Jinping Yu
Zhejiang University
9 Papers
24 Citations
Jinping Yu is an academic researcher from Zhejiang University. The author has contributed to research in topics: China & Variance-gamma distribution. The author has an hindex of 3, co-authored 6 publications.
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Papers
Portfolio optimization with CVaR under VG process
TL;DR: The approach for portfolio optimization by introducing Levy processes focuses on describing the dynamics of assets' log price with Variance Gamma copula (VGC) rather than GC, which is suitable for any investment companies.
16
Pricing model of interest rate swap with a bilateral default risk
TL;DR: It is found that for a one year interest rate swap with the coupon paid per quarter, the variance of the default fixed rate payer decreases from 0.1 to 0.01 only causing about a 1.35% increase in the swap rate.
7
Does dialect difference impede patent transaction? Evidence from China's inter-city patent license data
Xiaokang Wu,Jinping Yu +1 more
TL;DR: In this article , the authors leverage the dialect difference among China's cities to identify the impact of transaction cost on patent licensing and find that the effect of the difference in the distance between two cities is independent of Putonghua popularity.
6
Pricing Convertible Bond with Call Clause in Exponential Variance Gamma Model
Jinping Yu,Xiaofeng Yang,Shenghong Li,Xiaohu Yang +3 more
- 24 Jul 2009
TL;DR: This paper gets the pricing framework of the convertible bond with call clause in exponential variance gamma (EVG) model rather than the classical Black-Scholes (BS) model, and concludes that the difference of prices is insignificantly and the optimal stopping strategies are exactly the same.
3
Pricing permanent convertible bonds in EVG model
TL;DR: In this article, the authors apply the Exponential Variance Gamma (EVG) model into the pricing framework of permanent convertible bonds with call clause and obtain an explicit solution to the bond price and optimal stopping strategies.
3