Jeff Fleming

Deputy Dean of Academic Affairs and Fayez Sarofim Vanguard Professorship of Finance

Jeff Fleming is Fayez Sarofim Vanguard Professor of Finance and Deputy Dean of Academic Affairs at the Jones Graduate School of Business at Rice University. 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.

To read more about Prof. Fleming's work, please visit Rice Business Wisdom.

 

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‚Äď352. 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‚Äď2106. 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