Yan Xu (Ryan)
Hello! I am a PhD
student in the Department
of Mathematical Science at Carnegie
Mellon University.
My Advisor is Dmitry
Kramkov. I am interested in probability theory, stochastic
analysis and their
applications in mathematical finance. In my PhD thesis, I study
an optimal transport problem with backward martingale
constraint motivated by a variant of classical Kyle model
from financial economics.
Research
- An Optimal Transport Problem with
Backward Martingale Constraint Motivated by Equilibrium with
Insider [PDF]
- On Duality of a Backward
Martingale Transport Problem[PDF]
Teaching
I worked as a Teaching Assistant in
several master's and undergraduate level courses throughout my
PhD at CMU.
Master of Science in Computational
Finance Program (MSCF):
- 46-904 Financial Computing IV:
Fall 2016, 2017, 2018; Summer 2017, 2018, 2019
- 46-944 Stochastic Calculus for
Finance I: Spring 2016, 2017
Undergraduate Level:
- 21-122 Integration and
Approximation: Fall 2014
- 21-120 Differential and Integral
Calculus: Spring 2014
Contact
Email: yanx1 at andrew dot cmu dot
edu
Address: 7213 Wean Hall CMU