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Xing Jin

Associate Professor in Finance
  

B.S. 1983, Anqing Normal College, China
M.S.  1986, Xian Jiaotung University, China
PhD. 1991, Chiense Academy of Sciences
PhD. 1991, University of Maryland

Research Interests

Asset pricing (theoretical and empirical)
Derivatives
Portfolio choice
Financial engineering
Risk management

Office Hours

Monday 12pm - 2pm

Expertise

Professor at Chinese Academy of Sciences (1998-1999); Associate Professor at National University of Singapore (2005-2006)

Teaching

Research Techniques for Finance (MSc in Economics and Finance)

Derivative Securities (MSc in Financial Mathematics)

PhD Supervision Topics

Model misspecificantion on investment perspectives.

Selected publications

[1] Existence and uniqueness of optimum consumption and portfolio rules in a continuous finance model with habit formation and without short sale, Journal of Mathematical Economics, 1997, Vol. 28, pp. 187-205 (with Shuhui Deng)

[2] Consumption and portfolio turnpike theorem in a continuous finance model, Journal of Economic Dynamics and Control, 1998, Vol. 22, pp. 1001-1026

[3] The second fundamental theorem of arbitrage pricing, Mathematical Finance, 1999, Vol. 9, pp. 255-273 (with Robert Jarrow and Dilip Madan)

[4] Optimal investment in derivatives, Finance and Stochastics, 2001, Vol. 5, pp. 33-59 (with Peter Carr and Dilip Madan)

[5] Probabilistic error bounds for simulation quantile estimators, Management Science, 2003, Vol. 14, pp. 230-246 (with M. Fu and Xiaoping Xiong)

[6] Reclaiming Quasi-Monte Carlo efficiency in portfolio Value-at-Risk simulation, Management Science, 2006, Vol. 52, pp. 925-938 (with Allen Zhang)

[7] State-space partitioning methods for pricing high-dimensional American-style options, Mathematical Finance, 2007, Vol. 17, pp. 399-426 (with Hwee Huat Tan and Junhua Sun)

[8] Temporal aggregation and risk-return relation; Finance Research Letters, 2007, Vol. 4 pp. 104-115 (with Leping Wang and Jun Yu)

Curriculum Vitae

 

Xing Jin
Room C2.39
Finance Group
Warwick Business School
University of Warwick
Coventry
CV4 7AL

T: + 44 (0) 24 765 75698
F: + 44 (0) 24 765 23779
Xing.Jin@wbs.ac.uk