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Xiang Yu
Curriculum Vitae updated October 2014
Contact
Information
Department of Mathematics
University of Michigan
530 Church Street
Ann Arbor, MI 48109
Phone: (512) 239-8984
Fax: (734) 763-0937
Email: [email protected]
Webpage: http://www-personal.umich.edu/\textasciitilde xymath
RESEARCH
INTERESTS
Mathematical Finance, Applied Probability, Stochastic Analysis, Stochastic Control and Optimization, Convex Analysis
EMPLOYMENT
University of Michigan,
• Term Assistant Professor, Department of Mathematics,
EDUCATION
University of Texas at Austin,
• Ph.D. in Mathematics,
Ann Arbor, Michigan, USA
Sep 2012 - Present
Austin, Texas, USA
Sep 2007 - May 2012
• Dissertation Topic: Utility Maximization with Consumption Habit Formation in Incomplete
Markets
• Advisor: Mihai Sirbu
Huazhong University of Science and Technology,
• B.S. in Mathematics,
Wuhan, China
Aug 2003 - May 2007
• Graduation with distinction
PUBLICATIONS
AND PREPRINTS
1) Utility maximization with addictive consumption habit formation in incomplete semimartingale markets. To appear in The Annals of Applied Probability. [ArXiv]
2) On the market viability under proportional transaction costs. (with Erhan Bayraktar). Under
the second round revision with Mathematical Finance. [ArXiv]
3) An explicit example of optimal portfolio-consumption choices with habit formation and partial
observations. Submitted. [ArXiv]
4) Optimal consumption with habit formation in markets with transaction costs and unbounded
random endowments. Submitted. [ArXiv]
5) Optimal investment with unbounded random endowments and transaction costs: duality theory and connections to the shadow price process. (with Erhan Bayraktar). Preprint.
WORKING
PAPERS
1) Byzantine fault tolerant bayesian quickest detection with multisource channels. (with Erhan
Bayraktar and Lifeng Lai). Working in progress.
2) Stochastic optimization over all time horizons and applications to turnpike theorems. (with
Sergey Nadtochiy). Working in progress.
Xiang Yu 2
AWARDS AND
HONORS
University of Michigan
• SIAM Early Career Travel Award 2014.
University of Texas at Austin
• Graduate School Professional Development Awards, UT Austin, May 2012.
• SIAM Student Award to the Conference on Financial Math and Engineering, July 2012.
• Travel Grant by Probability, Control and Finance Conference, June 2012.
• Travel Grant by Graduate Student Probability Conference, April 2012.
• Graduate Research Assistantship by NSF, Fall 2010, Summer 2011, Spring 2012.
• Travel Grant by Department of Mathematics, Carnegie Mellon University, Sep 2011.
• Travel Grant by the Stochastic Analysis in Finance and Insurance Conference, May 2011.
• Graduate Fellowship, University of Texas at Austin, Summer 2008.
Huazhong University of Science and Technology
• First Prize Scholarship, HUST, 2003-2007.
• Academic Excellency Scholarship, HUST, 2003-2007.
INVITED TALKS
1) Stochastic Analysis Seminar, Worcester Polytechnic Institute, Nov 3, 2014.
2) Mini-symposium speaker at SIAM Conference on Financial Mathematics and Engineering,
Chicago, Nov 13-15, 2014.
3) Financial/Actuarial Mathematics Seminar, University of Michigan, Feb 2014
4) AMS Sectional Meeting, Special Session on Financial Mathematics, Boston College, Chestnut
Hill, MA, April 6-7, 2013.
5) The 4th Berlin Workshop on Mathematical Finance for Young Researchers, Humboldt Universitaet zu Berlin, Berlin, Germany, Oct 2012.
6) AMS Sectional Meeting, Special Session on Financial Mathematics, Rochester Institute of
Technology, Rochester, NY, Sep 2012.
7) Financial/Actuarial Mathematics Seminar, University of Michigan, Sep 2012
8) Mini-symposium speaker at SIAM Conference on Financial Mathematics and Engineering,
Minneapolis, Minnesota, July 2012.
9) Mathematical Finance and Probability Seminar, UT Austin, Oct 2011.
10) Probability and Computational Finance Seminar, Carnegie Mellon University, Sep 2011.
11) Mathematical Finance and Probability Seminar, UT Austin, April 2010.
CONTRIBUTED
PRESENTATIONS
1) AMS Sectional Meeting, Special Session on Financial Mathematics, University of Maryland,
Baltimore, MD, March 29-30, 2014.
2) Workshop on Probability and Statistics in Finance, University of California, Berkeley, California, May 2012.
3) Poster Session, Probability, Control and Finance, A Conference in Honor of Ioannis Karatzas,
Columbia University, New York City, June 2012.
4) Graduate Student Probability Conference 2012, Georgia Institute of Technology, Atlanta,
Georgia, April 2012.
5) Short communication, Stochastic Analysis in Finance and Insurance Conference, University of
Michigan, Ann Arbor, May 2011.
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PROFESSIONAL
EXPERIENCE
Instructor
University of Michigan
Fall 2014
\bullet Math 423, Mathematics of Finance
Winter 2014
\bullet Math 526, Stochastic Processes
Teaching Evaluation: 4.8/5.0,
\bullet Math 525, Probability Theory
Teaching Evaluation: 4.7/5.0,
Fall 2013
\bullet Math 525, Probability Theory
Teaching Evaluation: 4.8/5.0,
Winter 2013
Fall 2012
\bullet Math 423, Mathematics of Finance
Teaching Evaluation: 4.9/5.0,
Advisor of Research Experience for Undergraduate Program University of Michigan
\bullet Student: Shiqing Yu
\bullet Project: On robust arm-acquiring bandit problems, Summer 2014.
\bullet Student: Zhiyuan Wang
\bullet Project: On multivariate path-dependent options pricing, Summer 2013.
Teaching Assistant,
\bullet \bullet \bullet \bullet \bullet \bullet \bullet \bullet \bullet \bullet University of Texas at Austin
Theory of Probability I (Ph.D. Qualify Course)
Methods of Applied Math II (Ph.D. Qualify Course)
Discrete Mathematics and Foundation of Arithmetic
Methods of Applied Math II (Ph.D Qualify Course)
Advanced Calculus II
Calculus II
Integral Calculus
Elementary Statistical Methods
Probability I
Linear Algebra
JOURNALS
REFEREE
SIAM Journal on Financial Mathematics, Annals of Applied Probability
REFERENCES
• Mihai Sirbu, University of Texas at Austin, ([email protected])
Fall
Spring
Summer
Spring
Fall
Summer
Spring
Fall
Spring
Fall
• Erhan Bayraktar, University of Michigan at Ann Arbor, ([email protected])
• Gordan Zitkovic, University of Texas at Austin, ([email protected])
• Thaleia Zariphopoulou, University of Texas at Austin, ([email protected])
• Joseph Conlon, University of Michigan at Ann Arbor,([email protected])
2011
2011
2010
2010
2009
2009
2009
2008
2008
2007