Yajun Xiao

Lecturer/Assistant Professor

School Of Business
Graduate School of Business
Carysfort Avenue, Blackrock
Co. Dublin

Tel: +353 1 7168074


Dr Yajun Xiao obtained his Ph.D in Finance from the Geothe University Frankfurt and Diplom (master equiv.) in Mathematics from University of Kaiserslautern. He completed his undergraduate study in Tongji University, China. Prior to joining UCD, Yajun was a lecturer in Finance at the University of Technology, Sydney and a postdoc at the University of Freiburg.

Yajun research interests are in capital structure and maturity mismatch arising from corporate financing, systmic risk in banking system, asset pricing with market frictions. His research also focuses on other topics in quantitative finance. He has published papers in Review of Finance, European Financial Management, Advances in Applied Probability and Quantitative Finance, etc. 




Year 2009 Institution: Johann Wolfgang Goethe Uni
Qualification: PhD Subject: Finance
Year 2005 Institution: University of Kaiserslautern
Qualification: Master of Science Subject: Mathematics



Book Chapters

C-O. Ewald and Y. Xiao and Z. Yang and T. K. Siu (2012) 'Malliavin differentiability of a class of Feller-diffusions with relevance in finance - A Festschrift in Honor of Robert J Elliott' In: Samuel N Cohen, Dilip Madan, Tak Kuen Siu, Hailiang Yang (eds). Advances in statistics, probability and actuarial science. Hongkong: World Scientific Publishing Company. , pp.41-51 [Details]
E. Luetkebohmert-Holtz and Y. Xiao (2016) 'Collateralized Borrowing and Default Risk' In: Kallsen, Jan and Papapantoleon, Antonis (eds). Advanced Modelling in Mathematical Finance: In Honour of Ernst Eberlein. Germany: Springer International Publishing. , pp.167-187 [Details]

Peer Reviewed Journals

P. Carr and C-O. Ewald and Y. Xiao (2008) 'On the qualitative effect of volatility and duration on prices of Asian options'. Finance Research Letters, 5 (3):162-171. [Details]
Z. Yang and C-O Ewald and Y. Xiao (2009) 'Implied volatility from Asian options via Monte Carlo methods'. International Journal of Theoretical and Applied Finance, 12 (02):153-178. [Details]
C-O. Ewald and Y. Xiao (2011) 'Information: price and impact on general welfare and optimal investment. An anticipative stochastic differential game model'. Advances in Applied Probability, 43 (01):97-120. [Details]
G. Liang and E. Luetkebohmert and Y. Xiao (2014) 'A multiperiod bank run model for liquidity risk'. Review of Finance, 18 (2):803-842. [Details]
Eva. L and O. Daniel and Y. Xiao (2017) 'Endogenous credit spreads and optimal debt financing structure in the presence of liquidity risk'. European Financial Management, 23 (1):55-86. [Details]
X. He and E. Luetkebohmert and Y. Xiao (2017) 'Rollover risk and credit risk under time-varying margin'. Quantitative Finance, 17 (3):455-469. [Details]

Conference Publications

C-O. Ewald and Y. Xiao (2007) Optimal portfolios in a competing-insiders market: An anticipative stochastic differential game model The 2nd International Conference on Game Theory and Application [Details]
E. Luetkebohmert and G. Liang and Y. Xiao (2011) Quantification of liquidity risk in a two-period model Actuarial and Financial Mathematics Conference Interplay between finance and insurance [Details]


Research Interests

Systemic risk and banking system fragility, corporate financing and capital structure, asset pricing with market frictions  



Modules Coordinated

201700   FIN40160     Finance: Derivative Securities
201700   FIN30160     Finance: Financial Economics II

Discover our Rankings and Accreditations