Hao Xing

Associate Professor, Finance Faculty Director, MSMFT Program
    Publications
  • Detemple, J., Xing, H. (2020). "Optimal Dynamic Contracts with Environmental, Social and Governance Criteria",
  • Maenhout, P., Vedolin, A., Xing, H. (2020). "Generalized Robustness and Dynamic Pessimism",
  • Matoussi, A., Xing, H. (2018). "Convex duality for Epstein-Zin stochastic differential utility", Mathematical Finance
  • Cvitanic, J., Xing, H. (2018). "Equilibrium asset pricing under optimal contracts", Journal of Economic Theory, 173 142-180
  • Xing, H., Zitkovic, G. (2018). "A class of globally solvable Markovian quadratic BSDE systems and applications", Annals of Probability, 46 (1), 491-550
  • Li, L., Xing, H. (2018). "Capital allocation under Fundamental Review of Trading Book", Risk
  • Cvitanic, J., Xing, H. (2018). "Asset pricing under optimal contracts", Journal of Economic Theory, 173 142-180
  • Cosso, A., Pham, H., Xing, H. (2017). "BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data", Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 53 (4), 1528-1547
  • Robertson, S., Xing, H. (2017). "Long-Term Optimal Investment in Matrix Valued Factor Models", SIAM Journal on Financial Mathematics, 8 (1), 400-434
  • Xing, H. (2017). "Consumption investment optimization with Epstein-Zin Utility in incomplete markets", Finance and Stochastics, 21 (1), 227-262
  • Xing, H. (2017). "Stability of the exponential utility maximization problem with respect to preferences", Mathematical Finance, 27 38-67
  • Guasoni, P., Muhle-Karbe, J., Xing, H. (2017). "Robust portfolios and weak incentives in long-run investments", Mathematical Finance, 27 (1), 3-37
  • Xing, H. (2017). "STABILITY OF THE EXPONENTIAL UTILITY MAXIMIZATION PROBLEM WITH RESPECT TO PREFERENCES", Mathematical Finance, 27 (1), 38-67
  • Robertson, S., Xing, H. (2015). "Large Time Behavior of Solutions to Semi-Linear Equations with Quadratic Growth in the Gradient", SIAM Journal on Control and Optimization, 53 (1), 185-212
  • Li, C., Xing, H. (2015). "Asymptotic Glosten--Milgrom Equilibrium", SIAM Journal on Financial Mathematics, 6 (1), 242-280
  • Guasoni, P., Kardaras, C., Robertson, S., Xing, H. (2014). "Abstract, classic, and explicit turnpikes", Finance and Stochastics, 18 (1), 75-114
  • Cetin, U., Xing, H. (2013). "Point process bridges and weak convergence of insider trading models", Electronic Journal of Probability, 18 (none)
  • Jena, R., Kim, K., Xing, H. (2012). "Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions", Stochastic Processes and their Applications, 122 (8), 2961-2993
  • Xing, H. (2012). "On backward stochastic differential equations and strict local martingales", Stochastic Processes and their Applications, 122 (6), 2265-2291
  • Bayraktar, E., Kardaras, C., Xing, H. (2012). "Strict local martingale deflators and valuing American call-type options", Finance and Stochastics, 16 (2), 275-291
  • Bayraktar, E., Kardaras, C., Xing, H. (2012). "Valuation Equations for Stochastic Volatility Models", SIAM Journal on Financial Mathematics, 3 (1), 351-373
  • Bayraktar, E., Xing, H. (2012). "Regularity of the Optimal Stopping Problem for Jump Diffusions", SIAM Journal on Control and Optimization, 50 (3), 1337-1357
  • Bayraktar, E., Xing, H. (2011). "Pricing Asian Options for Jump Diffusion", Mathematical Finance, 21 (1), 117-143
  • Bayraktar, E., Xing, H. (2010). "On the uniqueness of classical solutions of Cauchy problems", Proceedings of the American Mathematical Society, 138 (06), 2061-2064
  • Bayraktar, E., Xing, H. (2009). "Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions", Mathematical Methods of Operations Research, 70 (3), 505-525
  • Bayraktar, E., Xing, H. (2009). "Analysis of the Optimal Exercise Boundary of American Options for Jump Diffusions", SIAM Journal on Mathematical Analysis, 41 (2), 825-860
    Research Presentations
  • Xing, H. Radner equilibrium and systems of quadratic BSDEs with discontinuous generators, Informs 2020, 2020
  • Xing, H. Generalized robustness and dynamic pessimism, CMU Mathematical Finance seminar, 2020
  • Xing, H. Dynamic rationally inattentive discrete choice: a posterior-based approach, Informs, Seattle,, 2019
  • Xing, H. Epstein-Zin utility and its utility maximization, Berlin Mathematical Finance Seminar, 2018
  • Xing, H. Capital allocation under Fundamental Review of Trading Book, Bachelier Seminar, 2018
  • Xing, H. An example of continuous-time Radner equilibrium, Probability and Computational Finance Seminar, Carnegie Mellon University, 2018
  • Xing, H. Optimal contract with unobservable managerial hedging, Risk Analytics and Data Analysis Lab Semina, University of California, Berkeley, 2018
  • Xing, H. Capital allocation under Fundamental Review of Trading Book, Mathematical Finance Colloquia, University of Southern California, 2018