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Dr. Mingxin Xu
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My Course for Spring, 2006:
- Math 6203-U90, Uptown Campus, T 5:30-8:20PM
- Math 1241-010, Smith 306, TR 11:00-12:20PM
My Course for Spring, 2005:
- Math 6203, Section 001, Denny 216, TR 12:30PM-1:50PM
- Math 1241, Section 009, Denny 109, TR 9:30AM-10:50AM
My Course for Fall, 2004:
- Math 1242, Section 007, Smith 219, TR 12:30PM-1:50PM
Research & Publications:
My research interest is mainly in mathematical finance.
· Joint
work with Jing Li, "Risk minimizing portfolio optimization and hedging
with conditional Value-at-Risk", submitted, 2008. Here is
the PDF file.
- Joint work with Libor Pospisil and Jan Vecer, "Tradable measure of risk", submitted, 2007. Here is the PDF file.
- Joint work with Kiseop Lee, "Parameter estimation from multinomial trees to jump diffusions with K means klustering", submitted, 2007. Here is the PDF file.
- Joint work with Masahiko Egami, "A continuous-time search model with job switch and jumps", submitted, 2007. Here is the PDF file.
- "Risk
measure pricing and hedging in incomplete markets", Annals of
Finance, 2, 51-71, 2006. Here
is the PDF file.
- Joint
work with Jan Vecer, "Pricing Asian options in a semimartingale
model", Quantitative Finance, 4, 170-175, 2004. Here is the PDF file.
- Joint
work with Jan Vecer, "Mean comparison theorem cannot be extended to
Poisson case, Journal of Applied Probability, 41, 4, 1199-1202, 2004. Here
is the PDF file.
- Joint
work with Steven Shreve, "Minimizing shortfall risk using duality
approach - an application to partial hedging in incomplete markets",
Ph.D. thesis, 2004. Here is the PDF
file.