Welcome to Tie Su 's Homepage

Tie Su
Associate Professor of Finance
University of Miami
P.O. Box 248094
Coral Gables, Florida 33124-6552, USA

Office Phone: (305) 284-1885
Department Phone: (305) 284-4362
Fax: (305) 284-4800
E-mail: tie@miami.edu
Web: http://moya.bus.miami.edu/~tsu/

Academic Experience | Education | Honors and Awards | Research | Teaching

ACADEMIC EXPERIENCE

Associate Professor of Finance

Department of Finance, School of Business, University of Miami, Coral Gables, Florida

June 2002 - present

Instructor, Levels 1 and 2, Becker CFA Professional Review

CFA-Miami and Stalla, 1996 - present

Visiting Professor of Finance

Shanghai National Accounting Institute, Shanghai, China, Summer 2006-2009.

Guanghua School of Management, Beijing University, Beijing, China, Summer 2000.

Assistant Professor of Finance

Department of Finance, School of Business, University of Miami, Coral Gables, Florida

May 1996 - May 2002

Instructor

Department of Finance, College of Business, University of Missouri, Columbia, Missouri

January 1996 - May 1996

EDUCATION

Ph.D. in finance, 1995

Department of Finance, University of Missouri, Columbia, Missouri

Major: Finance

Minor: Econometrics and Microeconomics

M.A. in statistics, 1991

Department of Statistics, University of Missouri, Columbia, Missouri

Major: Statistics

B.S. in statistics, 1989

Department of Statistics, Beijing (Peking) University, Beijing, China

Major: Statistics

HONORS AND AWARDS

Nominated for the Excellence in Teaching Award, 1998, 1999, 2004-2007.

University of Miami.

Nominated for the "Professor of the Year", 2002, 2003.

School of Business, University of Miami.

James W. McLamore Summer Awards in Business and the Social Sciences

Research Council, University of Miami, 1997, 1999, and 2001.

SBA Summer Research Grants

School of Business, University of Miami, 1996-2002.

General Research Support Award

Research Council, University of Miami, 1998.

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

REFEREED PUBLICATIONS

22. "The Value of Mortgage Prepayment and Default Options."

with Y. Chen, M. Connolly, and W. Tang

Journal of Futures Markets, 2009, Vol. 29, No. 9, 840-861. (download)

21. "Investment Aspects of United States Social Security System and Reform Proposals."

with M. Theisen and W. Guo

Special edition of China's Pension, Healthcare and Social Welfare System, Peking University. forthcoming 2009.

20. "A Closer Look at Option Theta."

with D. Emery and W. Guo

Journal of Economics and Finance, 2008, Vol. 1, 59-74. (download)

19. "Option Put-Call Parity Relations When the Underlying Security Pays Dividends."

with W. Guo

International Journal of Business and Economics, 2006, Vol. 5, No. 3, 225-230. (download)

18. "Weak and Semi-Strong Form Stock Return Predictability Revisited."

with W. Ferson and A. Heuson

Management Science, 2005, Vol. 51, No. 10, 1582-1592. (download)

17. "Completely Predictable and Fully Anticipated? Step Ups in Warrant Exercise Prices."

with L. Garcia-Feijoo and J. Howe

Applied Economics Letters, 2005, v12(9), 561-565. (download)

16. "Factors in Implied Volatility Skew in Corn Futures Options."

with W. Guo

Papers of the Nebraska Business and Economic Association, Vol. 16, No. 1, Fall 2004, 1-15. (download)

15. "A Note on the Derivation of Black-Scholes Hedge Ratios."

Journal of Futures Markets, 2003, Vol. 23, No. 11, 1119-1122. (download)

14. "How the Equity Market Responds to Unanticipated Events."

with R. Brooks and A. Patel

Journal of Business, 2003, Vol. 76 No. 1, 109-133. (download)

13. "The Response of Sector Index Option Prices on Treasury Securities to Macroeconomic Announcements."

with A. Heuson

Financial Review, 2003, Vol. 38, 161-177. (download)

12. "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. (download)

11. "Discretionary Reductions in Warrant Exercise Prices."

with J. Howe

Journal of Financial Economics, 2001, Vol. 61, 227-252. (download)

10. "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. (download)

09. "Implied Volatility Skews and Stock Index Skewness and Kurtosis in S&P 500 Index Option Prices."

with C. Corrado

RISK Books, Volatility: New Estimation Techniques for Pricing Derivatives, June 1998, 381-390. (download)

08. "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. (download)

07. "A Simple Cost Reduction Strategy for Small Liquidity Traders: Trade at the Opening."

with R. Brooks

Journal of Financial and Quantitative Analysis, December 1997, Vol. 32 No. 4, 525-540. (download)

06. "A Contingent Claims Approach to the Inventory Stocking Decision."

with J. Stowe

Financial Management, Winter 1997, Vol. 26 No. 4, 42-55. (download)

05. "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. (download)

04. "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. (download)

03. "Implied Volatility Skews and Stock Index Skewness and Kurtosis in S&P 500 Index Option Prices."

with C. Corrado

Journal of Derivatives, Summer 1997, Vol. 4 No. 4, 8-19. (download)

02. "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. (download)

01. "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. (download)

PAPERS UNDER REVIEW AND IN PROCESS

"Mortgage Delivery Options." (download)

with A. Heuson

"One Day Selling Lock-Up: An Analysis of Illiquidity Discount in Chinese Equity Market."

with J. Bian and J. Wang

"CFA Certification Programs and Sell-Side Analysts."

(download)

with X. Li

"Model-Free Boundaries of Option Time Value and Early Exercise Premium."

(download)

with J. Zhang

PROFESSIONAL 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, China, June 2007.

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 at Boston, MA, January 2000.

Western Finance Association meetings at Santa Monica, CA, June 1999.

Utah Winter Finance Conference at Salt Lake City, UT, February 1999.

"Predicting Volatility in the Commodity Futures Option Market: Evidence from the corn market during 1991-2000."

Midwest Financial Association meetings in St. Louis, MO, March 2003.

"Discretionary Reductions in Warrant Exercise Prices."

Financial Management Association meetings at Seattle, WA, October 2000.

"The Market's Response to Unanticipated Events."

Financial Management Association meetings at Orlando, FL, October 1999.

"The Response of Sector Index Option Prices on Treasury Securities to Macroeconomic Announcements."

Financial Management Association meetings at Orlando, FL, October 1999.

"Implied Volatility Skews and Stock Index Return Distributions."

Midwest Finance Association meetings at Kansas City, MO, March 1997.

Chicago Broad of Trade Spring Research Seminar, Chicago, IL, May 1997.

RISK Conference, Miami, FL, October 1997.

"The Hull and White Option Pricing Model and the Stochastic Process for the Market Portfolio."

Financial Management Association meetings at New Orleans, LA, October 1996.

Southern Finance Association meetings at Baltimore, MD, November 1997.

"A Contingent Claims Approach to the Inventory Stocking Decision."

Financial Management Association meetings at New Orleans, LA, October 1996.

"Large Price Movements and Short-Lived Market Microstructure Changes."

Financial Management Association meetings at New York, NY, October 1995.

"Skewness and Kurtosis in S&P 500 Index Returns Implied by Option Prices."

Financial Management Association meetings at New York, NY, October 1995.

"Implied Stochastic Factors in Option Prices."

Financial Management Association meetings at St. Louis, MO, October 1994.

"A Simple Cost Reduction Strategy for Liquidity Traders: Trade at the Opening."

Financial Management Association meetings at St. Louis, MO, October 1994.

AD-HOC REFEREE

Review of Financial Studies

Journal of Finance

Journal of Financial and Quantitative Analysis

Financial Management

Management Science

Journal of Financial Research

Journal of Futures Markets

Journal of Financial Engineering

Financial Review

Financial Practice and Education