Mingxin Xu

I am a Ph.D student in Mathematical Finance at Department of Mathematical Sciences, Carnegie Mellon University. Here is my resume.
  • How to reach me:
    • Mailing Address: Department of Mathematical Sciences 

    		Carnegie Mellon University

    		5000 Forbes Avenue

    		Pittsburgh, PA 15213
    Visiting address: Wean Hall, room 6205
    Phone: (412) 268-5190
    Email: mxu@andrew.cmu.edu
  •  Publications:
    • "Risk measure pricing and hedging in incomplete markets", to appear in Annals of Finance. 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.

    Joint work with Jan Vecer, "Pricing Asian options in a semimartingale model", Quantitative Finance, 4, 170-175. Here is the PDF file.

    Joint work with Jan Vecer, "Mean comparison theorem cannot be extended to Poisson case, to appear in Journal of Applied Probability, 41, 4, 2004. Here is the PDF file.

    Joint work with Jan Vecer and Olympia Hadjiliadis, "Risk minimization control for beating the market strategies", submitted, 2003. Here is the PDF file.
    Last update: March 18, 2004