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)
- Improved Algorithms for Adaptive Compressed Sensing
(with Vasileios Nakos, David P. Woodruff, and Hongyang Zhang)
ICALP. Full version on arXiv