Associate Professor
Office :1511M


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.