基本信息

工作单位: 中国科学院  数学与系统科学研究院  应用数学研究所

电子邮件: xia[*at*]amss.ac.cn

联系电话: 010-82541899

通信地址: 北京市海淀区中关村东路55号 中科院数学院南楼

邮政编码: 100190

研究领域

数理金融与数理经济。具体包括:
不确定性决策理论 (Decision Theory under Uncertainty)
投资组合选择与资产定价 (Portfolio Selection and Asset Pricing)
风险度量与控制 (Risk Measurement and Control)

招生信息

招生专业1:概率论与数理统计(研究方向:金融数学与经济数学)

招生专业2:统计学(研究方向:数理金融与数理经济)


教育工作经历

2011/03 - 现在:     研究员,中国科学院数学与系统科学研究院

2005/03 - 2011/02:  副研究员,中国科学院数学与系统科学研究院

2002/04 - 2005/02:  助理研究员,中国科学院数学与系统科学研究院

2000/05 - 2002/03:  博士后,中国科学院数学与系统科学研究院

1997/09 - 2000/07:  博士生,华东师范大学

1994/09 - 1997/07:  硕士生,华东师范大学 

1990/09 - 1994/07:  本科生,华东师范大学 

主要论文

  • Jin, H., J. Xia and X. Y. Zhou (2019): "Arrow-Debreu Equilibria for Rank-Dependent Utilities with Heterogeneous Probability Weighting," Mathematical Finance 29, 898-927.
  • Xia, J. and X. Y. Zhou (2016): "Arrow-Debreu Equilibria for Rank-Dependent Utilities," Mathematical Finance 26 (3), 558-588.
  • Xia, J. (2011): "Risk aversion and portfolio selection in a continuous-time model," SIAM Journal on Control and Optimization 49 (5), 1916-1937. 
  • Xia, J. and X. Y. Zhou (2007): "Stock loans," Mathematical Finance 17 (2), 307-317. 
  • Wang, Z., J. Xia and L. Zhang (2007): "Optimal investment for an insurer: the martingale approach," Insurance: Mathematics and Economics 40 (2), 322-334. 
  • Xia, J. and J.-A. Yan (2006): "Markowitz's portfolio optimization in an incomplete market," Mathematical Finance 16 (1), 203-216. 
  • Xia, J. (2004): "Multi-agent investment in incomplete markets," Finance and Stochastics 8 (2), 241-259. 
  • Xia, J. (2003): "Dividing gains between a client and her agent," Finance and Stochastics 7 (2), 219-230. 
  • Xia, J. and J.-A. Yan (2003): "A new look at some basic concepts in arbitrage pricing theory," Science in China (Ser. A) 46 (6), 764-774.