Van joined the Newcastle Business School as a Finance Lecturer in early 2012, after completing her PhD in Finance at the University of Adelaide. Prior to this appointment, she had been involved in teaching both UG and PG courses at the University of Adelaide. Her main subjects of teaching interest included Corporate Finance, International Finance and Derivatives and Risk Management.

Research Expertise
Her current research interests include asset pricing, market microstructure, financial modelling and forecasting. In particular, she is very keen on research in option pricing and financial market volatility. Given her past training and research experience, she has strong skills in quantitative modelling and programming in Matlab, SAS and Eviews.

Teaching Expertise
Corporate Finance; Derivatives and Risk Management; International Finance

Collaborations
Some ongoing collaborative research projects, to be named, would include “The allocation of informed traders in the option market: An analysis of the 2008 short-sale ban” (Working Paper), a joint work with Prof Ralf Zurbrugg (Uni of Adelaide) “Forecasting the smile dynamics” (Working Paper), a joint work with Prof Ralf Zurbrugg (Uni of Adelaide) “Effectiveness of electricity futures hedging using temperature forecasts” (Working Paper), a joint work with Prof Ralf Zurbrugg (Uni of Adelaide) and Associate Professor Richard Gerlach (Uni of Sydney)


Qualifications

  • Doctor of Philosophy, University of Adelaide
  • Bachelor of Finance (Honours), University of Adelaide
  • Bachelor of Finance, University of Adelaide

Keywords

  • Corporate Finance
  • Derivatives and Risk Management
  • Financial modelling
  • International Finance
  • Market microstructure
  • Option pricing
  • Volatility forecasting

Languages

  • Vietnamese (Fluent)

Fields of Research

Code Description Percentage
150299 Banking, Finance and Investment not elsewhere classified 100

Professional Experience

UON Appointment

Title Organisation / Department
Lecturer University of Newcastle
Newcastle Business School
Australia

Awards

Recipient

Year Award
2005 Adelaide International Achiever Scholarship
The University of Adelaide

Recognition

Year Award
2012 Dean's Commendation for Doctoral Thesis Excellence
The University of Adelaide
2009 Adelaide Graduate Scholarship
Unknown
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Publications

For publications that are currently unpublished or in-press, details are shown in italics.


Journal article (3 outputs)

Year Citation Altmetrics Link
2016 Le V, Zurbruegg R, 'The impact of short sale restrictions on informed trading in the stock and options markets', International Review of Economics and Finance, 41 262-273 (2016)

© 2015 Elsevier Inc.This paper examines the impact of short sale restrictions (SSR) on the price discovery process of stocks and their corresponding options. We utilize a new mea... [more]

© 2015 Elsevier Inc.This paper examines the impact of short sale restrictions (SSR) on the price discovery process of stocks and their corresponding options. We utilize a new measure to examine the impact these restrictions have on information efficiency between the two instruments. Based on one year of intraday data surrounding the US emergency order of 2008, we find evidence of traders switching from SSR restricted products to a matched group of stocks and options. At the same time there is a decline in the role options provided to price discovery in the SSR affected stocks, along with a significant rise in the importance of options for the matched sample as informed traders move to trading in markets that are unaffected by the restrictions. From a policy perspective our results indicate that a greater consideration needs to be made for the impact SSR has on trade informativeness and the price discovery process, as well as how it affects the inter-related markets through the trader-switching effect.

DOI 10.1016/j.iref.2015.08.007
Citations Scopus - 1
2014 Le V, Zurbruegg R, 'Forecasting option smile dynamics', International Review of Financial Analysis, 35 32-45 (2014) [C1]

© 2014 Elsevier Inc.All rights reserved.Practitioners have long tried to exploit the predictability of the option implied volatility smile. Motivated by the recent developments i... [more]

© 2014 Elsevier Inc.All rights reserved.Practitioners have long tried to exploit the predictability of the option implied volatility smile. Motivated by the recent developments in the literature focusing on market-based option pricing arguments, this paper proposes the introduction of trading volume into a vector autoregressive (VAR) model to improve forecasts of the smile dynamics. The augmented VAR-volume model produces quality forecasts of the smile surface and explains its dynamic changes over time relatively well. Our results suggest that the incorporation of trading volume leads to it outperforming other alternative forecast approaches, as well as being robust to a variety of perturbations of the data and offers scope for investors to more accurately predict option implied volatility in the future.

DOI 10.1016/j.irfa.2014.07.006
2010 Le V, Zurbrugg R, 'The role of trading volume in volatility forecasting', Journal of International Financial Markets Institutions and Money, 20 533-555 (2010) [C1]
Citations Scopus - 4

Conference (2 outputs)

Year Citation Altmetrics Link
2012 Le V, Zurbrugg R, 'Forecasting the smile dynamics', The 32th International Symposium on Forecasting Conference Proceedings (2012) [E1]
2009 Le V, Zurbrugg R, 'The role of trading volume in volatility forecasting', The 29th International Symposium on Forecasting Conference Proceedings (2009) [E3]
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Grants and Funding

Summary

Number of grants 1
Total funding $5,000

Click on a grant title below to expand the full details for that specific grant.


20131 grants / $5,000

Examining the spilover of liquidity between the stock and option markets$5,000

Funding body: University of Newcastle

Funding body University of Newcastle
Project Team Doctor Van Le
Scheme New Staff Grant
Role Lead
Funding Start 2013
Funding Finish 2013
GNo G1300593
Type Of Funding Internal
Category INTE
UON Y
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Dr Van Le

Position

Lecturer
Newcastle Business School
Faculty of Business and Law

Contact Details

Email van.le@newcastle.edu.au
Phone (02) 4921 8798

Office

Room SR-219
Building Social Sciences Building
Location Callaghan
University Drive
Callaghan, NSW 2308
Australia
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