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@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 and Applied Mathematics, July 1996

Work University of North Carolina at Charlotte, August 2004 - present, Assistant Professor (tenure track position)

Experience

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

Swiss Federal Institute of Technology Zurich (ETH), Zurich, Switzerland, November 10 - December 8, 2007 and 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 Joint work with Jing Li, Minimizing conditional Value-at-Risk under constraint on expedcted value, preprint, 2009

Infinite horizon optimal search problem with hiring and firing options, preprint, 2009

Joint work with Jing Li, Risk minimizing portfolio optimization and hedging with conditional Value-at-Risk, Review of Futures Markets, 16, 471-506, 2008

Joint work with Lloyd Blenman, Joint ventures, risk sharing and optimal contract design, preprint, 2009

Joint work with Libor Pospisil, Jan Večeř, Tradable measures of risk, preprint, 2007

Joint work with Kiseop Lee, Parameter estimation from multinomial trees to jump diffusions with K means clustering, RISK, 21, 82-86, 2008

Joint work with Lloyd Blenman, Joint ventures and risk sharing, Journal of Business and Entrepreneurship, 21, 96-107, 2009

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

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

Supervisedby Steven Shreve, Minimizing shortfall risk using duality approach - an application to partial hedging in incomplete markets, Ph.D. thesis, 2004

Colloquium Bachelier Finance Society 5th World Congress, London, July 15-19, 2008

and

Conference Convegno PRIN, Metodi Stocastici in Finanza, Turin, Italy, July3-5, 2008

Talks

NSF/CBMS Regional Conference on Convex Duality Method in Mathematical Finance, University of California Santa Barbara, June 22-27, 2008

AMS 2008 Spring Central Section Meeting, University of Indiana, April 5-6, 2008

32nd SIAM Southeaster-Atlantic SectionConference, University of Central Florida, March 14-15, 2008

MidWest Finance Association 57th Annual Meeting, San Antonio, February 27-March 1, 2008

Università di Roma TorVergata, Roma, Italy, November 9, 2007

University of Louisville, April 7, 2007

PRMIA (Professional Risk Managers’ International Association) Event, Charlotte Chapter, April 2, 2007

University of Michigan, Ann Arbor, December7, 2006

Università degli Studi di Padova, Padova,Italy, July 18, 2006

Università degli Studi di Perugia, Perugia, Italy, July 12, 2006

Risk Measurement and Control Summer School, Swiss Institute of Rome, Italy, June 20-28, 2006

AMS 2006 Spring Southeastern Meeting, Florida International University, Miami, April 1-2, 2006

University of Texas at Austin, Austin, March 10, 2006

Bachelier Seminar, Institut HenriPoincaré, Paris, France, January 13, 2006

SAMSI Financial Mathematics, Statistics and Econometrics 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, June16, 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

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

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

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

Honors and John H. Biggs Faculty Fellowship, University of North Carolina at Charlotte, 2007, total amount: $7,000

Awards

National Science Foundation (NSF) grant from Decision, Risk and Management Science Program (SES-0518869), August 15, 2005 - July 31, 2008, total amount: $67,287

SAMSI new researcher fellowship (NSF), September - December 2005, total amount: $20,000

Advisor JingLi, Ph.D. candidate, UNC-Charlotte

Risk minimizing portfolio optimizaiton and hedging with conditional Value-at-Risk

LihongXia,Ph.D. candidate, UNC-Charlotte

StephanieBosak, Honors Senior Thesis, UNC-Charlotte, 2007

Simulation based testing for compliance under FAS133 - accounting for derivative instruments and hedging activities

Mayo Suzuki, Senior Project, UNC-Charlotte, 2005

Social security – are private accounts good ideas?