Department of Finance
School of Business and Management
Hong Kong University of Science and Technology
Clear Water Bay, Hong Kong
Phone: (852) 2358-8318
Fax: (852) (852) 2358 1749
E-Mail: nengjiu@ust.hk
Background
Ju's research interests include derivative pricing, diffusion transition density approximation, dynamic capital structure, asset pricing and asset allocation under ambiguity. You may access his curriculum vitae here [CV].
1998--2005: Assistant Professor of Finance, Smith School of Business, University of Maryland,
College Park.
2005--Present: Associate Professor of Finance, School of Business and Management,
Hong Kong University of Science and Technology, Clear Water Bay, Hong Kong.
1. Fourier Transformation and the Pricing of Average-Rate Derivatives, Review of Derivatives Research 9, 187-212, 2006, (with Rui Zhong). [paper]
2. Estimation of Continuous-Time Models with an Application
to Equity Volatility Dynamics,
Journal
of Financial Economics 82, 227-249, 2006,
(with Gurdip Bakshi, and Hui Ou-Yang). [paper]
3. Capital Structure, Debt Maturity, and Stochastic
Interest Rates, Journal of Business
79, 2469-2502, 2006, (with Hui
Ou-Yang). [paper]
4. Correlated Default Risks and Bank Regulations,
Journal
of Money, Credit and Banking 38, 375-398,
2006, (with Andrew
Chen, Sumon Mazumdar, and Avinash Verma). [paper]
5. A Refinement to AitSahalia's (2003) `` Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach", Journal of Business 78, 2037-2052, 2005, (with Gurdip Bakshi). [paper]
6. Horses and Rabbits? Trade-Off Theory and Optimal Capital Structure, Journal of Financial and Quantitative Analysis, 40, 259-281, 2005, (with Robert Parrino, Allen Poteshman, and Michael Weisback). [paper] (this is the final version, no published version .pdf available yet), [Appendix A], [Appendix B], [Appendix C]
7. Pricing Asian and Basket Options Via Taylor
Expansion, Journal of Computational Finance,
5, 79-103,
8. EBIT-based Dynamic Capital Structure, Journal of Business, 74, 483-512, 2001, (with Robert Goldstein, and Hayne Leland). [paper]
9. An Approximate Formula for Pricing American Options, Journal of Derivatives, 7, 31-40, 1999,(With Rui Zhong). [paper]
10. Pricing an American Option by Approximating Its Early Exercise Boundary As a Multi-Piece Exponential Function, Review of Financial Studies, 11, 627-646, 1998. [paper]
1. Optimal Compensation and Pay-Performance Sensitivity in a Continuous-Time Principal-Agent Model, (with Xuhu Wan), 2nd round at Journal of Financial Economics. [paper]
2. Ambiguity, Learning, and Asset Returns, (with Jianjun Miao), 2nd round at Econometrica. [paper]
3. Dynamic Asset Allocation with Ambiguous Return Predictability, (with Hui Chen, and Jianjun Miao), to be presented at 2010 AFA meetings in Atlanta. [paper]
Ad Hoc Referee
Journal Referee: Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis, Econometrica, Management Science, Mathematical Finance, Journal of Economic Control and Dynamics, Financial Management, Journal of Computational Finance, Review of Derivatives Research, Journal of risk, International Journal of Theoretical and Applied Finance, Journal of Accounting and Public Policy, Journal of Financial Services Research, Journal of Financial Econometrics, Financial Research Letters, Optimal Control Applications and Methods, Journal of Banking and Finance, Journal of Futures Market.