Ying Jiao

An efficient shared socioeconomic pathways-based methodology for assessing climate risks of a large credit portfolio

Florian Bourgey, Emmanuel Gobet, Ying Jiao

us, fr (code pays fourni par la source)

Full-Speed Range Sensorless Control Strategy of High-Power PMSM for Ship Propulsion Systems

Chengjing Yu, Fengjiang Wu, Jiaze Pan, Ying Jiao et autres

To address the low reliability of mechanical position sensors in high-power marine electric propulsion systems and the insufficient bandwidth of traditional sensorless algorithms caused by the limited switching frequency of large-capacity inverters, this paper proposes a full-speed range sensorless control strategy for …

cn (code pays fourni par la source)

Optimal carbon emissions mitigation plan for a company under a transition scenario

Elisa Ndiaye, Antoine Bezat, Emmanuel Gobet, Céline Guivarch et autres

fr (code pays fourni par la source)

Optimal portfolio choice with ESG considerations and asymmetric information

Ying Jiao, Haibo Liu

We study portfolio optimization problems incorporating environmental, social, and governance (ESG) factors for three types of investors, namely brown investors who care only about their wealth, green investors who prefer assets with high ESG ratings, and mixed investors who take a position …

fr, us (code pays fourni par la source)

Too Sensitive to Fail: The Impact of Sentiment Connectedness on Stock Price Crash Risk

Jie Cao, Guoqing He, Ying Jiao

Using a sample of S&P 500 stocks, this paper examines the investor sentiment spillover network between firms and assesses how the sentiment connectedness in the network impacts stock price crash risk. We demonstrate that firms with higher sentiment connectedness are more likely …

cn (code pays fourni par la source)

Well-posedness of a system of SDEs driven by jump random measures

Ying Jiao, Nikolaos Kolliopoulos

We establish well-posedness for a class of systems of SDEs with non-Lipschitz coefficients in the diffusion and jump terms and with two sources of interdependence: a monotone function of all the components in the drift of each SDE and the correlation between …

fr, us (code pays fourni par la source)

Bridging socioeconomic pathways of $$\textrm{CO}_2$$ emission and credit risk

Florian Bourgey, Emmanuel Gobet, Ying Jiao

fr, us (code pays fourni par la source)

Dynamic Bivariate Mortality Modelling

Ying Jiao, Yahia Salhi, Shihua Wang

fr, cn (code pays fourni par la source)

Optimal Asset Allocation Subject to Withdrawal Risk and Solvency Constraints

Areski Cousin, Ying Jiao, Christian Y. Robert, Olivier Zerbib

This paper investigates the optimal asset allocation of a financial institution whose customers are free to withdraw their capital-guaranteed financial contracts at any time. In accounting for the asset-liability mismatch risk of the institution, we present a general utility optimization problem in …

fr, us (code pays fourni par la source)

Existence of solutions to a system of SDEs with mean-field drift and jump random measures

Ying Jiao, Nikolaos Kolliopoulos

We study the well-posedness of a system of multi-dimensional SDEs which are correlated through a non-homogeneous mean-field term in each drift and also by driving Brownian motions and jump random measures. Supposing the drift coefficients are non-Lipschitz, we prove for the system …

Optimal Asset Allocation Subject to Withdrawal Risk and Solvency Constraints

Areski Cousin, Ying Jiao, Christian P. Robert, Olivier Zerbib

International audience

fr (code pays fourni par la source)

The Alpha‐Heston stochastic volatility model

Ying Jiao, Chunhua Ma, Simone Scotti, Chao Zhou

Abstract We introduce an affine extension of the Heston model, called the ‐Heston model, where the instantaneous variance process contains a jump part driven by ‐stable processes with . In this framework, we examine the implied volatility and its asymptotic behavior for …

fr, cn, sg, hk (code pays fourni par la source)