Julie Ngo, Ph.D.
Assistant Professor of Finance, College of Business Administration Loyola Marymount University
- Los Angeles CA
Biography
Julie (Thuy Dung) Ngo joined LMU Department of Finance in fall 2023. Her broad research interests include investments and corporate finance. Currently, she is doing research focusing on the US mutual fund industry, derivatives, and Fintech. Before joining LMU, she taught Investments and Financial Markets & Institutions at Auburn University. She is also a Chartered Financial Analyst (CFA Charter holder).
Education
Auburn University
Ph.D.
Finance
2023
Illinois State University
M.S.
Mathematics
2018
Illinois State University
M.S.
Economics
2017
National Economics University (Vietnam)
B.S.
Business Administration
2013
Social
Areas of Expertise
Accomplishments
CFA Chartholder
Chartered Financial Analyst® designation (CFA® charter) by passing all three of the CFA exams and gaining relevant industry experience, demonstrating their mastery of the investment analysis and decision-making skills most needed in the global investment management profession.
Articles
Bitcoin: jumps, convenience yields, and option prices
Quantitative Finance2022-09-06
We investigate Bitcoin pricing characteristics and find evidence of jumps and positive convenience yield. We develop a theoretical jump diffusion model for options on spots and use simulations to evaluate non-linear parameter estimates. Data from the Deribit exchange is used to compare the performance of the jump diffusion models with Practitioner Black–Scholes models. Using Diebold–Marino statistics and standard error metrics, we find that the jump diffusion models significantly outperform Practitioner Black–Scholes models. We conclude that Bitcoin behaves more like a commodity than a currency.
