• JU, Nengjiu

    Chair Professor of Finance, Ph.D. Program Faculty Director

  • Email:

    njju@saif.sjtu.edu.cn

  • 　　

    　　

  • Support Staff:

    Lucia Tong

  • Support Staff Email:

    ytong2@saif.sjtu.edu.cn

  • Research Interests

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

Dr. Nengjiu Ju is a  Chair Professor of Finance and the Ph.D. Program Faculty Director at Shanghai Advanced Institute of Finance (SAIF) at Shanghai Jiao Tong University. Before joining SAIF, Professor Ju held academic positions at prestigious institutions, including Hong Kong University of Science and Technology (HKUST), where he served as an associate professor of finance from 2005 to 2013, and the University of Maryland at College Park, where he was an assistant professor of finance from 1998 to 2005.

 

Professor Ju's research interests encompass derivatives pricing, dynamic capital structures, financial econometrics, decision-making under ambiguity, and continuous-time agency models. He has published nearly 20 articles in leading academic journals, such as Econometrica, Review of Financial Studies, Journal of Financial Economics, Management Science, Journal of Financial and Quantitative Analysis, and Journal of Business.

 

Professor Ju was the recipient of the inaugural Best Student Paper Award at the Conference on Computational Intelligence for Financial Engineering in 1998 (New York City) for his paper "Fourier Transformation, Martingale, and the Pricing of Average-Rate Derivatives." He also received the TCW Best Paper Award (with Hui Chen and Jianjun Miao) at the China International Conference in Finance in 2009 (Guangzhou) for their paper "Dynamic Asset Allocation with Ambiguous Return Predictability."

 

At SAIF, Professor Ju teaches the courses "Investments" and "Derivative Securities" for doctoral and MBA/MF students.


Journal Publications

1. Huang, Yu, Nengjiu Ju, and Hao Xing, 2023, Performance Evaluation, Managerial Hedging, and Contract Termination, Management Science.

2. Chen, Hui, Nengjiu Ju, and Jianjun Miao, 2014, Dynamic asset allocation with ambiguous return predictability, Review of Economic Dynamics.

3. 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.

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

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

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

7. 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.

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

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

10. 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.

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

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

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

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

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

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

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

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

19. 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, 2022, Performance Evaluation, Managerial Hedging, and Contract Termination.

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.

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