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CHENG Xue
Associate Professor
chengxue@math.pku.edu.cn
Office :1511M

Education

Ph.D., Chinese Academy of Sciences, 2009.


Research Interests

Mathematical finance, asset pricing, market microstructure models


1. Optimal stopping problems under non-linear expectations

2. Market microstructure models: optimal execution with uncertain order fills

3. Financial derivatives pricing and risk management


Selected Publications

  • Xue Cheng, Marina D Giacinto & Tai-Ho Wang Optimal execution with uncertain order fills in Almgren–Chriss framework.Quantitative Finance, 2017.01.
  • Xue Cheng, Frank Riedel Optimal stopping under ambiguity in continuous time.Mathematics and Financial Economics,2013.03.
  • Xue Cheng, Jia-An Yan Lagrange Method for Continuous-time Stochastic Optimization.Science China Mathematics,2012.11.
  • Kai Zhao, Xue Cheng & Jingping Yang Saddlepoint Approximation for Moments of Random Variables.Frontiers of Mathematics in China,2011.12.