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上海交通大学上海高级金融学院导师教师师资介绍简介-巨能久

本站小编 Free考研考试/2021-01-03

巨能久
联系方式:njju@saif.sjtu.edu.cn
秘书:金程英
邮箱:cyjin@saif.sjtu.edu.cn


教授简介
研究领域
学术成果
SAIF所授课程
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教育背景:博士学位:加利福尼亚大学伯克利分校金融学,1998
博士学位:密歇根州立大学物理学,1993
学士学位:北京大学物理学,1986
教授介绍:巨能久教授现任上海高级金融学院金融学教授、Ph.D. 项目学术主任。2005-2013年他曾任香港科技大学金融学副教授,1998-2005年曾任马里兰大学 (学院公园校园) 金融学助理教授。

巨能久教授的研究领域包括衍生产品定价、动态资本结构、金融计量经济学、模糊偏好下的决策、连续时间代理模型等。他的研究论文发表在诸多国际著名学术期刊,如 Econometrica,Review of Financial Studies,Journal of Financial Economics, Management Science, Journal of Financial and Quantitative Analysis,andJournal of Business 等。 他获得计算智能金融会议首次最佳学生论文奖(1998,纽约市)。巨教授与两位合著者,Hui Chen 和 Jianjun Miao 共同获得2009年中国国际金融会议TCW最佳论文奖。
巨能久教授在上海高级金融学院讲授《投资学》、《金融衍生品》等课程。巨能久教授具有非常丰富的教学经验,包括为马里兰大学MBA项目讲授的《股票估值》课程,为马里兰大学和香港科技大学本科生开设的《投资及投资组合管理》课程,为香港科技大学本科生讲授的《期货及期权》课程,以及马里兰大学金融经济学博士课程以及香港科技大学的连续时间金融博士课程。

巨能久教授于1998年获得加利福尼亚大学伯克利分校金融学博士学位,1993年获得密歇根州立大学物理学博士学位。


衍生产品定价、动态资本结构、金融计量经济学、模糊偏好下决策、连续时间机构模型
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.
19. Yu, Huang, Nengjiu Ju, and Hao Xing, 2019, Optimal Contracting with Unobservable Managerial Hedging, .
20. Ju, Nengjiu, and Xuhu Wan, Delegated Portfolio Management under Adverse Selection in a Continuous-Time Model.
21. Ju, Nengjiu, Navneet Arora, and Hui Ou-Yang, Asset Pricing under Portfolio Delegation and Differential Information.
22. Ju, Nengjiu, and Hui Ou-Yang, Asset Substitution and Underinvestment: A Dynamic View.
23. Ju, Nengjiu, Bing-hua Huang, and Yu Huang, A Model of Hedge Fund in Incomplete Market.
24. Ju, Nengjiu, Bing-hua Huang, and Yu Huang, Portfolio Choice of a CEO with Output-based Compensation.

衍生证券、投资、金融市场、资产定价理论。

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