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://www.sustc.edu.cn/fe_fm_04/f/YangZhaojun

View CV
SCHOLARLY PAPERS

34

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CITATIONS
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25

Scholarly Papers (34)

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 731 (22,236)
Citation 4

Abstract:

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 680 (28,005)

Abstract:

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

Abstract:

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 482 (41,730)
Citation 7

Abstract:

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 404 (52,126)

Abstract:

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 260 (78,981)
Citation 1

Abstract:

Asian options, option pricing, hedging, Malliavin calculus

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 207 (115,920)

Abstract:

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
Downloads 0

Abstract:

7.

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 194 (118,471)
Citation 3

Abstract:

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

8.

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 192 (105,170)

Abstract:

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

9.

Optimal Capital Structure with an Equity-for-Guarantee Swap

Number of pages: 11 Posted: 27 Jul 2012 Last Revised: 25 Feb 2015
Zhaojun Yang and Hai Zhang
Southern University of Science and Technology - Department of Finance and University of Glasgow - Adam Smith Business School
Downloads 180 (125,327)
Citation 2

Abstract:

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

10.

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 165 (135,908)
Citation 1

Abstract:

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

11.

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 162 (136,622)

Abstract:

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

12.

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 156 (143,222)

Abstract:

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

13.

Contingent Capital with Repeated Interconversion Between Debt and Equity

Number of pages: 43 Posted: 16 Jan 2013 Last Revised: 21 Mar 2015
Zhaojun Yang and Zhiming Zhao
Southern University of Science and Technology - Department of Finance and Hunan University - School of Finance and Statistics
Downloads 134 (150,316)

Abstract:

Contingent capital, capital structure, debt overhang, risk-taking incentive

14.

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 122 (171,549)

Abstract:

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

15.

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 122 (173,581)

Abstract:

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

16.

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 121 (172,544)
Citation 5

Abstract:

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

17.

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 119 (178,981)

Abstract:

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

18.

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 110 (135,908)

Abstract:

Growth option, Contingent capital, Capital structure, Debt overhang

19.

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 91 (213,450)

Abstract:

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

20.

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 91 (219,529)
Citation 1

Abstract:

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

21.

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 91 (221,015)

Abstract:

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

22.

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 88 (222,627)

Abstract:

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

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 79 (222,627)

Abstract:

loan guarantees, real options, capital structure

24.

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

Number of pages: 29 Posted: 20 May 2014
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 University of Glasgow - Adam Smith Business School
Downloads 67 (246,548)

Abstract:

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

25.

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 51 (296,566)

Abstract:

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

26.

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 50 (222,627)

Abstract:

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

27.

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 48 (315,409)

Abstract:

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

28.

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 28 (386,894)

Abstract:

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

29.

Growth Option, Contingent Capital and Agency Conflicts

Number of pages: 32 Posted: 09 May 2015
Yingxian Tan and Zhaojun Yang
Hunan University - School of Finance and Statistics and Southern University of Science and Technology - Department of Finance
Downloads 24 (318,354)

Abstract:

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

30.

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 12 (366,926)

Abstract:

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

31.

Investment, Financing, and Option-for-Guarantee Swap

Number of pages: 38 Posted: 10 Jan 2017
Xiaolin Tang and Zhaojun Yang
Hunan University - School of Finance and Statistics and Southern University of Science and Technology - Department of Finance
Downloads 0 (410,304)

Abstract:

Option-for-guarantee swap, Investment and financing, Capital structure

32.

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 0 (349,104)

Abstract:

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

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 0 (345,772)
Citation 1

Abstract:

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

34.

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

Abstract:

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