Xianhua PENG

Academic Experience

Assistant Professor, Department of Mathematics at Hong Kong University of Science and Technology, 2010-present

Fields-Ontario Postdoctoral Fellow, Fields Institute and Department of Mathematics and Statistics at York University, 2009-2010

Education

Ph.D. in Operations Research, Department of Industrial Engineering and Operations Research, Columbia University, 2009

M.S. in Applied Mathematics, School of Mathematical Sciences, Peking University, 2003

B.S. in Applied Mathematics, School of Mathematical Sciences, Peking University, 2000

Research Interest

Risk Management, Financial Engineering, and Applied Probability

Academic Publications (Google Scholar Citation)

Fu, M., Peng, X., 2017. On the Sample Path Properties of Mixed Poisson Processes, Operations Research Letters, forthcoming.

Kou, S. G., Peng, X., Zhong, H., 2016. Asset Pricing with Spatial Interaction, Management Science, forthcoming.

Kou, S. G., Peng, X., 2016. On the Measurement of Economic Tail Risk. Operations Research 64(5), 1056-1072.

Kou, S. G., Peng, X., Heyde, C. C., 2013. External Risk Measures and Basel Accords. Mathematics of Operations Research 38 (3), 393-417. The preliminary versions of the paper were entitled "What is a good risk measure: Bridging the gaps between data, coherent risk measures, and insurance risk measures" and "What is a good external risk measure: Bridging the gaps between robustness, subadditivity, and insurance risk measures."

Kuznetsov, A., Peng, X., 2012. On the Wiener-Hopf Factorization for Levy Processes with Bounded Positive Jumps. Stochastic Processes and their Applications 122, 2610-2638.

Kou, S. G., Peng, X., 2014. Expected Shortfall or Median Shortfall. Journal of Financial Engineering 1 (1).

Kou, S. G., Peng, X., Heyde, C. C., 2010. Rubst External Risk Measures. Wiley Encyclopedia of Operations Research and Management Science, edited by James J. Cochran. John Wiley & Sons.

Peng, X., Kou, S. G., 2008. Connecting the Top-down to the Bottom-up: Pricing CDO under a Conditional Survival (CS) Model. Proceedings of the 2008 Winter Simulation Conference, 578-586. IEEE Press.

He, X. D. and Peng, X., 2016. Surplus-Invariant, Law-Invariant, and Positively Homogeneous Acceptance Sets Must be Induced by Value-at-Risk. Submitted.

Kou, S. G., Peng, X., Xu, X., 2016. EM Algorithm and Stochastic Control in Economics. Submitted.

Academic Publication for Financial Regulation Policy Making  

Kou, S. G., Peng, X., 2012. Comments on the Consultative Document "Fundamental Review of the Trading Book" Released by Bank for International Settlement on May 3rd, 2012. Published at the web site of Bank for International Settlement: http://www.bis.org/publ/bcbs219/cacomments.htm.

Kou, S. G., Peng, X., 2014. Comments on the Consultative Document "Fundamental Review of the Trading Book: A Revised Market Risk Framework" Released by Bank for International Settlement in October, 2013. Published at the web site of Bank for International Settlement: http://www.bis.org/publ/bcbs265/comments.htm.

Research Award

First Place, INFORMS Finance Section Best Student Paper Research Award, 2008

Teaching

MAFS6010 Dynamic Asset Allocation

RMBI4210 Quantitative Methods for Risk Management

RMBI4220/MATH4513 Life Contingencies Models and Insurance Risk

RMBI4980/4990 Risk Management & Business Intelligence Capstone Project

Contact

Email: maxhpeng@ust.hk

Phone: +852 2358 7431  Fax: +852 2358 1643

Address: Academic Building 3470, Department of Mathematics, Hong Kong University of Science and Technology, Clear Water Bay, Kowloon, Hong Kong