Mathematical Finance

Yuhong Xu; Xingye Yue                                

Our research interests include several topics in the field of mathematical finance and economics, such as risk measurement under model uncertainty, economic models with incomplete information, utility theory, asset allocation, game theory and general equilibrium theory of two price economy. We are interested in dynamic portfolio selection and statistics under model uncertainty. We also focus on developing efficient numerical methods for nonlinear expectation (so-called G-expectation). Discussions are especially welcome for colleagues and students who share the same interests.