Phone: (301) 405-2934
Fax: (301) 405-0359
4453 Van Munching Hall
Smith Business School
University of Maryland
College Park, MD 20742
E-Mail: nju@rhsmith.umd.edu
Background
Nengjiu Ju is Assistant Professor of Finance at Department of Finance, Smith Business School. Ju's research interests include stock valuation, option valuation, term structure of interest rates, asset pricing, density approximations, capital structure
He teaches the MBA security valuation and undergraduate investments. You may access his curriculum vitae [WORD]
1. Capital Structure,
Debt Maturity, and Stochastic
Interest Rates, Journal
of Business
(forthcoming). (with Hui Ou-Yang) 2005. [paper]
2. Correlated Default Risks and Bank Regulations, Journal of
Money, Credit and Banking (forthcoming). (with Andrew Chen, Sumon Mazumdar, and Avinash Verma)
2004. [paper]
3. A Refinement to AitSahalia's (2003) `` Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach", Journal of Business (forthcoming, September 2005, Volume 78, No. 5). (with Gurdip Bakshi) 2003 [paper]
4. Horses and Rabbits? Trade-Off Theory and Optimal Capital Structure, Journal of Financial and Quantitative Analysis (forthcoming, June 2005, Volume 40, No. 2). (with Robert Parrino, Allen Poteshman, and Michael Weisback) 2004. [paper], [Appendix A], [Appendix B], [Appendix C]
5.
Pricing Asian and Basket Options Via Taylor Expansion, Journal of
Computational Finance,
5, 79-103,
6. EBIT-based Dynamic Capital Structure, Journal of Business, 74, 483-512, 2001. (with Robert Goldstein, and Hayne Leland) [paper]
7. An Approximate Formula for Pricing American Options, Journal of Derivatives, 7, 31-40, 1999. (With Rui Zhong) [paper]
8. 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. [paper]
2. Options, Option Repricing and Severance Packages in Managerial Compensation: Their Effects on Corporate Risk (Hayne Leland and Lemma Senbet), 2002. [paper]
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.
TEACHING
BMGT 343 (undergraduate class on Investments).
BUFN 702 (MBA class on Security Valuation).
BMGT 840 (Introductory Ph.D. Seminar).
Last Updated: January 2004