Zhaojun Yang

Southern University of Science and Technology - Department of Finance

SCHOLARLY PAPERS

60

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111

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24

Scholarly Papers (60)

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1.

Geometric Mean Reversion: Formulas for the Equilibrium Density and Analytic Moment Matching

Number of pages: 25 Posted: 11 Jul 2007
Christian Oliver Ewald and Zhaojun Yang
University of Glasgow and Southern University of Science and Technology - Department of Finance
Downloads 1,222 (33,423)
Citation 12

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Models of mean-reversion, equilibrium distributions

2.

Implied Volatility from Asian Options Via Monte Carlo Methods

Downloads 820 (58,517)

Implied Volatility from Asian Options Via Monte Carlo Methods

Number of pages: 33 Posted: 19 Jan 2007 Last Revised: 03 Jan 2008
Christian Oliver Ewald, Zhaojun Yang and Yajun Xiao
University of Glasgow, Southern University of Science and Technology - Department of Finance and University of Freiburg - Department of Economics
Downloads 820 (57,642)

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implied volatility, Monte Carlo simulation, Asian options, exotic options

Implied Volatility from Asian Options Via Monte Carlo Methods

International Journal of Theoretical and Applied Finance, Vol. 12, No. 2, pp. 153-178, 2009
Posted: 02 Dec 2009
Zhaojun Yang, Christian Oliver Ewald and Yajun Xiao
Southern University of Science and Technology - Department of Finance, University of Glasgow and University of Freiburg - Department of Economics

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implied volatility, Monte Carlo simulation, Asian options, exotic options, calibration, local volatility

3.

Utility Based Pricing and Exercising of Real Options Under Geometric Mean Reversion and Risk Aversion Toward Idiosyncratic Risk

Number of pages: 40 Posted: 13 Jan 2007 Last Revised: 14 Oct 2008
Zhaojun Yang and Christian Oliver Ewald
Southern University of Science and Technology - Department of Finance and University of Glasgow
Downloads 567 (93,999)
Citation 8

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Real Options, Models of Mean-Reversion, Optimal Control, Incomplete Market Models

4.

Closed-Form Solutions for European and Digital Calls in the Hull and White Stochastic Volatility Model and Their Relation to Locally R-Minimizing and Delta Hedges

Swiss Finance Institute Research Paper No. 07-11
Number of pages: 22 Posted: 20 Jan 2007
Christian Oliver Ewald, Klaus Reiner Schenk-Hoppé and Zhaojun Yang
University of Glasgow, The University of Manchester - Department of Economics and Southern University of Science and Technology - Department of Finance
Downloads 549 (97,910)

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Stochastic volatility models, incomplete markets, Delta hedging, locally R-minimizing hedging strategies, Malliavin calculus

5.

Machine Learning Solutions to Challenges in Finance: An Application to the Pricing of Financial Products

Number of pages: 39 Posted: 07 Sep 2019 Last Revised: 15 Dec 2019
Lirong Gan, Huamao Wang and Zhaojun Yang
Southern University of Science and Technology - Department of Finance, University of Nottingham and Southern University of Science and Technology - Department of Finance
Downloads 402 (141,868)
Citation 6

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Machine learning; Finance applications; Asian options; Model-free asset pricing; Financial technology.

6.

Pricing and Hedging of Asian Options: Quasi-Explicit Solutions via Malliavin Calculus

Mathematical Methods of Operations Research, Volume 74, Number 1, pp. 93-120, 2011
Number of pages: 39 Posted: 30 Jun 2009 Last Revised: 16 Sep 2013
Zhaojun Yang, Christian Oliver Ewald and Olaf Menkens
Southern University of Science and Technology - Department of Finance, University of Glasgow and Dublin City University - School of Mathematical Sciences
Downloads 380 (151,120)
Citation 1

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Asian options, option pricing, hedging, Malliavin calculus

7.

Real Options under a Double Exponential Jump-Diffusion Model with Regime Switching and Partial Information

Number of pages: 34 Posted: 14 Jun 2010 Last Revised: 27 Oct 2015
Pengfei Luo, Jie Xiong, Jinqiang Yang and Zhaojun Yang
Hunan University - School of Finance and Statistics, University of Macau, Shanghai University of Finance and Economics and Southern University of Science and Technology - Department of Finance
Downloads 361 (160,006)
Citation 4

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Real options, Partial information, Information value, Double exponential jump-diffusion process

8.

Contingent Capital, Capital Structure and Investment

Asian Finance Association (AsianFA) 2015 Conference Paper
Number of pages: 36 Posted: 15 Feb 2015 Last Revised: 16 Feb 2015
Yingxian Tan and Zhaojun Yang
Hunan University - School of Finance and Statistics and Southern University of Science and Technology - Department of Finance
Downloads 273 (214,988)
Citation 3

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Growth option, Contingent capital, Capital structure, Debt overhang

9.

Contingent Capital, Real Options and Agency Costs

Number of pages: 32 Posted: 06 Aug 2013 Last Revised: 12 Nov 2014
Dandan Song and Zhaojun Yang
Hunan University - School of Finance and Statistics and Southern University of Science and Technology - Department of Finance
Downloads 269 (218,156)
Citation 2

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real options, contingent convertible bond, capital structure, agency costs

10.

Contingent capital with repeated interconversion between debt- and equity-like instruments

Number of pages: 40 Posted: 16 Jan 2013 Last Revised: 26 Jul 2017
Yanping Cai, Zhaojun Yang and Zhiming Zhao
Hunan University, Southern University of Science and Technology - Department of Finance and Hunan University - School of Finance and Statistics
Downloads 243 (241,227)
Citation 3

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contingent capital; repeated interconversion; capital structure

11.

On the Non-Equilibrium Density of Geometric Mean Reversion

Number of pages: 6 Posted: 21 Jan 2008 Last Revised: 14 Apr 2008
Zhaojun Yang and Christian Oliver Ewald
Southern University of Science and Technology - Department of Finance and University of Glasgow
Downloads 243 (241,227)
Citation 1

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Geometric mean reversion, non-equilibrium analysis, economic dynamics, econometrics

12.

Optimal Capital Structure with an Equity-for-Guarantee Swap

Economics Letters, Volume 118, Issue 2, 2013, Pages 355-359, ISSN 0165-1765, Doi.org/10.1016/j.econlet.2012.11.023.
Number of pages: 11 Posted: 27 Jul 2012 Last Revised: 02 May 2019
Zhaojun Yang and Hai Zhang
Southern University of Science and Technology - Department of Finance and Strathclyde Business School
Downloads 234 (250,225)
Citation 10

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Equity-for-guarantee swap, Capital structure, Guarantee cost

13.

Utility-Based Pricing of Contingent Convertible Bonds and Optimal Capital Structure

Number of pages: 31 Posted: 01 Jul 2012 Last Revised: 29 Nov 2013
Xiaolin Wang and Zhaojun Yang
Hunan University and Southern University of Science and Technology - Department of Finance
Downloads 232 (252,205)
Citation 2

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Contingent convertible Bond, Capital structure, Consumption utility-based indifference pricing

14.

Pricing Contingent Convertible Bond with Idiosyncratic Risk

Wang, X., Yang, Z. & Zeng, P. (2023) Pricing contingent convertibles with idiosyncratic risk. International Journal of Economic Theory, 1–34. https://doi.org/10.1111/ijet.12372
Number of pages: 44 Posted: 16 Dec 2012 Last Revised: 03 Mar 2023
Xiaolin Wang, Zhaojun Yang and Pingping Zeng
Hunan University, Southern University of Science and Technology - Department of Finance and Southern University of Science and Technology
Downloads 229 (255,547)
Citation 1

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contingent convertible bond, capital structure, utility-based pricing, idiosyncratic risk, risk-taking incentive

15.

Utility-Based Pricing, Timing and Hedging of an American Call Option Under an Incomplete Market with Partial Information

Number of pages: 24 Posted: 19 Mar 2012
Dandan Song and Zhaojun Yang
Hunan University - School of Finance and Statistics and Southern University of Science and Technology - Department of Finance
Downloads 217 (268,761)

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Partial information, American option, Consumption utility-based indifference pricing, incomplete market

16.

Loan guarantees and SMEs' investments under asymmetric information and Bayesian learning ✩

Number of pages: 49 Posted: 07 Sep 2019 Last Revised: 24 Jun 2024
Pengfei Luo, Huamao Wang and Zhaojun Yang
Hunan University - School of Finance and Statistics, University of Nottingham and Southern University of Science and Technology - Department of Finance
Downloads 215 (271,053)
Citation 3

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Asymmetric information, loan guarantees, real investment, Bayesian learning, signaling game

17.

Consumption Utility-Based Pricing and Timing of the Option to Invest with Partial Information

Number of pages: 16 Posted: 28 Feb 2010
Zhaojun Yang and Jinqiang Yang
Southern University of Science and Technology - Department of Finance and affiliation not provided to SSRN
Downloads 207 (282,078)
Citation 3

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Partial Information, Consumption Utility-Based Indifference Pricing, Real Options, Implied Information Value

18.

Arbitrage-Free Interval and Dynamic Hedging in an Illiquid Market

Number of pages: 21 Posted: 22 Apr 2009 Last Revised: 17 Dec 2009
Zhaojun Yang and Jinqiang Yang
Southern University of Science and Technology - Department of Finance and affiliation not provided to SSRN
Downloads 195 (296,504)

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Liquidity Modelling, Liquidity Costs, Arbitrage-Free Interval, Modified Hedge

19.

High-Water Marks and Hedge Fund Management Contracts with Partial Information

Number of pages: 26 Posted: 12 Jan 2012 Last Revised: 14 May 2012
Dandan Song, Jinqiang Yang and Zhaojun Yang
Hunan University - School of Finance and Statistics, Shanghai University of Finance and Economics and Southern University of Science and Technology - Department of Finance
Downloads 171 (333,511)
Citation 1

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high-water mark, hedge fund, performance fee, partial information

20.

A Comparative Analysis of the Value of Information in a Continuous Time Market Model with Partial Information: The Cases of Log-Utility and CRRA.

Number of pages: 31 Posted: 07 Aug 2007 Last Revised: 11 May 2010
Zhaojun Yang, Christian Oliver Ewald and Wen-Kai Wang
Southern University of Science and Technology - Department of Finance, University of Glasgow and National University of Kaohsiung - Department of Finance
Downloads 160 (353,088)

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Partial information, value of information, stochastic optimal control, stochastic filtering, information economics

21.

Optimal Investment and Financing with Macroeconomic Risk and Loan Guarantees

Number of pages: 33 Posted: 29 Jun 2017 Last Revised: 20 Aug 2017
Xiaolin Tang and Zhaojun Yang
Hunan University - School of Finance and Statistics and Southern University of Science and Technology - Department of Finance
Downloads 152 (368,375)

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Loan Guarantees, Macroeconomic Risk, Investment and Financing, Nash Equilibrium

22.

Investment and Financing for SMEs with a Partial Guarantee and Jump Risk

Asian Finance Association (AsianFA) 2015 Conference Paper
Number of pages: 24 Posted: 08 Feb 2015
Pengfei Luo, Huamao Wang and Zhaojun Yang
Hunan University - School of Finance and Statistics, University of Nottingham and Southern University of Science and Technology - Department of Finance
Downloads 149 (374,532)
Citation 6

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Guarantee level, Investment and financing, Real options, Double exponential jump-diffusion process

23.

Investment Timing and Capital Structure with Loan Guarantees

Finance Research Letters, 2015, 13: 179-187
Number of pages: 15 Posted: 19 Nov 2014 Last Revised: 03 May 2015
Hua Xiang and Zhaojun Yang
Hunan University - School of Finance and Statistics and Southern University of Science and Technology - Department of Finance
Downloads 141 (391,236)
Citation 4

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loan guarantees, real options, capital structure

24.

Security Token Offerings Versus Loan Guarantees for Entrepreneurship Under Asymmetric Information

Number of pages: 29 Posted: 09 Feb 2022 Last Revised: 11 Feb 2022
Xiang Liu and Zhaojun Yang
Southern University of Science and Technology and Southern University of Science and Technology - Department of Finance
Downloads 135 (404,786)

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STOs, loan guarantees, information asymmetry, signaling game.

25.

Learning, Pricing, Timing and Hedging of the Option to Invest for Perpetual Cash Flows with Idiosyncratic Risk

Number of pages: 39 Posted: 24 Sep 2013 Last Revised: 23 Jan 2014
Dandan Song, Huamao Wang and Zhaojun Yang
Hunan University - School of Finance and Statistics, University of Nottingham and Southern University of Science and Technology - Department of Finance
Downloads 134 (407,189)
Citation 2

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Partial information, Hedging, Real options, Precautionary savings, Information value, Non-linear PDEs

26.

Two New Equity Default Swaps with Idiosyncratic Risk

Number of pages: 53 Posted: 06 Aug 2013 Last Revised: 30 Aug 2014
Zhaojun Yang and Chunhong Zhang
Southern University of Science and Technology - Department of Finance and Hunan University - School of Finance and Statistics
Downloads 130 (416,898)
Citation 14

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option-for-guarantee swap, equity-for-guarantee swap, guarantee costs, utility-based prices

27.

The Pricing and Timing of the Option to Invest for Cash Flows with Partial Information

Number of pages: 21 Posted: 05 Jan 2011 Last Revised: 20 Jan 2011
Zhaojun Yang, Dandan Song and Jinqiang Yang
Southern University of Science and Technology - Department of Finance, Hunan University - School of Finance and Statistics and affiliation not provided to SSRN
Downloads 126 (426,902)

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Partial information, Cash flows, Consumption utility-based indifference pricing, Real options, Implied information value

28.

Growth Option, Contingent Capital and Agency Conflicts

Number of pages: 45 Posted: 09 May 2015 Last Revised: 24 Jun 2017
Yingxian Tan and Zhaojun Yang
Hunan University - School of Finance and Statistics and Southern University of Science and Technology - Department of Finance
Downloads 122 (437,624)
Citation 3

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Growth option, Contingent capital, Investment distortion, Risk-shifting, Debt overhang

29.

Entrepreneurial Finance with Equity-for-Guarantee Swap and Idiosyncratic Risk

European Journal of Operational Research, Volume 241, Issue 3, 2015, Pages 863-871, ISSN 0377-2217, Doi.org/10.1016/j.ejor.2014.09.013.
Number of pages: 29 Posted: 20 May 2014 Last Revised: 02 May 2019
Huamao Wang, Zhaojun Yang and Hai Zhang
University of Nottingham, Southern University of Science and Technology - Department of Finance and Strathclyde Business School
Downloads 119 (445,805)
Citation 10

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Borrowing Constraints, Equity-for-Guarantee Swap, Capital Structure, Cash-out Option

30.

The timing of debt renegotiation and its implications for irreversible investment and capital structure

Number of pages: 36 Posted: 19 Aug 2021 Last Revised: 24 Nov 2023
Zhaojun Yang and Nanhui Zhu
Southern University of Science and Technology - Department of Finance and Southern University of Science and Technology - Department of Finance
Downloads 118 (448,662)
Citation 3

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Investment options, Timing of debt renegotiation, Capital structure, Permanent coupon deduction

31.

Real Option Duopolies with Quasi-hyperbolic Discounting

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 34 Posted: 13 Jun 2018 Last Revised: 23 Dec 2019
Pengfei Luo, Yuan Tian and Zhaojun Yang
Hunan University - School of Finance and Statistics, Faculty of Economics, Ryukoku University and Southern University of Science and Technology - Department of Finance
Downloads 116 (454,451)

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option game; duopoly competition; time-inconsistent preferences; preemptive investment

32.

Continuous-Time Evolutionary Stock and Bond Markets with Time-Dependent Strategies

Number of pages: 19 Posted: 21 Jan 2008 Last Revised: 13 Jan 2012
Zhaojun Yang and Feng Shi
Southern University of Science and Technology - Department of Finance and China University of Petroleum (Beijing) - Business school
Downloads 115 (457,517)

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Continuous Evolutionary Finance, Time-dependent Strategy, Evolutionary Stable Bond Market, Bond Valuation, Benchmark Interest Rate

33.

The hedging-based utility risk measure

Number of pages: 27 Posted: 13 Jul 2021 Last Revised: 16 Aug 2022
Linjia Dong and Zhaojun Yang
Southern University of Science and Technology and Southern University of Science and Technology - Department of Finance
Downloads 114 (460,514)

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Risk measures; Personal risk measures; Hedging risk; Utility indifference prices.

34.

Financial Decisions Involving Credit Default Swaps Over the Business Cycle

Number of pages: 51 Posted: 04 Sep 2021 Last Revised: 22 Feb 2022
Liu Gan and Zhaojun Yang
Jiangxi University of Finance and Economics - School of Finance and Southern University of Science and Technology - Department of Finance
Downloads 113 (463,508)
Citation 2

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Credit default swaps, CDS hedging, debt renegotiation, risk-taking, business cycles

35.

The Maximum Surplus Before Ruin for Dependent Risk Models Through Farlie-Gumbel-Morgenstern Copula

Number of pages: 20 Posted: 30 Jun 2014
Wuyuan Jiang and Zhaojun Yang
Hunan Institute of Science and Technology and Southern University of Science and Technology - Department of Finance
Downloads 106 (485,622)

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Dependent risk model \SEP distribution of the maximum surplus; Farlie-Gumbel-Morgenstern copula; Integro-differential equation; explicit distribution

36.

Investment and Asset Securitization With an Option-for-Guarantee Swap

Number of pages: 42 Posted: 10 Jan 2017 Last Revised: 14 Oct 2019
Zhaojun Yang
Southern University of Science and Technology - Department of Finance
Downloads 104 (492,303)
Citation 3

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Credit default swap, Real options, Capital structure, Asset securitization

37.

Investment and Financing for Cash Flow Discounted with Group Diversity

Number of pages: 26 Posted: 30 Nov 2017 Last Revised: 19 May 2018
Pengfei Luo and Zhaojun Yang
Hunan University - School of Finance and Statistics and Southern University of Science and Technology - Department of Finance
Downloads 99 (509,242)

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Investment and financing; weighted discounting; group diversity; time-inconsistent; agency costs.

38.

The New Timing of Debt Renegotiations

Downloads 92 (534,090)

The New Timing of Debt Renegotiations

Number of pages: 42 Posted: 13 Jul 2023
Zhaojun Yang and Nanhui Zhu
Southern University of Science and Technology - Department of Finance and Southern University of Science and Technology
Downloads 61 (684,559)

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Debt renegotiations, credible threats, financial contracting, timing of debt renegotiation, capital structure.

The new timing of debt renegotiations

Number of pages: 33 Posted: 01 Dec 2023
Zhaojun Yang and Nanhui Zhu
Southern University of Science and Technology - Department of Finance and Southern University of Science and Technology - Department of Finance
Downloads 31 (901,627)

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Debt renegotiations, credible threats, financial contracting, timing of debt renegotiation, capital structure

39.

Valuation and Analysis of Contingent Convertible Securities with Jump Risk

International Review of Financial Analysis, Vol. 41, 2015
Number of pages: 37 Posted: 27 Oct 2015 Last Revised: 29 Oct 2015
Zhaojun Yang and Zhiming Zhao
Southern University of Science and Technology - Department of Finance and Hunan University - School of Finance and Statistics
Downloads 92 (534,090)

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contingent capital, debt overhang, risk-taking incentive, jump risk

40.

Real Options and Contingent Convertibles with Regime Switching

Number of pages: 25 Posted: 25 Jan 2016
Pengfei Luo and Zhaojun Yang
Hunan University - School of Finance and Statistics and Southern University of Science and Technology - Department of Finance
Downloads 90 (545,360)
Citation 3

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Real options; contingent convertibles; regime switching; agency cost; debt overhang

41.

Dividend Payments in a Risk Model Perturbed by Diffusion with Multiple Thresholds

Number of pages: 22 Posted: 23 Jun 2012
Wuyuan Jiang and Zhaojun Yang
Hunan Institute of Science and Technology and Southern University of Science and Technology - Department of Finance
Downloads 90 (541,532)

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Perturbed process, Dividend payments, Multiple thresholds, Integro-differential equations, Phase-type distribution

42.

Dynamic Incentive Contracts with Controllable Risk

Number of pages: 40 Posted: 25 May 2023 Last Revised: 31 May 2023
Zhaojun Yang and Yuqian Zhang
Southern University of Science and Technology - Department of Finance and Southern University of Science and Technology
Downloads 81 (594,255)

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Contract theory, Incentive compatibility, Controllable risk, Moral hazard, Contract efficiency

43.

The Discounted Penalty Function with Multi-Layer Dividend Strategy in the Phase-Type Risk Model

Number of pages: 19 Posted: 12 Jan 2012
Wuyuan Jiang, Zhaojun Yang and Xinping Li
Hunan Institute of Science and Technology, Southern University of Science and Technology - Department of Finance and Hunan Institute of Science and Technology
Downloads 81 (577,336)

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Gerber-Shiu discounted penalty function, multi-layer dividend strategy, integro-differential equation, phase-type distribution

44.

Guarantee-Investment Combination Financing for Entrepreneurship

Number of pages: 31 Posted: 15 Dec 2020 Last Revised: 06 Apr 2021
Linjia Dong and Zhaojun Yang
Southern University of Science and Technology and Southern University of Science and Technology - Department of Finance
Downloads 80 (581,595)
Citation 1

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Entrepreneurship; Guarantee-Investment mode; Growth options; Contract design

45.

Optimal equity split under unobservable investments ⋆

Downloads 79 (585,781)

Optimal equity split under unobservable investments ⋆

Number of pages: 49 Posted: 13 Jul 2023 Last Revised: 16 Jul 2024
Lihua Tan and Zhaojun Yang
Southern University of Science and Technology and Southern University of Science and Technology - Department of Finance
Downloads 45 (786,952)

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Optimal contracting, Venture capital, Unobservable investments, Equity split, Renegotiation. JEL: D82, G24, M13

Optimal Equity Split Under Unobservable Investments

Number of pages: 45 Posted: 31 Aug 2023
Lihua Tan and Zhaojun Yang
Southern University of Science and Technology and Southern University of Science and Technology - Department of Finance
Downloads 34 (874,571)

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Optimal contracting, Venture Capital, Equity split, Unobservable investments, Renegotiation.

46.

Investment Analysis under Equity Default Swaps with Asymmetric Information

Number of pages: 31 Posted: 30 Oct 2019
Xiang Liu and Zhaojun Yang
Southern University of Science and Technology and Southern University of Science and Technology - Department of Finance
Downloads 75 (603,007)

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Equity Default Swaps, Asymmetric Information, Signaling Game, Social Welfare

47.

The Pricing of Two Newly Invented Swaps in a Jump-Diffusion Model

Number of pages: 31 Posted: 13 Jan 2015
Zhaojun Yang and Chunhong Zhang
Southern University of Science and Technology - Department of Finance and Hunan University - School of Finance and Statistics
Downloads 74 (607,518)
Citation 3

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Option-for-guarantee swap, Equity-for-guarantee swap, Guarantee costs, Nash equilibrium

48.

Growth Option and Debt Maturity with Equity Default Swaps in a Regime-Switching Framework

Macroeconomic Dynamics, Forthcoming
Number of pages: 31 Posted: 27 Jul 2017
Pengfei Luo and Zhaojun Yang
Hunan University - School of Finance and Statistics and Southern University of Science and Technology - Department of Finance
Downloads 73 (612,127)
Citation 2

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Growth Option; Equity Default Swaps; Business Cycle

49.

An Algorithm for the Pricing and Timing of the Option to Make a Two-stage Investment with Credit Guarantees

Number of pages: 31 Posted: 12 Apr 2021 Last Revised: 08 Nov 2021
Linjia Dong and Zhaojun Yang
Southern University of Science and Technology and Southern University of Science and Technology - Department of Finance
Downloads 71 (621,523)
Citation 1

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Entrepreneurship; Guarantee-Investment mode; Growth options; Jump-diffusion; Algorithm

50.

Dynamic incentive contracts for ESG investing

Number of pages: 39 Posted: 11 Apr 2024
Zhaojun Yang and Yuqian Zhang
Southern University of Science and Technology - Department of Finance and Southern University of Science and Technology
Downloads 65 (650,947)

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ESG investing, moral hazard, dynamic contracts, carbon credits, contract implementation.

51.

Optimal ownership and capital structure with agency conflicts and debt renegotiation ⋆

Number of pages: 74 Posted: 01 Mar 2023 Last Revised: 19 Aug 2024
Zhaojun Yang and Nanhui Zhu
Southern University of Science and Technology - Department of Finance and Southern University of Science and Technology - Department of Finance
Downloads 51 (729,181)

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Capital/ownership structure, Agency conflicts, Debt renegotiation, Expansion G31, G32, G33, G34

52.

Irreversible Investment, Ambiguity, and Equity Default Swaps

Number of pages: 14 Posted: 29 Jun 2017
Xiaolin Tang and Zhaojun Yang
Hunan University - School of Finance and Statistics and Southern University of Science and Technology - Department of Finance
Downloads 50 (735,489)
Citation 1

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Real Options, Equity Default Swaps, Ambiguity

53.

Two-Stage Investment Model With Loan Guarantees and Share Buybacks

Number of pages: 39 Posted: 06 Jun 2022
Linjia Dong, Michi Nishihara and Zhaojun Yang
Southern University of Science and Technology, Osaka University and Southern University of Science and Technology - Department of Finance
Downloads 44 (774,983)

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Entrepreneurship; Guarantee-Investment modes; Growth option; Share buybacks; Guarantee costs.

54.

Simple contracts with double-sided moral hazard and adverse selection

Number of pages: 20 Posted: 01 Dec 2023
Lihua Tan and Zhaojun Yang
Southern University of Science and Technology and Southern University of Science and Technology - Department of Finance
Downloads 31 (876,205)

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Optimal contracting; Venture capital; Double-sided moral hazard; Adverse selection; Screening game.

55.

Security Token Offerings Versus Loan Guarantees for Risk-Averse Entrepreneurs Under Asymmetric Information

Number of pages: 21 Posted: 05 Apr 2023
Xiang Liu and Zhaojun Yang
Southern University of Science and Technology and Southern University of Science and Technology - Department of Finance
Downloads 31 (876,205)

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STOs, loan guarantees, information asymmetry, signalling game.

56.

Two-Stage Investment, Loan Guarantees and Share Buybacks

Number of pages: 37 Posted: 16 Jan 2023
Linjia Dong, Michi Nishihara and Zhaojun Yang
Southern University of Science and Technology, Osaka University and Southern University of Science and Technology - Department of Finance
Downloads 29 (893,687)

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Real options, Guarantee-investment, Growth option, Share buybacks, Alternative VC investment.

57.

Investments, credit guarantees and government subsidies in a regime-switching framework ⋆

Number of pages: 36 Posted: 17 Feb 2024
Xiang Liu and Zhaojun Yang
Southern University of Science and Technology and Southern University of Science and Technology - Department of Finance
Downloads 28 (902,867)

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Real options, regime-switching model, credit guarantees, government subsidies, capital structure. JEL: D82, G12, G32

58.

Hedging-Based Utility Risk Measure Customized for Individual Investors

Number of pages: 14 Posted: 21 Feb 2022
Linjia Dong and Zhaojun Yang
Southern University of Science and Technology and Southern University of Science and Technology - Department of Finance
Downloads 22 (960,840)

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Risk measures, Personalized risk measures, Hedging risk, Utility indifference prices.

59.

ESG Transition Incentives with Loan Guarantees

Number of pages: 19 Posted: 23 Jul 2024
Wenyang Xu, Zhaojun Yang and Nanhui Zhu
Southern University of Science and Technology, Southern University of Science and Technology - Department of Finance and Southern University of Science and Technology
Downloads 11 (1,078,067)

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ESG investing, ESG incentives, The timing of ESG transition, Loan guarantees, Tax subsidies.

60.

Continuous Time Evolutionary Market Dynamics: The Case of Fix-Mix Strategies

Investment Management and Financial Innovations, Vol. 5, No. 1, March 2008
Posted: 24 Apr 2008
Zhaojun Yang and Christian Oliver Ewald
Southern University of Science and Technology - Department of Finance and University of Glasgow

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Evolutionary Economics, Evolutionary Finance, continuous-time portfolio theory, endogenously determined asset prices, evolutionary stability of trading strategies