JU, Nengjiu
Professor of Finance, Ph.D. Program Academic Director
  • Nengjiu Ju is a Professor of Finance and Ph.D. Program Academic Director at Shanghai Advanced Institute of Finance (SAIF). Before joining SAIF, Professor Ju was Associate Professor of Finance in Hong Kong University of Science and Technology (HKUST, 2005 – 2013). He was Aassistant Professor of Finance in University of Maryland at College Park (1998 – 2005).
    Professor Ju focuses his research on derivatives pricing, dynamic capital structures, financial econometrics, decision-making under ambiguity preferences, and continuous-time agency models. Professor Ju has published widely in leading academic journals such as Econometrica, Review of Financial Studies, Journal of Financial Economics, Management Science, Journal of Financial and Quantitative Analysis, Journal of Business, etc. 
    Professor Ju is the recipient of the inaugural Best Student Paper Award, Conference on Computational Intelligence for Financial Engineering, 1998, New York City, for his paper "Fourier Transformation, Martingale, and the Pricing of Average-Rate Derivatives". He is also the recipient of the TCW Best Paper Award (with Hui Chen, and Jianjun Miao), China International Conference in Finance, 2009, Guangzhou, for their paper "Dynamic Asset Allocation with Ambiguous Return Predictability".
    Professor Ju offers the courses "Investments" and "Derivative Securities" at SAIF. He has extensive teaching experiences at many levels: Equity Valuation (MBA, University of Maryland); Investment and Portfolio Management (undergraduate, University of Maryland and HKUST); Futures and Options (undergraduate, HKUST); Foundation of Financial Economics (PhD, University of Maryland), and Continuous-Time Finance (PhD, HKUST).
    Professor Ju received his Ph.D. in Finance (1998) from University of California at Berkeley and Ph.D. in Physics (1993) from Michigan State University.

  • Research Interests
    Derivatives Pricing, Dynamic Capital Structures, Financial Econometrics, Decision-Making under Ambiguity Preferences, Continuous-Time Agency Models.

    Journal Publications
    1. Chen, Hui, Nengjiu Ju, and Jianjun Miao, 2014, Dynamic Asset Allocation with Ambiguous Return Predictability, Review of Economic Dynamics.

    2. Ju, Nengjiu, Hayne Leland, and Lemma W. Senbet, 2014, Options, Option Repricing in Managerial Compensation: Their Effects on Corporate Investment Risk, Journal of Corporate Finance.

    3. Ju, Nengjiu, and Jianjun Miao, 2012, Ambiguity, Learning, and Asset Returns, Econometrica.

    4. Ju, Nengjiu, and Xuhu Wan, 2012, Optimal Compensation and Pay-Performance Sensitivity in a Continuous-Time Principal-Agent Model, Management Science.

    5. Ju, Nengjiu, and Rui Zhong, 2006, Fourier Transformation and the Pricing of Average-Rate Derivatives, Review of Derivatives Research.

    6. Bakshi, Gurdip, Hui Ou-Yang, and Nengjiu Ju, 2006, Estimation of Continuous-Time Models with an Application to Equity Volatility Dynamics, Journal of Financial Economics.

    7. Chen, Andrew, Sumon Mazumdar, Avinash Verma, and Nengjiu Ju , 2006, Correlated Default Risks and Bank Regulations, Journal of Money, Credit and Banking.

    8. Ou-Yang, Hui, and Nengjiu Ju, 2006, Capital Structure, Debt Maturity, and Stochastic Interest Rates, Journal of Business.

    9. Bakshi, Gurdip, and Nengjiu Ju, 2005, A Refinement to AitSahalia's "Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach", Journal of Business.

    10. Parrino, Robert, Allen Poteshman, Michael Weisback, and Nengjiu Ju, 2005, Horses and Rabbits? Trade-Off Theory and Optimal Capital Structure, Journal of Financial and Quantitative Analysis.

    11. Ju, Nengjiu, 2002, Pricing Asian and Basket Options Via Taylor Expansion, Journal of Computational Finance.

    12. Goldstein, Robert, Nengjiu Ju, and Hayne Leland, 2001, An EBIT-Based Model of Dynamic Capital Structure, Journal of Business.

    13. Ju, Nengjiu, and Rui Zhong, 1999, An Approximate Formula for Pricing American Options, Journal of Derivatives.

    14. Ju, Nengjiu, 1998, Pricing an American Option by Approximating Its Early Exercise Boundary As a Multi-Piece Exponential Function, The Review of Financial Studies.

    15. Ju, Nengjiu, A. Bulgac, and J. W. Keller, 1994, Excitation of Collective States in Fullerenes, Computational Materials Science.

    16. Ju, Nengjiu, A. Bulgac, and J. W. Keller, 1993, Excitation of Collective Plasmon States in Fullerenes, Physical Review B.

    17. Ju, Nengjiu, and A. Bulgac, 1993, Finite-Temperature Properties of Sodium Clusters, Physical Review B.

    18. Bulgac, A., and Nengjiu Ju, 1992, Collective Electronic Excitations in C60 Clusters, Physical Review B.

    Working Papers
    1. Yu, Huang, Nengjiu Ju, and Hao Xing, 2019, Optimal Contracting with Unobservable Managerial Hedging, .

    2. Ju, Nengjiu, and Xuhu Wan, Delegated Portfolio Management under Adverse Selection in a Continuous-Time Model.

    3. Ju, Nengjiu, Navneet Arora, and Hui Ou-Yang, Asset Pricing under Portfolio Delegation and Differential Information.

    4. Ju, Nengjiu, and Hui Ou-Yang, Asset Substitution and Underinvestment: A Dynamic View.

    5. Ju, Nengjiu, Bing-hua Huang, and Yu Huang, A Model of Hedge Fund in Incomplete Market.

    6. Ju, Nengjiu, Bing-hua Huang, and Yu Huang, Portfolio Choice of a CEO with Output-based Compensation.

  • Derivative Securities, Investments, Financial Markets, Assets Pricing Theory.