Jeff Fleming

Interim Dean
Fayez Sarofim Vanguard Professor of Finance

Dean's Suite, Faculty, Leadership
McNair Hall 202D
713 348-5928 jfleming@rice.edu
Dean, Jeff Fleming smiling and wearing a suit.
View CV
Finance

Jeff Fleming is the Interim Dean of the Jones Graduate School of Business and the Virani Undergraduate School of Business. Jeff has been a finance professor at Rice since 1993. He has many years of prior experience in the dean’s office, serving in various roles such as Associate Dean of Degree Programs, Senior Associate Dean of Academic Affairs and seven years as Deputy Dean. More recently, he served as Director of the Jones School’s Ph.D. program. Jeff has taught courses on futures and options, managerial economics and corporate finance, and is a two-time winner of the Jones Graduate School Excellence in Teaching Award. His research expertise is in option pricing, volatility modeling and the role of information flow in financial markets. He has published articles in the Journal of Finance, the Journal of Financial Economics, the Journal of Econometrics and the Journal of Financial Econometrics, among others. Two of his papers were finalists for the Smith-Breeden Prize awarded annually for the best paper published in 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., & 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. (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., 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., 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
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
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. (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. (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
Fleming, J., & Whaley, R. (1994). The Value of Wildcard Options. The Journal of Finance, 49(1), 215-236. doi:10.2307/2329141

Rice Business Wisdom

Bad weather over city
Commodities | Finance

What Weather Can Teach Us About Market Volatility

In weather-sensitive commodity markets, prices fluctuate even when trading is closed. That gives researchers new evidence that information flow plays a major role in volatility.