Zhaojun Yang

Southern University of Science and Technology - Department of Finance

Associate Professor

No 1088, Xueyuan Rd.

District of Nanshan

Shenzhen, Guangdong 518055

China

http://fin.sustc.edu.cn/Case-detail-id-21.html

SCHOLARLY PAPERS

39

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CITATIONS
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46

Scholarly Papers (39)

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 956 (22,908)
Citation 11

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Models of mean-reversion, equilibrium distributions

Implied Volatility from Asian Options Via Monte Carlo Methods

Number of pages: 33 Posted: 19 Jan 2007 Last Revised: 03 Jan 2008
University of Glasgow, Southern University of Science and Technology - Department of Finance and University of Freiburg - Department of Economics
Downloads 714 (33,957)

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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
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 526 (51,575)
Citation 1

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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
University of Glasgow, University of Manchester - Department of Economics and Southern University of Science and Technology - Department of Finance
Downloads 442 (64,081)

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

5.

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
Southern University of Science and Technology - Department of Finance, University of Glasgow and Dublin City University - School of Mathematical Sciences
Downloads 322 (92,665)

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Asian options, option pricing, hedging, Malliavin calculus

6.

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 299 (100,419)
Citation 2

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

7.
Downloads 234 (129,781)
Citation 7

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 234 (129,263)
Citation 2

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

Contingent Capital, Real Options, and Agency Costs

International Review of Finance, Vol. 16, Issue 1, pp. 3-40, 2016
Number of pages: 38 Posted: 03 Mar 2016
Dandan Song and Zhaojun Yang
Hunan University - School of Finance and Statistics and Southern University of Science and Technology - Department of Finance
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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 213 (142,170)

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Growth option, Contingent capital, Capital structure, Debt overhang

9.

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 211 (143,406)
Citation 1

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

10.

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 202 (149,391)
Citation 5

Abstract:

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

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 201 (149,873)
Citation 1

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contingent capital; repeated interconversion; capital structure

Contingent Capital with Repeated Interconversion between Debt‐ and Equity‐Like Instruments

European Financial Management, Vol. 25, Issue 2, pp. 358-379, 2019
Number of pages: 22 Posted: 06 Mar 2019
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
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contingent capital, Repeated interconversion, capital structure

12.

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 193 (155,926)

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

13.

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 181 (165,239)

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

14.

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 172 (172,888)

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

15.

Pricing Contingent Convertible Bond with Idiosyncratic Risk

Number of pages: 59 Posted: 16 Dec 2012 Last Revised: 29 Nov 2013
Xiaolin Wang and Zhaojun Yang
Hunan University and Southern University of Science and Technology - Department of Finance
Downloads 152 (192,144)

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

16.

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 140 (205,430)

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

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 138 (207,781)
Citation 3

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

18.

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
Southern University of Science and Technology - Department of Finance, University of Glasgow and National University of Kaohsiung - Department of Finance
Downloads 133 (214,134)

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

19.

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 Kent - School of Mathematics, Statistics and Actuarial Science & Kent Centre for Finance and Southern University of Science and Technology - Department of Finance
Downloads 112 (243,463)

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

20.

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 110 (246,606)

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loan guarantees, real options, capital structure

21.

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 103 (258,217)

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

22.

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 Kent - School of Mathematics, Statistics and Actuarial Science & Kent Centre for Finance and Southern University of Science and Technology - Department of Finance
Downloads 102 (259,982)

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

23.

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 98 (266,966)

Abstract:

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

24.

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, Beijng - Business school
Downloads 97 (268,719)

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

25.

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 Kent - School of Mathematics, Statistics and Actuarial Science & Kent Centre for Finance, Southern University of Science and Technology - Department of Finance and Strathclyde Business School
Downloads 90 (281,974)
Citation 1

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

26.

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 75 (314,886)

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

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 70 (331,020)

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

Optimal Investment and Financing with Macroeconomic Risk and Loan Guarantees

Journal of Credit Risk, Vol. 13, No. 4, 2017
Number of pages: 24 Posted: 06 Jan 2018
Xiaolin Tang and Zhaojun Yang
Hunan University - School of Finance and Statistics and Southern University of Science and Technology - Department of Finance
Downloads 2 (665,816)
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Loan Guarantees, Real Options, Macroeconomic Risk, Investment And Financing, Nash Equilibrium

28.

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 68 (332,479)

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

29.

Option Games with Time-Inconsistent Preferences

Number of pages: 30 Posted: 13 Jun 2018 Last Revised: 10 Aug 2018
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 62 (348,763)

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

30.

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 58 (360,388)

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

31.

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 53 (376,086)

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

32.

Investment and asset securitization with an option-for-guarantee swap

Number of pages: 38 Posted: 10 Jan 2017 Last Revised: 04 Aug 2018
Xiaolin Tang and Zhaojun Yang
Hunan University - School of Finance and Statistics and Southern University of Science and Technology - Department of Finance
Downloads 52 (379,310)

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

33.

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 51 (382,606)

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

34.

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 48 (392,792)

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

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 42 (414,208)

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

36.

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 34 (446,366)
Citation 1

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

37.

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 25 (490,229)

Abstract:

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Growth Option; Equity Default Swaps; Business Cycle

38.

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 24 (495,793)

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Real Options, Equity Default Swaps, Ambiguity

39.

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