Jiaxuan Ye

CONTACT INFORMATION
Department of Mathematical Sciences Email: jye@wpi.edu
Worcester Polytechnic Institute Tel: +1(857)210-5355
100 Institute Road, WPI - Stratton Hall, Personal Website:
Worcester, MA, US, 01609 https://jiaxuanye.weebly.com

EDUCATION
Ph.D., Mathematical Sciences, Worcester Polytechnic Institute, Worcester, MA 2016-2022(expected)
M.S., Mathematical Finance, Boston University, Boston, MA 2014-2016
B.A., Mathematical Economics, Fudan University, Shanghai, China 2010-2014

FIELDS OF INTEREST
Stochastic Control, Mean Field Game, Game Theory, Mathematical Finance

WORKING PAPERS
“Mutual Funds' Competition for Investment Flows based on Relative Performance”, (with Gu Wang), preprint
“Regime Switching Mean Field Games with Quadratic Costs”, (with Jiamin Jian, Qingshuo Song, and Peiyao
Lai), preprint
“Optimal Tax Rate for Tax Havens”, (with Stephan Sturm and Gu Wang), preprint

ACDEMIC PROJECTS
Mutual Funds' Competition for Investment Flows based on Relative Performance
Abstract: N mutual funds compete for fund flows based on relative performance over their average returns, by
choosing between an idiosyncratic and a common risky investment opportunities. The unique constant
equilibrium is derived in closed form, which implies that funds generally decrease the investments in their
idiosyncratic risky assets under competition, in order to lower the risk of the relative performance. It pushes all
funds to herd and hurts their after-fee performance. However, the sufficiently disadvantaged funds with poor
idiosyncratic investment opportunities or highly risk averse managers may take excessive risk for a better chance
of attracting new investments, and their performance may improve comparing to the case without competition
and benefits the investors.

Regime Switching Mean Field Games with Quadratic Costs

Abstract: This paper studies Mean Field Games with a common noise given by a continuous time Markov chain
under a Quadratic cost structure. The theory implies that the optimal path under the equilibrium is a Gaussian
process conditional on the common noise. Interestingly, it reveals the Markovian structure of the random
equilibrium measure flow, which can be characterized via a deterministic finite dimensional system.

Optimal Tax Rate for Tax Havens

Abstract: Policy makers of Tax havens choose the optimal tax rate while the fund managers choose the optimal
portfolios to maximize both of their profits. The optimal tax rate and unique portfolios are derived for one policy
maker and one representative fund, which justify the optimality of low tax rates. Moreover, with one policy maker
but N funds competing based on the terminal relative performances, there exist multiple Nash equilibria and a
unique Pareto optimal equilibrium, based on which, low tax rates ensure the policy makers to have a larger base
to tax on.
 Better Financial Intermediaries, Lower Economic Growth
Abstract: Combining the OLG Model and the Diamond-Dybvig Model, I conclude the positive relationship
between financial market and economic growth. Decreases in transaction costs cause decreases in equilibrium
outputs. Meanwhile, there exists a minimum point in equilibrium output with markets with imperfect competitions
in banks. The counterintuitive result is caused by wealth effect and substitution effect.

CONFERENCE AND SEMINAR PRESENTATIONS

Financial Mathematics and Stochastic Analysis Seminar, WPI, MA, US 2019
Math/Stat PhD Student Seminar (poster), WPI, MA, US 2019
SIAM Conference on Financial Mathematics & Engineering, University of Toronto, Ontario, Canada 2019
Graduate Research Innovation Exchange, WPI, MA, US 2020
AMS Spring Central Sectional Meeting, Online 2021
SIAM Annual Meeting, Online 2021
Math Finance Colloquium, USC, CA, US 2021

TEACHING EXPERIENCE
Instructor:
• Calculus II Summer 2019
• In-class and online sections.
• Designed and organized the course and materials, including syllabus, lecture notes,
homework, exams, etc.
• Held classes and office hours for both online and in-class students, and organized
exams on Campus, online and through proctoring centers.
Teaching Assistant:
• Calculus, Probability for Applications, Differential Equations, Matrices and Linear
Undergraduate
Algebra, Mathematical Modelling with Ordinary Differential Equations, Applied Statistics
• Linear Algebra, Statistical Methods for Finance Graduate
• Coordinated with all TAs, and distributed works among TAs.
• Graded homework, quizzes and exams.
• Held office hours, review sessions and classes.
• Designed part of class materials and homework questions.

TRAVEL AWARD
Travel Fund to Fields-Western Summer School on Topological Data Analysis for Banking and
2018
Finance ($700)
Travel Fund Award to Institute for Mathematics and its Applications (IMA) workshop on Stochastic
2018
Control, Computational Methods, and Applications ($700)
WPI Graduate Travel Fund Award ($750) 2019

MEMBERSHIP
American Mathematical Society (AMS)
Society for Industrial and Applied Mathematics (SIAM)

SKILLS
Software: Matlab, R, Python, C++, LaTeX, MS Office.
Language: English, Chinese (native).