TIE SU, Ph.D.
ADDRESS
Department of Finance, University of Miami
P.O. Box 248094, Coral Gables, FL 33124-6552, USA Phone: (305) 284-1885
Fax: (305) 284-4800 Email: tie@miami.edu
Webpage: moya.bus.miami.edu/~tsu ACADEMIC EXPERIENCE
Associate Professor, Department of Finance, University of Miami, 2002-present Visiting Professor, Shanghai National Accounting Institute, summer, 2006-2007
Visiting Professor, Guanghua School of Management, Beijing University, summer, 2000 Assistant Professor, Department of Finance, University of Miami, 1996-2002
Instructor, Department of Finance, University of Missouri, 1996 EDUCATION
Ph.D. in finance, University of Missouri-Columbia, 1991-1995 Major: finance; Minor: econometrics and microeconomics M.A. in statistics, University of Missouri-Columbia, 1989-1991 Major: statistics
B.S. in statistics, Beijing University, 1985-1989 Major: statistics
RESEARCH INTERESTS
Option pricing, derivative securities, investments, and market microstructure CITIZENSHIP
2 REFEREED PUBLICATIONS:
1. “A Closer Look at Option Theta” (with Doug Emery and Weiyu Guo), Journal of
Economics and Finance, forthcoming, 2008.
2. “Option Put-Call Parity Relations When the Underlying Security Pays Dividends” (with Weiyu Guo), International Journal of Business and Economics, 2006, vol.5, no.3, 225-230.
3. “Weak and Semi-Strong Form Stock Return Predictability Revisited,” (with Wayne Ferson and Andrea Heuson), Management Science, 2005, Vol. 51, No. 10, 1582-1592. 4. “Completely Predictable and Fully Anticipated? Step Ups in Warrant Exercise Prices,”
(with Luis Garcia-Feijoo and John Howe), Applied Economics Letters, 2005, v12(9), 561-565.
5. “Factors in Implied Volatility Skew in Corn Futures Options.” (with Weiyu Guo), Papers
of the Nebraska Business and Economic Association, Vol. 16, No. 1, Fall 2004, 1-15.
6. “A Note on the Derivation of Black-Scholes Hedge Ratios,” Journal of Futures Markets, 2003, Vol. 23, No. 11, 1119-1122.
7. “How the Equity Market Responds to Unanticipated Events,” (with R Brooks and A. Patel), Journal of Business, 2003, Vol. 76 No. 1, 109-133.
8. “The Response of Sector Index Option Prices to Macroeconomic Announcements,” (with A. Heuson), Financial Review, 2003, Vol. 38, 161-177.
9. “Predicting Volatility in the Commodity Futures Option Market: Evidence from the corn market during 1991-2000.” (with S. Ferris and W. Guo), International Journal of
Finance and Banking, 2003, vol. 1, No. 1, 73-94.
10. “Discretionary Reductions in Warrant Exercise Prices,” (with J. Howe), Journal of
Financial Economics, August 2001, Vol. 61, 227-252.
11. “Large Price Movements and Short-Lived Market Microstructure Changes,” (with R. Brooks, and J. Park), Quarterly Review of Economics and Finance, 1999, Vol. 39, 303-316.
12. “Implied Volatility Skews and Stock Index Skewness and Kurtosis Implied by S&P 500 Index Option Prices,” (with C. Corrado) Reprinted in RISK Books, Volatility: New Estimation Techniques for Pricing Derivatives, Edited by R. Jarrow, June 1998, 381-390. 13. “An Empirical Test of the Hull-White Option Pricing Model,” (with C. Corrado), Journal
of Futures Markets, June 1998, Vol. 18 No. 4, 363-378.
14. “A Simple Cost Reduction Strategy for Liquidity Traders: Trade at the Opening,” (with R. Brooks) Journal of Financial and Quantitative Analysis, December 1997, Vol. 32 No. 4, 525-540.
15. “A Contingent Claims Approach to the Inventory Stocking Decision,” (with J. Stowe)
Financial Management, Winter 1997, Vol. 26 No. 4, 42-55.
16. “CEO Presentations to Financial Analysts: Much Ado About Nothing?” (with R. Brooks and M. Johnson) Financial Practice and Education, Fall 1997, Vol. 7 No. 2, 19-28.
17. “Implied Volatility Skews and Skewness and Kurtosis In Stock Option Prices,” (with C. Corrado) European Journal of Finance, 1997, Vol. 3 No. 1, 73-85.
18. “Implied Volatility Skews and Stock Index Skewness and Kurtosis Implied by S&P 500 Index Option Prices,” (with C. Corrado) Journal of Derivatives, Summer 1997, Vol. 4 No. 4, 8-19.
19. “S&P 500 Index Option Tests of Jarrow and Rudd’s Approximate Option Valuation Formula,” (with C. Corrado) Journal of Futures Markets, September 1996, Vol. 16 No. 6, 611-629.
20. “Skewness and Kurtosis in S&P 500 Index Returns Implied by Option Prices,” (with C. Corrado) Journal of Financial Research, Summer 1996, Vol. XIX No. 2, 175-192. WORK IN PROGRESS:
1. “Components in Option Time Value,” under review.
2. “Mortgage Delivery Options: An Innovation to Improve the Risk/Return Tradeoff in Residential Mortgage Lending” (with A. Heuson), work in progress
3. “The Value of Mortgage Prepayment and Default Options” (with Y. Chen, M. Connolly, and W. Tang), work in progress
4 AWARDS AND HONORS:
• James W. McLamore Summer Awards in Business and the Social Sciences, University of Miami, 1997, 1999, 2001
• Nominated for the Excellence in Teaching Award, University of Miami, 1998, 1999, 2004, 2005, 2006.
• Nominated for the “Professor of the Year”, School of Business, University of Miami, 2002, 2003.
• General Research Support Award, University of Miami, 1998
• SBA Summer Research Grants, School of Business, University of Miami, 1996-2002 • Chicago Board of Trade (CBOT) Futures and Options Paper Award, “The Hull and
White Option Pricing Model and the Stochastic Process for the Market Portfolio,” with C. Corrado. Midwest Finance Association meetings, Chicago, IL, 1996
• American Association of Individual Investors (AAII) Accepted Dissertation Proposal Grant, “Implied Stochastic Factors in Options Prices,” 1995
• American Association of Individual Investors (AAII) Investments Paper Award, “A Simple Cost Reduction Strategy for Liquidity Traders: Trade at the Opening,” with R. Brooks. Midwest Finance Association meetings, Cincinnati, OH, 1995
• Excellence in Teaching Award, Department of Finance, University of Missouri, 1995 • Graduate Achievement Award, University of Missouri, 1995
• American Association of Individual Investors (AAII) Investments Paper Award, “Skewness and Kurtosis in S&P 500 Index Return Implied by Option Prices,” with C. Corrado. Southern Finance Association meetings, Charleston, NC, 1994
• Financial Research Institute Grant, Financial Research Institute, University of Missouri, 1993
CONFERENCE PRESENTATIONS:
• “Mortgage Delivery Options: An Innovation to Improve the Risk/Return Tradeoff in Residential Mortgage Lending”
International Symposium on Financial Engineering and Risk Management, Beijing University, Beijing, China, June 2007
The Eastern Finance Association Conference, New Orleans, LA, April 2007. AREUEA Conference, Chicago, IL, January 2007.
• “How Much Do Expected Stock Returns Move over Time? Answers from the Options Markets.”
Sichuan University Finance Conference, Chengdu, China, July 2005 American Finance Association meetings in Boston, MA, January 2000. Western Finance Association meetings in Santa Monica, CA, June 1999. Utah Winter Finance Conference in Salt Lake City, UT, February 1999.
• “Predicting Volatility in the Commodity Futures Option Market: Evidence from the corn market during 1991-2000.”
The Midwest Financial Association meetings in St. Louis, MO, March 2003 • “Discretionary Reductions in Warrant Exercise Prices.”
The Financial Management Association meetings in Seattle, WA, October 2000. • “The Response of Sector Index Option Prices to Macroeconomic Announcements.”
The Eastern Finance Association meetings in Williamsburg, VA, April 1998. The Financial Management Association meetings in Orlando, FL, October, 1999 • “Implied Volatility Skews and Stock Index Return Distributions”.
The RISK Conference in Miami, FL, October 1997.
The Chicago Broad of Trade Research Seminar in Chicago, IL, May 1997.
• “Implied Volatility Skews and Stock Index Skewness and Kurtosis Implied by S&P 500 Index Option Prices”.
Midwest Finance Association meetings in Kansas City, MO, March 1997.
• “The Hull-White Option Pricing Model and the Stochastic Process for Market Portfolio”. Southern Finance Association meetings in Baltimore, MD, November 1997.
Financial Management Association meetings in New Orleans, LA, October 1996. • “A Contingent Claims Approach to the Inventory Stocking Decision”.
Financial Management Association meetings in New Orleans, LA, October 1996. • “Large Price Movements and Short-Lived Market Microstructure Changes”.
Financial Management Association meetings in New York, NY, October 1995. • “Skewness and Kurtosis in S&P 500 Index Returns Implied by Option Prices”. Financial Management Association meetings in New York, NY, October 1995. • “Implied Stochastic Factors in Option Prices”.
Financial Management Association meetings in St. Louis, MO, October 1994. • “A Simple Cost Reduction Strategy for Liquidity Traders: Trade at the Opening”.
6 COURSES TAUGHT
• Financial Options and Futures (MBA/EMBA level)
• Speculative Markets and Derivative Securities (Undergraduate level) • Fundamentals of Corporate Finance (MBA/EMBA level)
• International Financial Management (MBA level) • Multinational Business Finance (Undergraduate level) • Financial Management (Undergraduate level)
• Personal Finance (Undergraduate level) THESIS AND DISSERTATION ADVISING
• Johan Jardelid, MBA thesis, 1997
• Ngassam Ngnoumen, BA honors thesis, 1998 • Anjun Besio, Ph.D. in economics, dissertation, 2002 • Yue Xu, Ph.D. in economics, dissertation, 2005 PROFESSIONAL SERVICES:
• Referee papers for Review of Financial Studies, Journal of Finance, Journal of Financial and Quantitative Analysis, Journal of Futures Markets, Journal of Financial Research , Financial Management, Management Science, Journal of Financial Engineering, Financial Review, Financial Practice and Education, Review of Financial Economics, Multinational Finance Journal, International Review of Economics and Finance, Journal of Policy Reform, European Journal of Finance, Journal of Economics and Business, and IMA Journal of Management Mathematics.
• CFA review courses instructor for the Miami Society of Financial Analysts, since 1996 • Instructor in the Ryder Finance Academy
• 2007 FMA Program Committee. • 2005 FMA Program Committee. • 2001 EFA Derivative Track Chair. • 2000 SFA Program Committee. PROFESSIONAL MEMBERSHIPS
Financial Management Association American Finance Association American Mensa Ltd.
