Hao Xing

Associate Professor, Finance Faculty Director, MSMFT Program
    Publications
  • Kardaras, C., Xing, H., Zitkovic, G. (In Press). "Incomplete Stochastic Equilibria with Exponential Utilities: Close to Pareto Optimality", Stochastic Analysis, Filtering, and Stochastic Optimization: A Commemorative Volume to Honor Mark H. A. Davis's Contributions
  • Kakhbod, A., Reppen, A., Umar, T., Xing, H. (2023). "Cash Policies and Firm Size", Available at SSRN
  • Huang, Y., Ju, N., Xing, H. (2022). "Performance evaluation, managerial hedging and contract termination", Management Science
  • Escauriaza, L., Schwarz, D., Xing, H. (2021). "Radner equilibrium and systems of quadratic BSDEs with discontinuous generators", Annals of Applied Probability
  • Maenhout, P., Vedolin, A., Xing, H. (2020). "Generalized Robustness and Dynamic Pessimism",
  • Li, L., Xing, H. (2019). "Capital allocation under Fundamental Review of Trading Book", Risk
  • 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
  • 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. Cash Policies and Firm Size, Financial Math seminar, Peking University, 2022
  • Xing, H. The Dark Side of Circuit Breakers, Berlin Math Finance seminar, 2022
  • Xing, H. Recover utility of rational inattentive agent Applications on robo-advising, Informs Annual Meeting, 2022
  • Xing, H. The Dark Side of Circuit Breakers, 2022
  • Xing, H. The Dark Side of Circuit Breakers, Contol and Optimization seminar, University of Connecticut, 2022
  • Xing, H. The Dark Side of Circuit Breakers, Advances in Stochastic Control and Optimal Stopping with Applications in Economics and Finance, 2022
  • Xing, H. Recover utility of rational inattentive agent Applications on robo-advising, SIAM Annual Meeting, 2022
  • Xing, H. Recover utility of rational inattentive agent Applications on robo-advising, HK/SG Joint Seminar Series in Financial Mathematics/Engineering, 2022
  • Xing, H. Robustness and Dynamic Sentiment, Princeton University, 2021
  • Xing, H. Recover utility of rational inattentive agent, New England Statistics Symposium, 2021
  • Xing, H. Robustness and Dynamic Sentiment, Stevens Institute of Technology, 2021
  • Xing, H. Optimal dynamic contracts with environment, social, and governance criteria, SIAM Annual Conference, 2021
  • Xing, H. Robustness and Dynamic Sentiment, 2021 China Meeting of the Econometric Society, 2021
  • 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