Nengjiu Ju
Associate Professor of Finance
Department of Finance
School of Business and Management
Hong Kong University of Science & Technology
Hong Kong, SAR, China
E-Mails: nengjiu@ust.hk, and njju@saif.sjtu.edu.cn
(2011-2013, visiting Shanghai Advanced Institute of Finance)
Tel: (country code 86) (area code 21) 6293 - 3081
Background
Ju's research interests include derivatives pricing, dynamic capital structures, financial econometrics, decision-making under ambiguity preferences, continuous-time agency models. You may access his curriculum vitae here [CV].
Education
- Ph.D. (Finance)
University of California-Berkeley, 1998
- Ph.D. (Physics),
Michigan State University, 1993
- B.S. (Physics), Beijing
University, China, 1986
Academic
and Professional Experience
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.
PUBLICATIONS
1. Ambiguity, Learning, and Asset Returns, Econometrica,
80, 559-591, 2012, (with Jianjun Miao). [Paper], [Technical
appendix],
2.
Optimal Compensation and
Pay-Performance Sensitivity in a Continuous-Time Principal-Agent Model, Management Science, 58, 641-657,
3. 2012, (with Xuhu Wan). [Paper]
4. Fourier Transformation and the Pricing of Average-Rate Derivatives, Review of Derivatives Research 9, 187-212, 2006, (with Rui Zhong).
4. 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]
5. Capital Structure, Debt Maturity, and Stochastic Interest Rates, Journal of Business 79, 2469-2502, 2006, (with Hui Ou-Yang). [paper]
6. 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]
7. 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]
8. 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] , [Appendix A], [Appendix B], [Appendix C] [Derivation of
G(T), H(T), and I(T) in Appendix A]
9. Pricing Asian and Basket Options Via Taylor Expansion, Journal of Computational Finance, 5, 79-103, 2002. [paper]
10. EBIT-based Dynamic Capital Structure, Journal of Business, 74, 483-512, 2001, (with Robert Goldstein, and Hayne Leland). [paper]. Matlab codes for the two Tables: [CodeForTable1] [CodeForTable2].
11. An Approximate Formula for Pricing American Options, Journal of Derivatives, 7, 31-40, 1999, (With Rui Zhong). [paper]
12. 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]
RECENT
WORKING PAPERS
1. Dynamic Asset Allocation with Ambiguous Return Predictability, (with Hui Chen, and Jianjun Miao), presented at the 2010 AFA meetings in Atlanta and the 2009 China International Conference in Finance (CICF) in Guangzhou (it won the TCW best paper award of CICF 2009). [paper]
2. Delegated Portfolio Management under Adverse Selection in a Continuous-Time Model, (with Xuhu Wan). Revise and resubmit at
Review of Financial Studies. [paper]
3. Options, Option Repricing in Managerial Compensation: Their Effects on Corporate Investment Risk, (with Hayne Leland and Lemma
Senbet). [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 Econometrics, Journal of Financial Econometrics, Financial Research Letters, Optimal Control Applications and Methods, Journal of Banking and Finance, Journal of Futures Market, and some others.