Jeff Fleming

Fayez Sarofim Vanguard Professorship of Finance
Director of PhD Program

Departments

Faculty

Office

McNair Hall 343

Contact 713-348-6140 jfleming@rice.edu

Jeff Fleming, Fayez Sarofim Vanguard Professor of Finance, served as Deputy Dean of Academic Affairs of the Jesse H. Jones Graduate School of Business from 2015 to 2022. He joined the Jones School faculty in 1993. He teaches courses on Futures and Options in the MBA program and microeconomics in the MBA program for executives. He received the Jones Graduate School Excellence in Teaching Award in 2000 and 2003. His research interests include option pricing, implied volatility, volatility modeling and the role of information flow in financial markets. He has published research articles in the Journal of Finance, the Journal of Financial Economics, the Journal of Econometrics, the Journal of Financial Econometrics and the Journal of Empirical Finance, among others. Two of his papers were finalists for the Smith-Breeden Prize awarded annually by the Journal of Finance.

Teaching Interests:

Futures and options
Economics

Research Interests:

Derivative securities
Volatility modeling

Intellectual Contributions

Journal Article

Fleming, J., & Kirby, C. (2013). Component-driven regime-switching volatility. Journal of Financial Econometrics, 11(2), 263-301. doi:10.1093/jjfinec/nbs023

Journal Article

Fleming, J., Kirby, C., & Ostdiek, B. (2001), The Economic Value of Volatility Timing.The Journal of Finance, 56(1), 329–352. doi:10.1111/0022-1082.00327

Journal Article

Fleming, J., & Paye, B. S. (2011). High-frequency returns, jumps and the mixture of normals hypothesis. Journal of Econometrics, 160(1), 119-128. doi:10.1016/j.jeconom.2010.03.024

Journal Article

Fleming, J., Kirby, C., & Ostdiek, B. (1998). Information and volatility linkages in the stock, bond, and money markets. Journal of Financial Economics, 49(1), 111-137. doi:10.1016/S0304-405X(98)00019-1

Journal Article

Fleming, J., Kirby, C., & Ostdiek, B. (2006). Information, trading, and volatility: Evidence from weather-sensitive markets. Journal of Finance, 61(6), 2899-2930. doi:10.1111/j.1540-6261.2006.01007.x

Journal Article

Fleming, J. (1998). The quality of market volatility forecasts implied by S&P100 index option prices. Journal of Empirical Finance, 5(4), 317-345. doi:10.1016/S0927-5398(98)00002-4.

Journal Article

Dumas, B., Fleming, J. and Whaley, R. E. (1998). Implied Volatility Functions: Empirical Tests. The Journal of Finance, 53(6), 2059–2106. doi:10.1111/0022-1082.00083

Journal Article

Fleming, J., Kirby, C., & Ostdiek, B. (2006). Stochastic volatility, trading volume, and the daily flow of information. Journal of Business, 79(3), 1551-1590. doi:10.1086/500685

Journal Article

Fleming, J., & Whaley, R. (1994). The Value of Wildcard Options. The Journal of Finance, 49(1), 215-236. doi:10.2307/2329141

Journal Article

Fleming, J., Kirby, C., & Ostdiek, B. (2003). The economic value of volatility timing using "realized" volatility. Journal of Financial Economics, 67(3), 473-509. doi:10.1016/S0304-405X(02)00259-3