巨能久

上海交通大学上海高级金融学院金融学讲席教授、Ph.D. 项目学术主任

博士学位:加利福尼亚大学伯克利分校金融学,1998
博士学位:密西根州立大学物理学,1993
学士学位:北京大学物理学,1986

巨能久教授现任上海交通大学上海高级金融学院金融学讲席教授、Ph.D.项目学术主任。2005至2013年曾任香港科技大学金融学副教授(终身教职),1998至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,迄今已在Econometrica, Review of Financial Studies, Journal of Financial Economics, Management Science, Journal of Financial and Quantitative Analysis, and Journal of Business等国际著名学术期刊发表论文近20篇。曾获得计算智能金融会议首次最佳学生论文奖(1998,纽约市),还曾与两位合著者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。

巨能久教授讲授的课程包括衍生证券、资产定价理论等,面向博士生、MBA和MF学生。

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
  • 期刊论文

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

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

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

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

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

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

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

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

    9. 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.

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

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

    13. 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.

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

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

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

    17. 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.

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

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

  • 工作论文

    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.

衍生证券、投资、金融市场、资产定价理论。