Huang, Jingzhi (Jay) David H. McKinley Professor of Business Administration and Associate Professor of Finance Joined Smeal 1997 350 Business Building Smeal College of Business Penn State University University Park, PA 16802 (814) 863-3566 (tel) (814) 865-3362 (fax) jxh56@psu.edu www.personal.psu.edu/jxh56

Education:

• Ph.D.  Finance                         New York University
• Ph.D.  Physics                         Auburn University
• B.S.   Theoretical Physics         University of Science & Technology of China

Experience:

• Smeal College of Business, Penn State University, July 1997 - Present.
  • David H. McKinley Professor of Business Administration and Associate Professor of Finance, July 2007 - Present.
  • Associate Professor of Finance, Smeal College of Business, Penn State University, July 2004 - Present.
  • Assistant Professor of Finance, Smeal College of Business, Penn State University, August 1997 - June 2004.
• Visiting Assistant Professor of Finance, Stern School of Business, New York University, September 2002 - June 2003.
• Part-time consultant, J.P. Morgan, August 1994 - October 1995.

Teaching:

• Security Analysis and Portfolio Management
• Theory of Valuation

Research Interests:

• Derivatives markets
• Credit risk
• Fixed-income markets

Publications:

• "The Slope of Credit Spread Curves" (with Xiongfei Zhang), 2008, forthcoming Journal of Fixed Income
• "Determinants of S&P 500 Index Option Returns" (with Charles Cao), 2007, forthcoming Review of Derivatives Research
• "When Does Strategic Debt-Service Matter?" (with Viral Acharya, Marti Subrahmanyam and Rangarajan Sundaram), Economic Theory, 2006, 363-378. | [PDF]
• "Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes," (with Liuren Wu), Journal of Finance, 2004, 59, 1405-1439 (June). | [PDF]
• "Structural Models of Corporate Bond Pricing: An Empirical Analysis," (with Young Ho Eom and Jean Helwege), Review of Financial Studies, 2004, 17, 499-544. | [PDF]
• "Explaining Credit Spread Changes: New Evidence from Option-Adjusted Bond Indexes" (with Weipeng Kong), Journal of Derivatives, 2003, 11, no. 1, 30-44. | [PDF] | [WP version]
• "A Note on Forward Price and Forward Measure" (with Ren-Raw Chen), 2002. Review of Quantitative Finance and Accounting, 19, 261-272. | [PDF]
• "The Valuation of American Barrier Options Using the Decomposition Technique," (with Bin Gao and Marti Subrahmanyam), Journal of Economic Dynamics and Control, 2000, pp. 1783-1827 | [PDF]
• "Pricing and Hedging American Options: A Recursive Integration Method," (with Marti Subrahmanyam and George Yu), Review of Financial Studies, 1996, pp. 277-300 | [PDF]
• "Dimension of Strange Attractors in Four-dimensional Maps," (with Kwok Yeung Tsang and James Hanson), Physics Letters A, 1990, 147, pp. 269-274.

Recent Working Papers:

• "Specification Analysis of Structural Credit Risk Models" (with Hao Zhou (Federal Reserve)), 2007
• "How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk?" (with Ming Huang (Stanford)), 2003. | [PDF] (under revision).
  
• "Macroeconomic News Announcements and Corporate Bond Credit Spreads" (with Weipeng Kong (Bear Stearns), 2003 | [PDF]
• "An Econometric Model of Credit Spreads with Rebalancing, ARCH, and Jump Effects," (with Herman Bierens (Penn State) and Weipeng Kong (Bear Stearns)), 2003 | [PDF]
• "A Model of the Optimal Capital Structure with Stochastic Interest Rates" (with Nengjiu Ju (Maryland) and Hui Ou-Yang (Duke)), 2003.
  (under revision for resubmission to Management Science ) | [PDF]
• "Credit Spread Bounds and Their Implications for Credit Risk Modeling" (with Ren-Raw Chen (Rutgers)), 2002. | [PDF] (under revision).