Mingxin Xu

Assistant Professor

Department of Mathematics and Statistics

University of North Carolina at Charlotte

Office: Fretwell 340C, 704-687-3870

Email: mxu2@uncc.edu

For my resume, click what did she do?

I am teaching two courses in the spring semester of academic year 2009:

MATH 1241: Calculus I

MATH6203/MATH 8203: Stochastic Calculus for Finance

My office hours are: Tuesday 4-5pm, Friday 11am-noon

My research interest in mathematical finance includes risk measures, risk minimization, and incomplete market derivative pricing and hedging. The mathematical models under study are built upon stochastic processes which range from Brownian motion, jump processes to semimartingales. Convex duality methods are often employed to find solutions. More recently, I have worked on some optimal stopping problems, as well as parameter estimation for continuous-time jump processes through weak convergence. Here are selected publications and preprints. To view a more extensive version, click show me the abstracts.

• Joint work with Jing Li, "Minimizing conditional Value-at-Risk under constraint on expected value", preprint, 2009. Here is the PDF file.

• "Infinite horizon optimal search problem with hiring and firing options", preprint, 2009. Here is the PDF file.

• Joint work with Jing Li, "Risk minimizing portfolio optimization and hedging with conditional Value-at-Risk", Review of Futures Markets, 16, 471-506, 2008. Here is the PDF file.

• Joint work with Lloyd Blenman, "Joint ventures, risk sharing and optimal contract design", preprint, 2009. Here is the PDF file.

• Joint work with Lloyd Blenman, "Joint ventures and risk sharing", Journal of Business and Entrepreneurship, 21, 96-107, 2009. Here is the PDF file.

• Joint work with Libor Pospisil and Jan Vecer, "Tradeable measure of risk", preprint, 2007. Here is the PDF file.

• Joint work with Kiseop Lee, "Parameter estimation from multinomial trees to jump diffusions with K means clustering", Risk, 21, 82-86, 2008. Here is the PDF file.

• Joint work with Masahiko Egami, "A continuous-time search model with job switch and jumps", to appear in Mathematical Methods of Operations Research, 2008. 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.