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

Education

Ph.D., Chinese Academy of Sciences, 2009

M.S., Shandong University, 2006

B.S., Shandong University, 2003 


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.