Mingxin Xu

Office address:

Department of Mathematics and Statistics

University of North Carolina at Charlotte

Charlotte, NC 28223, U.S.A.

Telephone: (704)-687-3870

Email: mxu2@email.uncc.edu

Education Carnegie Mellon University, Pittsburgh, PA

Ph.D. in Mathematical Finance, May 2004

Thesis adviser: Steven Shreve

M.S. in Mathematical Sciences, May 1999

Syracuse University, Syracuse, NY

M.S. in Mathematics, May 1998

Specializations: Probability/Statistics and Numerical Analysis

Shanghai Jiao Tong University, Shanghai, China

B.S. in Electrical Engineering, July 1996

Minor: Applied Mathematics

Work University of North Carolina at Charlotte, August 2004 – present,

Experience Assistant Professor (tenure track position).

Statistical and Applied Mathematical Sciences Institute (SAMSI), September – December 2005, New Resercher Fellow.

Swiss Federal Institute of Technology Zurich (ETH), Zurich, Switzerland, May 15 – June 30, 2005, Visiting Scholar.

Bank of America, June – December 2000, Internship at Quantitative Finance Department: pure-jump processes modeling for option pricing and hedging, quantitative support for trading group.

Publications “Risk measure pricing and hedging in incomplete markets”, Annals of Finance, 2, 51-71, 2006.

Joint work with Jan Večeř, “Pricing Asian options in a semimartingale model”, Quantitative Finance, 4, 170-175, 2004.

Joint work with Jan Večeř, “Mean comparison theorem cannot be extended to Poisson case”, Journal of Applied Probability, 41, 1199-1202, 2004.

Joint work with Steven Shreve, “Minimizing shortfall risk using duality approach – an application to partial hedging in incomplete markets”, Ph.D. thesis, 2004.

Joint work with Jan Večeř and Olympia Hadjiliadis, “Risk minimization control for beating the market strategies”, working paper, 2004.

Invited Bachelier Seminar, Institut Henri Poincaré, Paris, France, Jan. 13, 2006.

Talks

SAMSI Financial Mathematics, Statistics and Econemetrics Kickoff Tutorials and Workshops, Research Triangle Park, North Carolina, September 18-21, 2005.

13th INFORMS Applied Probability Conference, Ottawa, Canada, July 6-8, 2005.

University of Munich, Munich, Germany, June 16, 2005.

Swiss Federal Institute of Technology Zurich (ETH), Zurich, Switzerland, May 19, 2005.

Boston University, Boston, November 19, 2004.

QuantCongress, New York, November 1-2, 2004.

6th Columbia-JAFEE Conference on The Mathematics of Finance, Columbia University, New York, October 8-9, 2004.

North Carolina State University, Raleigh, September 24, 2004.

5th Columbia-JAFEE Conference on The Mathematics of Finance, Columbia University, New York, April 5-6, 2002.

Conference Bachelier Finance Society 3rd World Congress, Chicago, July 21-24, 2004.

Presentation

Bachelier Finance Society 2nd World Congress, Crete, Greece, June 12-15, 2002.

Honors and National Science Foundation (NSF) grant from Decision, Risk and

Awards Management Science Program (SES-0518869), August 15, 2005-July 31, 2007, total amount: $67,287.

Refereed Applied Mathmatical Finance.

Journals

International Journal of Theoretical and Applied Finance.

Journal of Banking and Finance.

Advisership Jing Li, Ph.D. candidate, UNC-Charlotte.

Mayo Suzuki, Senior Project, UNC-Charlotte, 2005. “Social security – are private accounts good ideas?”

References Steven Shreve (thesis advisor), Carnegie Mellon University, Department of Mathematical Sciences, Pittsburgh, PA 15213, U.S.A. Telephone: (412) 268-8484

Email Address: shreve@andrew.cmu.edu

David Heath, Carnegie Mellon University, Department of Mathematical Sciences, Pittsburgh, PA 15213, U.S.A.

Telephone: (412) 268-2548

Email Address: heath@andrew.cmu.edu

Alexander Melnikov, University of Alberta, Department of Mathematical and Statistical Sciences, Edmonton, AB T6G 2G1, Canada.

Telephone: (780) 492-3396

Email Address: melnikov@ualberta.ca

Jan Večeř, Columbia University, Department of Statistics, New York, NY, U. S. A.

Telephone: (212) 851-2145

Email Address: vecer@stat.columbia.edu