I am a fifth year PhD student in Mathematical Finance at Carnegie Mellon University, under the supervision of Prof. Johannes Muhle-Karbe . Earlier I received a BSc in Physics from Peking University, an MSc in Statistics and Actuarial Science from the University of Waterloo and a Msc in Machine Learning from Carnegie Mellon University.

Please find my CV here.

I am mainly interested in stochastic optimization and stochastic differential equations with applications to mathematical finance. I have also worked on various topics in data science, including crowdsourcing, dimensionality reduction, and sparse recovery.

I was a visiting student at the Simons Institute Foundations of Data Science program

Contact: **xiaofeis** (at) ** andrew ** (dot) ** cmu ** (dot) ** edu **

Last updated: Nov. 2019

- (In progress, tentative title) Liquidity Risk and Asset Prices

(with Agostino Cappoini and Johannes Muhle-Karbe)

- (In progress, tentative title) A Global Existence Result for
Equilibrium Asset Prices with Transaction Costs.

(with Johannes Muhle-Karbe)

- Asset Pricing with General Transaction Costs: Theory and Numerics

(with Johannes Muhle-Karbe and Lukas Gonon)

Submitted to Mathematical Finance. Full version on arXiv

- On Strategyproof Conference Peer Review

(with Yichong Xu, Han Zhao, and Nihar B. Shah)

IJCAI. Full version on arXiv

- Sublinear Time Numerical Linear Algebra for Structured Matrices

(with David P. Woodruff)

AAAI. pdf

- Improved Algorithms for Adaptive Compressed Sensing

(with Vasileios Nakos, David P. Woodruff, and Hongyang Zhang)

ICALP. Full version on arXiv