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 stock valuation, option valuation, term structure of interest rates, asset pricing, density approximations, capital structures. You may access his curriculum vitae [WORD]
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. Estimation of Continuous-Time Models with an Application
to Equity Volatility Dynamics, Journal of Financial Economics
(forthcoming). (with Gurdip Bakshi, and Hui
Ou-Yang) 2005. [paper]
2. Capital Structure, Debt Maturity, and Stochastic
Interest Rates, Journal of Business (forthcoming). (with Hui
Ou-Yang) 2005. [paper]
3. Correlated Default Risks and Bank Regulations,
Journal of Money, Credit and Banking (forthcoming). (with Andrew
Chen, Sumon Mazumdar, and Avinash Verma) 2004. [paper]
4. 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]
5. 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]
6. Pricing Asian and Basket Options Via Taylor
Expansion, Journal of Computational Finance,
5, 79-103,
7. EBIT-based Dynamic Capital Structure, Journal of Business, 74, 483-512, 2001. (with Robert Goldstein, and Hayne Leland) [paper]
8. An Approximate Formula for Pricing American Options, Journal of Derivatives, 7, 31-40, 1999. (With Rui Zhong) [paper]
9. 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. An Agency Explanation of the Closed-End Funds Puzzles (with Navneet Arora, and Hui Ou-Yang), 2003.
2. Options, Option Repricing and Severance Packages in Managerial Compensation: Their Effects on Corporate Risk (Hayne Leland and Lemma Senbet), 2002.
3. Estimation of Continuous-Time Models with an Application to Equity Volatility Dynamics (with Gurdip Bakshi and Hui Ou-Yang), 2004.
4. Gurdip Bakshi, and Nengjiu Ju, “Is the Present-Value Relation Destined for Empirical Failures?” 2004.
5. A Model of Asset Pricing under Portfolio Delegation and Differential Information (with Navneet Arora, and Hui Ou-Yang), 2004.
6. Asset Substitution and Underinvestment: A Dynamic View (with Hui Ou-Yang), 2005.
RESEARCH INTEREST
Ad Hoc Referee
Journal Referee: Journal of Finance, Review of Financial Studies, Journal of Financial and Quantitative Analysis, 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.