Xueying's Homepage

Contact Info:

Mailing:
Xueying Hu,
2074 East Hall,
530 Church Street,
Ann Arbor, MI, 48109

Email:
xyhu[at]umich.edu

Office:
1866 East Hall

Research Interests: Mathematical Finance and Insurance, Computational Finance, Credit Risk.
My PhD Co-advisors: Professor Erhan Bayraktar, and Professor Haitao Li.

Essays in Financial and Insurance Mathematics. Janunary 2012. Committee members: Erhan Bayraktar, Haitao Li, Virginia R. Young, Joseph G. Conlon, Kristen S. Moore.

Minimizing the Probability of Lifetime Ruin under Stochastic Volatility, with Erhan Bayraktar and Virginia R. Young. Insurance: Mathematics and Economics (2011), 49 (2), 194-206. [PDF ]
Exact Simulation of Heston Model with Jumps, with Erhan Bayraktar and Kay Giesecke. 2011. Working paper.
Pricing Credit Default Spreads with a Regime-Switching Model, with Haitao Li and Tao Li. 2011. Working paper.

Ph.D., Applied and Interdisciplinary Mathematics (AIM), University of Michigan, 2012.
M.A., Applied and Interdisciplinary Mathematics (AIM), University of Michigan, 2008.
B.S., Mathematics and Applied Math, University of Science and Technology of China(USTC), 2006.

Summer Associate, Market Risk Management and Analysis (MRMA), Goldman Sachs, NYC, 2011.
Summer Associate, Quantitative Modelling, Bank of America, Charlotte, 2008.

SIAM Student Travel Award, Society for Industrial and Applied Mathematics, 2010.
Rackham Travel Grant, Rackham Graduate School, University of Michigan, 2009, 2010.
Travel grant for the Third Western Conference in Mathematical Finance, NSF, 2009.
Graduate Departmental Scholarship, Department of Mathematics, University of Michigan, Spring/Summer 2008-2010.
Alice Webber Glover Math Scholarship, Department of Mathematics, University of Michigan, Spring/Summer 2007.
Outstanding Student Scholarship (Golden Prize), USTC, 2002-2006.

MATH/IOE 623: Computational Finance, Erhan Bayraktar, Fall 2010.
MATH/STAT 526: Discrete State Stochastic Processes, Jinho Baik, Winter 2009, Winter 2010.
MATH 506: Continuous Time Stochastic Analysis for Finance, Mattias Jonsson, Fall 2009, Fall 2011.
MATH 105: Pre-Calculus (As primary instructor), Fall 2007, Winter 2008.