Publications

  • Journal Papers

Selected papers since 2013. Welcome to access my selected papers on the Social Science Research Network.

  1. Luo, Pengfei and Wang, Huamao and Yang, Zhaojun, The Learning, Timing, and Pricing of the Option to Invest with Guaranteed Debt and Asymmetric Information (July 28, 2020). Available at SSRN: https://ssrn.com/abstract=3445784 or http://dx.doi.org/10.2139/ssrn.3445784
  2. Gan, Lirong and Wang, Huamao and Yang, Zhaojun, Machine learning solutions to challenges in finance: An application to the pricing of financial products (August 31, 2019). Available at SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3446042, Technological Forecasting and Social Change, forthcoming
  3. Luo, Pengfei and Yang*, Zhaojun, Investment and Financing for Cash Flow Discounted with Group Diversity (May 16, 2018). Available at SSRN: https://ssrn.com/abstract=3078631 or http://dx.doi.org/10.2139/ssrn.3078631  International Review of Finance, forthcoming.
  4. Luo, Pengfei and Tian, Yuan and Yang*, Zhaojun, A Real Option Game with Time-Inconsistent Preferences (May 15, 2018). Available at SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3179275Semifinalist for Best Paper Award at FMA Annual Meetings, 2018Journal of Economic Dynamics and Control, forthcoming.
  5. Yang, Zhaojun, Investment and Asset Securitization With an Option-for-Guarantee Swap (October 11, 2019). Also available at SSRN: https://ssrn.com/abstract=2895593 or http://dx.doi.org/10.2139/ssrn.2895593  European Financial Management, forthcoming.
  6. Luo P, Yang* Z. Growth option and debt maturity with equity default swaps in a regime-switching framework. Macroeconomic Dynamics, 2019, 23(6). 
  7. Cai, Yanping, Yang, Zhaojun and Zhao, Zhiming, Contingent capital with repeated interconversion between debt- and equity-like instruments. European Financial Management, 2019, 25(2): 358-379.
  8. Luo, Pengfei and Xiong, Jie and Yang, Jinqiang and Yang*, Zhaojun, Real Options under a Double Exponential Jump-Diffusion Model with Regime Switching and Partial Information. Quantitative Finance, 2019, 19(6).
  9. Tang, Xiaolin and Yang*, Zhaojun, Irreversible Investment, Ambiguity, and Equity Default Swaps. Applied Economics Letters, 2018, 25(18): 1301-1305.
  10. Tang X, Yang* Z. Optimal investment and financing with macroeconomic risk and loan guarantees. Journal of Credit Risk, 2017, 13(4): 75-97.
  11. Luo P, Yang* Z. Real Options and Contingent Convertibles with Regime Switching. Journal of Economic Dynamics and Control, 2017, 75: 122–135.
  12. Tan, Y.X., Yang*, Z. Growth option, contingent capital and agency conflicts. International Review of Economics and Finance, 2017, 51: 354-369.
  13. Gan, L., Yang*, Z.J. Investment, agency conflicts, debt maturity, and loan guarantees by negotiation. Annals of Finance, 2017, 13(3): 253-271.
  14. Gan, Liu, Pengfei Luo, and Zhaojun Yang*. Real option, debt maturity and equity default swaps under negotiation. Finance Research Letters, 2016, 18: 278-284.
  15. Song, Dandan and Yang*, Zhaojun. Contingent capital, real options and agency costs. International Review of Finance, 2016, 16(1): 3-40 (lead article).
  16. Luo, P., Wang, H., Yang*, Z. Investment and financing for SMEs with a partial guarantee and jump risk. European Journal of Operational Research, 2016, 249: 1161-1168.
  17. Tan, Y.X., Yang*, Z.J. Contingent Capital, Capital Structure and Investment. North American Journal of Economics and Finance, 2016, 35: 56-73.
  18. Jiang*, Wuyuan, Yang, Zhaojun. The maximum surplus before ruin for dependent risk models through Farlie-Gumbel-Morgenstern copula. Scandinavian Actuarial Journal, 2016, (5): 385-397.
  19. Yang, Zhaojun, Zhang, Chunhong. The Pricing of Two Newly Invented Swaps in a Jump-Diffusion Model. Annals of Economics and Finance, 2015, 16(2): 371-392.
  20. Yang*, Zhaojun and Zhao, Zhiming, Valuation and Analysis of Contingent Convertible Securities with Jump Risk, International Review of Financial Analysis, 2015, 41: 124-135.
  21. Xiang, H., Yang*, Z. Investment timing and capital structure with loan guarantees. Finance Research Letters, 2015, 13: 179-187.
  22. Yang*, Zhaojun, Zhang, Chunhong. Two new equity default swaps with idiosyncratic risk. International Review of Economics and Finance, 2015, 37: 254–273.
  23. Wang, Huamao and Yang*, Zhaojun and Zhang, Hai, Entrepreneurial Finance with Equity-for-Guarantee Swap and Idiosyncratic Risk. European Journal of Operational Research, 2015, 241(3): 863-871.
  24. Song, Dandan and Yang*, Zhaojun, Utility-Based Pricing, Timing and Hedging of an American Call Option under an Incomplete Market with Partial Information. Computational Economics, 2014, 44(1): 1-26 (lead article).
  25. Jiang*, Wuyuan, Yang, Zhaojun, The expected discounted penalty function for two classes of risk processes perturbed by diffusion with multiple thresholds. Indian Journal of Pure and Applied Mathematics, 2014, 45(4): 479-495.
  26. Song, Dandan and Wang, Huamao and Yang*, Zhaojun, Learning, Pricing, Timing and Hedging of the Option to Invest for Perpetual Cash Flows with Idiosyncratic Risk. Journal of Mathematical Economics, 2014, 51: 1-11 (lead article).
  27. Zhaojun Yang*, Hai Zhang. Optimal capital structure with an equity-for-guarantee swap. Economics Letters, 2013, 118(2): 355-359.
  28. Wuyuan Jiang*, Zhaojun,Yang. The phase-type risk model perturbed by diffusion under a threshold dividend strategy. Acta Mathematicae Applicatae Sinica. 2013, 29(1): 215-224.
  29. Jiang, Wuyuan, Yang*, Zhaojun, Dividend Payments in a Risk Model Perturbed by Diffusion with Multiple Thresholds. Stochastic Analysis and Applications, 2013, 31(6): 1097-1113.
  30. Song, Dandan, Yang, Jinqiang and Yang*, Zhaojun, High-Water Marks and Hedge Fund Management Contracts with Partial Information. Computational Economics, 2013, 42(3): 327-350.
  31. Yang, Jinqiang and Yang*, Zhaojun. Arbitrage-Free Interval and Dynamic Hedging in an Illiquid Market. Quantitative Finance, 2013, 13(7): 1029-1039.

CONFERENCES AND PRESENTATIONS since 2015

  1. ICOs and SME Financing, 2019 Workshop on FinTech and Blockchain.  Hosted by the govermment of Wuhu city and Anhui University of Engineering, Wuhu, China, Invited Talk, December 7th, 2019 
  2. The Asian option pricing by a machine learning method, The 6th Beihang IEB Forum---Frontiers in Theory and Practice of FinTech, Invited Talk,  Nov. 9, 2019
  3. Investment and Asset Securitization with an Option-for-guarantee Swap. 2019 EFMA Annual Meeting, U. of Azores, Portugal, 2019/6/26
  4. Machine learning solutions to challenges in finance: An application to the pricing of financial products. invited speech, Annual Conf of Quant Finance and Insurance Branch of Chinese Society of Optimization, Overall Planning and Econimical Mathematics, in Hulun Buir, China, July 24-26, 2019
  5. The learning, timing and pricing of the option to invest with guaranteed debt and asymmetric information. Ninth Annual Conference of FEFRM Branch of OR Society of China, Shanghai, CN August 29-30, 2019
  6. Investment and financing with insured debt and information asymmetry. Invited Talk at Central South University, CN, June 3, 2019
  7. Investment and financing with insured debt and information asymmetry. Invited Talk at Wuhan University, CN, May 21, 2019
  8. Luo, Pengfei and Yang, Zhaojun*, Investment and Financing for Cash Flow Discounted with Group Diversity. Available at SSRN: https://ssrn.com/abstract=3078631, INFORMS 2018 Annual Meeting in Phoenix, AZ, USA, Nov. 4-7, 2018
  9. Luo, Pengfei and Yang, Zhaojun*, Investment and Financing for Cash Flow Discounted with Group Diversity. Available at SSRN: https://ssrn.com/abstract=3078631. Keynote Speech, the Sixth Asian Quantitative Finance Conference (AQFC2018), Sun Yat-sen University (SYSU), Guangzhou, China, Nov. 17-19, 2018.
  10. Luo, Pengfei and Tian, Yuan and Yang*, Zhaojun, Option Games with Time-Inconsistent Preferences (May 15, 2018). Available at SSRN: https://ssrn.com/abstract=3179275 or http://dx.doi.org/10.2139/ssrn.3179275. Semifinalist for Best Paper Award at FMA Annual Meetings, 2018.
  11. Tang, Xiaolin and Yang, Zhaojun, Investment and asset securitization with an option-for-guarantee swap. Available at SSRN: https://ssrn.com/abstract=2895593 or http://dx.doi.org/10.2139/ssrn.2895593. Invited Talk, Twelfth Annual Risk Management Conference, National University of Singapore, 2018. 
  12. Tang, Xiaolin and Yang, Zhaojun, Investment and asset securitization with an option-for-guarantee swap. Available at SSRN: https://ssrn.com/abstract=2895593 or http://dx.doi.org/10.2139/ssrn.2895593. Invited Talk, the 14th annual conference of the Asia-Pacific Association of Derivatives, held by Korean Derivatives Association (KDA) in Busan, Korea on July 9-10, 2018.
  13. Luo, Pengfei and Tian, Yuan and Yang*, Zhaojun, Option Games with Time-Inconsistent Preferences (May 15, 2018). Available at SSRN: https://ssrn.com/abstract=3179275. Keynote Speech, Eighth Annual Conference of FEFRM Branch of OR Society of China, Xi'an, CN. August 25-26, 2018.
  14. Government Guarantee and SMEs Financing. Keynote Report, 2017 Forum of Financial Engineering and Risk Management, Sun Yat-sen University, CN, November 24-26, 2017
  15. Investment and financing for cash flow discounted with group diversity. Invited Talk, Lingnan College, Sun Yat-sen University, CN, November 24, 2017
  16. Government Guarantee and SMEs Financing. 2017 Forum of Innovation from Combining Technique with Finance, Invited Talk, Guangdong University of Finance, November 4, 2017.
  17. Investment and financing for cash flow discounted with group diversity. Invited Talk, Chu Hai College of Higher Education, HK,October 4, 2017
  18. Pricing equity and contingent convertibles with idiosyncratic risk. The 26th European Financial Management Association (EFMA) conference, the Deree-The American College of Greece Gravias St., Aghia Paraskevi 15342, Athens, Greece, June 28 - July 1, 2017.
  19. Pricing equity and contingent convertibles with idiosyncratic risk(Invited Talk), Hunan Institute of Science and Technology, Yueyang, June 19, 2017.
  20. The stock-based incentive compensation for a time-inconsistent manager in a real options framework. 2017 2nd Applied Financial Modelling conference, Melbourne, 2nd-3rd February 2017.
  21. Optimal investment and financing with macroeconomic risk and an equity-for-guarantee swap. 58th CORS Annual Conference, Banff, Alberta, Canada, May 30 - June 1, 2016.
  22. Investment, option-for-guarantee, financing, and asset securitization. Keynote Report, 2016 Forum of Financial Mathematics and Financial Engineering Program in China, November 17-20, 2016.
  23. The pricing of two newly invented swaps in a jump-diffusion model. Hunan University International Financial Engineering Conference, 10-11 January, 2015, Changsha, China.
  24. Growth option, contingent capital and agency conflicts. The 5th International Conference of the Financial Engineering and Banking Society, 11-13 June, 2015, Nantes, France.
  25. A new contingent convertible security with jump risk. The International Work- shop on Markov Processes and Stochastic Models, 23-25 June, 2015, Changsha, China.
  26. Investment and financing for SMEs with a partial guarantee and jump risk. 2015 Asian Finance Association Annual Meeting, 29 June - 1 July, 2015, Changsha, China.
  27. Contingent Capital, Capital Structure and Investment. 2015 Asian Finance Association Annual Meeting, 29 June - 1 July, 2015, Changsha, China.
  28. A new contingent convertible security with jump risk. Tianfu Workshop on Financial Mathematics, 3-5 July, 2015, Chengdu, China.
  29. Contingent capital with repeated inter-conversion between debt and equity. International Conference of Credit Risk Management, 27 December, 2015, Beijing.

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