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Publications

by members of

Southern University of Science and Technology → College of Business → Department of Finance

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

2007

  1. Christian-Olivier Ewald & Klaus Reiner Schenk-Hoppe & Zhaojun Yang, 2007, "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 Series, Swiss Finance Institute, number 07-11, Aug.

Journal articles

2025

  1. Tan, Lihua & Yang, Zhaojun, 2025, "Optimal equity split under unobservable investments," International Journal of Industrial Organization, Elsevier, volume 98, issue C, DOI: 10.1016/j.ijindorg.2024.103132.

2024

  1. Zhang, Yuqian & Yang, Zhaojun, 2024, "Dynamic incentive contracts for ESG investing," Journal of Corporate Finance, Elsevier, volume 87, issue C, DOI: 10.1016/j.jcorpfin.2024.102614.
  2. Gan, Liu & Yang, Zhaojun, 2024, "Financial decisions involving credit default swaps over the business cycle," Journal of Economic Dynamics and Control, Elsevier, volume 161, issue C, DOI: 10.1016/j.jedc.2024.104830.
  3. Tan, Lihua & Yang, Zhaojun, 2024, "Simple contracts with double-sided moral hazard and adverse selection," Economics Letters, Elsevier, volume 236, issue C, DOI: 10.1016/j.econlet.2024.111601.

2023

  1. Xiaolin Wang & Zhaojun Yang & Pingping Zeng, 2023, "Pricing contingent convertibles with idiosyncratic risk," International Journal of Economic Theory, The International Society for Economic Theory, volume 19, issue 3, pages 660-693, September, DOI: 10.1111/ijet.12372.
  2. Dong, Linjia & Nishihara, Michi & Yang, Zhaojun, 2023, "Two-stage investment, loan guarantees and share buybacks," Journal of Economic Dynamics and Control, Elsevier, volume 156, issue C, DOI: 10.1016/j.jedc.2023.104741.
  3. Dong, Linjia & Yang, Zhaojun, 2023, "Investment and financing analysis for a venture capital alternative," Economic Modelling, Elsevier, volume 126, issue C, DOI: 10.1016/j.econmod.2023.106394.
  4. Liu, Xiang & Yang, Zhaojun, 2023, "Security token offerings versus loan guarantees for risk-averse entrepreneurs under asymmetric information," Finance Research Letters, Elsevier, volume 57, issue C, DOI: 10.1016/j.frl.2023.104171.
  5. Zhaojun Yang & Nanhui Zhu, 2023, "The timing of debt renegotiation and its implications for irreversible investment and capital structure," Quantitative Finance, Taylor & Francis Journals, volume 23, issue 5, pages 887-900, May, DOI: 10.1080/14697688.2023.2186260.

2022

  1. Linjia Dong & Zhaojun Yang, 2022, "An Algorithm for the Pricing and Timing of the Option to make a Two-Stage Investment with Credit Guarantees," Computational Economics, Springer;Society for Computational Economics, volume 60, issue 3, pages 1175-1196, October, DOI: 10.1007/s10614-021-10220-8.
  2. Guanghua Lian & Robert J. Elliott & Petko Kalev & Zhaojun Yang, 2022, "Approximate pricing of American exchange options with jumps," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 42, issue 6, pages 983-1001, June, DOI: 10.1002/fut.22316.

2021

  1. Pengfei Luo & Zhaojun Yang, 2021, "Investment and financing for cash flow discounted with group diversity," International Review of Finance, International Review of Finance Ltd., volume 21, issue 3, pages 769-785, September, DOI: 10.1111/irfi.12295.

2020

  1. Zhaojun Yang, 2020, "Investment and asset securitization with an option‐for‐guarantee swap," European Financial Management, European Financial Management Association, volume 26, issue 4, pages 1006-1030, September, DOI: 10.1111/eufm.12250.
  2. Luo, Pengfei & Tian, Yuan & Yang, Zhaojun, 2020, "Real option duopolies with quasi-hyperbolic discounting," Journal of Economic Dynamics and Control, Elsevier, volume 111, issue C, DOI: 10.1016/j.jedc.2019.103829.
  3. Wang, Haoyu & Di, Junpeng & Yang, Zhaojun & Han, Qing, 2020, "Assessment of mutual fund performance based on Ensemble Empirical Mode Decomposition," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 538, issue C, DOI: 10.1016/j.physa.2019.122804.
  4. Gan, Lirong & Wang, Huamao & Yang, Zhaojun, 2020, "Machine learning solutions to challenges in finance: An application to the pricing of financial products," Technological Forecasting and Social Change, Elsevier, volume 153, issue C, DOI: 10.1016/j.techfore.2020.119928.

2019

  1. Yanping Cai & Zhaojun Yang & Zhiming Zhao, 2019, "Contingent capital with repeated interconversion between debt‐ and equity‐like instruments," European Financial Management, European Financial Management Association, volume 25, issue 2, pages 358-379, March, DOI: 10.1111/eufm.12165.
  2. Luo, Pengfei & Yang, Zhaojun, 2019, "Growth Option And Debt Maturity With Equity Default Swaps In A Regime-Switching Framework," Macroeconomic Dynamics, Cambridge University Press, volume 23, issue 6, pages 2250-2268, September.
  3. Pengfei Luo & Jie Xiong & Jinqiang Yang & Zhaojun Yang, 2019, "Real options under a double exponential jump-diffusion model with regime switching and partial information," Quantitative Finance, Taylor & Francis Journals, volume 19, issue 6, pages 1061-1073, June, DOI: 10.1080/14697688.2017.1328560.

2018

  1. Xiaolin Tang & Zhaojun Yang, 2018, "Irreversible investment, ambiguity and equity default swaps," Applied Economics Letters, Taylor & Francis Journals, volume 25, issue 18, pages 1301-1305, October, DOI: 10.1080/13504851.2017.1420866.

2017

  1. Luo, Pengfei & Yang, Zhaojun, 2017, "Real options and contingent convertibles with regime switching," Journal of Economic Dynamics and Control, Elsevier, volume 75, issue C, pages 122-135, DOI: 10.1016/j.jedc.2016.12.002.
  2. Tan, Yingxian & Yang, Zhaojun, 2017, "Growth option, contingent capital and agency conflicts," International Review of Economics & Finance, Elsevier, volume 51, issue C, pages 354-369, DOI: 10.1016/j.iref.2017.06.006.
  3. Liu Gan & Zhaojun Yang, 2017, "Investment, agency conflicts, debt maturity, and loan guarantees by negotiation," Annals of Finance, Springer, volume 13, issue 3, pages 253-271, August, DOI: 10.1007/s10436-017-0298-8.

2016

  1. Dandan Song & Zhaojun Yang, 2016, "Contingent Capital, Real Options, and Agency Costs," International Review of Finance, International Review of Finance Ltd., volume 16, issue 1, pages 3-40, March.
  2. Tan, Yingxian & Yang, Zhaojun, 2016, "Contingent capital, capital structure and investment," The North American Journal of Economics and Finance, Elsevier, volume 35, issue C, pages 56-73, DOI: 10.1016/j.najef.2015.10.016.
  3. Luo, Pengfei & Wang, Huamao & Yang, Zhaojun, 2016, "Investment and financing for SMEs with a partial guarantee and jump risk," European Journal of Operational Research, Elsevier, volume 249, issue 3, pages 1161-1168, DOI: 10.1016/j.ejor.2015.09.032.
  4. Gan, Liu & Luo, Pengfei & Yang, Zhaojun, 2016, "Real option, debt maturity and equity default swaps under negotiation," Finance Research Letters, Elsevier, volume 18, issue C, pages 278-284, DOI: 10.1016/j.frl.2016.04.028.
  5. Wuyuan Jiang & Zhaojun Yang, 2016, "The maximum surplus before ruin for dependent risk models through Farlie–Gumbel–Morgenstern copula," Scandinavian Actuarial Journal, Taylor & Francis Journals, volume 2016, issue 5, pages 385-397, May, DOI: 10.1080/03461238.2014.936972.

2015

  1. Zhaojun Yang & Chunhong Zhang, 2015, "The Pricing of Two Newly Invented Swaps in a Jump-Diffusion Model," Annals of Economics and Finance, Society for AEF, volume 16, issue 2, pages 371-392, November.
  2. Wang, Huamao & Yang, Zhaojun & Zhang, Hai, 2015, "Entrepreneurial finance with equity-for-guarantee swap and idiosyncratic risk," European Journal of Operational Research, Elsevier, volume 241, issue 3, pages 863-871, DOI: 10.1016/j.ejor.2014.09.013.
  3. Yang, Zhaojun & Zhao, Zhiming, 2015, "Valuation and analysis of contingent convertible securities with jump risk," International Review of Financial Analysis, Elsevier, volume 41, issue C, pages 124-135, DOI: 10.1016/j.irfa.2015.05.029.
  4. Xiang, Hua & Yang, Zhaojun, 2015, "Investment timing and capital structure with loan guarantees," Finance Research Letters, Elsevier, volume 13, issue C, pages 179-187, DOI: 10.1016/j.frl.2015.01.006.
  5. Yang, Zhaojun & Zhang, Chunhong, 2015, "Two new equity default swaps with idiosyncratic risk," International Review of Economics & Finance, Elsevier, volume 37, issue C, pages 254-273, DOI: 10.1016/j.iref.2014.11.027.

2014

  1. Song, Dandan & Wang, Huamao & Yang, Zhaojun, 2014, "Learning, pricing, timing and hedging of the option to invest for perpetual cash flows with idiosyncratic risk," Journal of Mathematical Economics, Elsevier, volume 51, issue C, pages 1-11, DOI: 10.1016/j.jmateco.2014.02.009.
  2. Dandan Song & Zhaojun Yang, 2014, "Utility-Based Pricing, Timing and Hedging of an American Call Option Under an Incomplete Market with Partial Information," Computational Economics, Springer;Society for Computational Economics, volume 44, issue 1, pages 1-26, June, DOI: 10.1007/s10614-013-9382-y.
  3. Wuyuan Jiang & Zhaojun Yang, 2014, "The expected discounted penalty function for two classes of risk processes perturbed by diffusion with multiple thresholds," Indian Journal of Pure and Applied Mathematics, Springer, volume 45, issue 4, pages 479-495, August, DOI: 10.1007/s13226-014-0076-5.

2013

  1. Yang, Zhaojun & Zhang, Hai, 2013, "Optimal capital structure with an equity-for-guarantee swap," Economics Letters, Elsevier, volume 118, issue 2, pages 355-359, DOI: 10.1016/j.econlet.2012.11.023.
  2. Dandan Song & Jinqiang Yang & Zhaojun Yang, 2013, "High-Water Marks and Hedge Fund Management Contracts with Partial Information," Computational Economics, Springer;Society for Computational Economics, volume 42, issue 3, pages 327-350, October, DOI: 10.1007/s10614-012-9338-7.

2012

  1. Jiang, Wuyuan & Yang, Zhaojun & Li, Xinping, 2012, "The discounted penalty function with multi-layer dividend strategy in the phase-type risk model," Statistics & Probability Letters, Elsevier, volume 82, issue 7, pages 1358-1366, DOI: 10.1016/j.spl.2012.03.012.
  2. Jinqiang Yang & Zhaojun Yang, 2012, "Consumption Utility-Based Pricing and Timing of the Option to Invest with Partial Information," Computational Economics, Springer;Society for Computational Economics, volume 39, issue 2, pages 195-217, February, DOI: 10.1007/s10614-011-9289-4.
  3. Jinqiang Yang & Zhaojun Yang, 2012, "Arbitrage-free interval and dynamic hedging in an illiquid market," Quantitative Finance, Taylor & Francis Journals, volume 13, issue 7, pages 1029-1039, May, DOI: 10.1080/14697688.2012.693943.

2011

  1. Zhaojun Yang & Christian-Oliver Ewald & Wen-Kai Wang, 2011, "A Comparative Analysis of the Value of Information in a Continuous Time Market Model with Partial Information: The Cases of Log-Utility and CRRA," Journal of Probability and Statistics, Hindawi, volume 2011, pages 1-23, August, DOI: 10.1155/2011/238623.
  2. Zhaojun Yang & Christian-Oliver Ewald & Olaf Menkens, 2011, "Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), volume 74, issue 1, pages 93-120, August, DOI: 10.1007/s00186-011-0352-7.
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2010

  1. Yang, Zhaojun & Ewald, Christian-Oliver, 2010, "On the non-equilibrium density of geometric mean reversion," Statistics & Probability Letters, Elsevier, volume 80, issue 7-8, pages 608-611, April.

2009

  1. Zhaojun Yang & Christian-Oliver Ewald & Yajun Xiao, 2009, "Implied Volatility From Asian Options Via Monte Carlo Methods," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 12, issue 02, pages 153-178, DOI: 10.1142/S021902490900518X.

2008

  1. Christian-Oliver Ewald & Zhaojun Yang, 2008, "Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), volume 68, issue 1, pages 97-123, August, DOI: 10.1007/s00186-007-0190-9.

2001

  1. Zhaojun Yang & Chaoqun Ma, 2001, "Optimal Trading Strategy With Partial Information And The Value Of Information: The Simplified And Generalized Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 4, issue 05, pages 759-772, DOI: 10.1142/S0219024901001231.

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