Welcome to Xin Guo’s Webpage

Associate Professor/Head Graduate Advisor

Dept of IEOR, UC Berkeley, CA

Tel: 510-642-3615

Email: xinguo AT ieor DOT berkeley DOT edu

PUBLICATIONS

I. Refereed Publications

Archival Journals

• X. Guo. "Cesàro summability of Fourier series on unitary groups under the critical index," Chinese Annals of Mathematics, 15A(4):386-395, 1994. Also in Chinese Journal of Contemporary Mathematics, 15(3):215-226, 1994.
• X. Guo. Information and option pricings,  Quantitative Finance, 1(1):38-44, 2001.
• X. Guo. An explicit solution to an optimal stopping problem with regime switching, Journal of Applied Probability, 38(2):464-481, 2001.
• X. Guo and L. Shepp. Some optimal stopping problems with non-trivial boundaries for pricing exotic options, Journal of Applied Probability, 38(3):647-658, 2001.
• X. Guo. When the `bull' meets the `bear'--A first passage time problem for a hidden Markov process, Methodology and Computation in Applied Probability, 3(2):135-143, 2001.
• X. Guo. An optimal strategy for sellers in an online auction, ACM Transactions on Internet Technology, 2(1):1-13, 2002.
• X. Guo. Some risk management problems for firms with internal competition and debt, Journal of Applied Probability, 39(1):55-69, 2002.
• X. Guo. "Option pricings in an incomplete market with regime switching," Proc. of the Steklov Institute of Mathematics, (237), 192-202, 2002.
• X. Guo and Q. Zhang. Closed-form solutions for perpetual American put options with regime switching, SIAM Journal on Applied Mathematics, 64(6):2034-2049, 2004.
• X. Guo, J. Liu, and X. Y. Zhou. A constrained non-linear regular-singular stochastic control problem, with applications, Stochastic Processes and their Applications, 109(2):167-187, 2004.
• X. Guo and H. Pham. Optimal partially reversible investment with entry decision and general production function, Stochastic Processes and their Applications, 115(5):705-736, 2005.
• A. Banerjee, X. Guo, and H. Wang. On the optimality of conditional expectation as a Bregman predictor, IEEE Transactions on Information Theory, 51(7):2664-2669, 2005.
• X. Guo, J. J. Miao, and E. Morellec. Irreversible investment with regime shifts, Journal of Economic Theory, 122(1):37-59, 2005.
• X. Guo and J. Liu. Stopping at the maximum of geometric Brownian motion when signals are received, Journal of Applied Probability, 42(3):826-838, 2005.
• X. Guo and Q. Zhang. Optimal selling rules in a regime switching model,  IEEE Transactions on Automatic Control, 50(9):1450-1455, 2005.
• X. Guo and G. Yin. Wonham filter with random parameters: Rate of convergence and error bounds,  IEEE Transactions on Automatic Control, 51(3):460-464, 2006.
• X. Guo and Yan Zeng.  Intensity process and compensator: A new filtration expansion approach and the Jeulin--Yor formula, The Annals of Applied Probability, 18(1), 120-142, 2008.
• X. Guo and P. Tomecek. Connections between singular control and optimal switching,  SIAM Journal on Control and Optimization, 47(1), 421-443, 2008.
• X. Guo and P. Tomecek. Solving singular control from optimal switching, Special issue for Asian Pacific Financial Market, 2008.
• X. Guo and  P. Tomecek. A class of singular control problems and the smooth fit principle, SIAM Journal on Control and Optimization,  47(6): 3076-3099, 2009.
• X. Guo and G. L. Wu.  Smooth fit principle for impulse control of multi-dimensional diffusion processes,  SIAM Journal on Control and Optimization, 48(2): 594-617, 2009.
• X. Guo, R. Jarrow, and Yan  Zeng. Modeling the recovery rate in a reduced form model, Mathematical Finance. 19(1): 73-97, 2009.
• X. Guo, R. Jarrow, and Yan  Zeng. Credit risk models with incomplete information, (earlier version “Information reduction in credit risk models”,) Mathematics of Operations Research,  34(2): 320-332, 2009.
• X. Guo, R. Jarrow, and H. Z. Lin. Distressed debt prices and recovery rate estimation, Review of Derivatives Research. To appear.

Refereed Conference and Symposia Proceedings

• Q. Yu, S. Gong, and X. Guo. "Schwarzian derivative of holomorphic mappings," Singularities and complex geometry (Q. Lu, S. S. T. Yau, and A. Libgober, eds.), AMS/IP Studies in Advanced Mathematics, 5:317-323, 1997.
• X. Guo. "A regime switching model: Statistical estimation, empirical evidence, and change point detection," Proc. SIAM-AMS-IMA Research Conference in Mathematical Finance, 139-155, 2004.
• A. Banerjee, X. Guo, and H. Wang. "Optimal Bregman prediction and Jensen's equality," Proc. IEEE International Symposium on Information Theory, 168, 2004.
• X. Guo, Y. Lu, and M. S. Squillante. "Optimal probabilistic routing in distributed parallel queues," SIGMETRICS Performance Evaluation Review, 32(2):53-54, 2004.
• X. Guo. "Estimation and change point detection with a hidden Markov model in finance," in Statistics in Finance (R. Davis and C. Kluppelberg ed.), 137-140, Mathematisches Forschungsinstitut Oberwolfach, 2004.
• X. Guo and P. Tomecek. "Connecting singular and switching controls, with applications," in Recent Developments in Financial and Insurance Mathematics and the Interplay with Industry (S. Asmussen, N. Bauerle, and R. Korn ed.), 26, Mathematisches Forschungsinstitut Oberwolfach, 2007.
• X. Guo and P. Tomecek. Connecting singular controls with optimal switching. CDC 2008.

II. Non-refereed Publications

Preprints/Works in Progress

• I. O. Filiz, X. Guo, J. Morton, and B. Sturmfels. Graphical models for correlated default, Under Revision, 2008.
• X. Guo and M. Zervos. "π options," Submitted, 2009.
• X. Guo, P. Kaminsky, P. Tomecek, and M. K. Yuen. Optimal spot market inventory strategy in the presence of cost and price risk, Submitted, 2009.
• M. H. Davis, X. Guo, and G. L. Wu. Impulse control in jump diffusion models, Work in progress.
• A. Chakrabarty and X. Guo. Optimal stopping times with different information levels and with time uncertainty, Preprint
• X. Guo, R. Jarrow, and C. Menn. A note on Lando's formula and conditional independence, Preprint.

 

III. Others

Invited Book Chapters

• X. Guo. "Some lookback option pricing problems," Chapter in Recent Developments in Mathematical Finance (J. Young, ed.), 39-49, World Scientific Publishers, 2002.
• X. Guo and L. Shepp. "Option pricing in a world with arbitrage," Chapter in Stochastic Optimization: Algorithms and Applications (S. Ursayev and M. Pardalos, eds.), 87-96, Kluwer Academic Publishers, 2000.

IV. Patents (Issued or Under Review)

• X. Guo and B. Ray. "Method and structure for dynamic sampling method in on-line process monitoring," US pat. 6999895B2.
• X. Guo, T. Kumar, and G. Parija. "Evaluation of long-term lease contracts under demand uncertainty," YOR9-2003-0283-US1.
• X. Guo and J. Tomlin. "System and method for bandwidth management: Pricing and capacity planning," YOR8-2000-0879.
• X. Guo. "Optimal algorithms for online sealed bid auctions," YOR8-2000-0293.
• X. Guo and Q-B. Nguyen. "Multiparty negotiation optimization algorithm," YOR8-2000-0673.

V. PhD Students

·        Yan Zeng (2005, Math, Cornell)  Now at Bloomberg Research, NYC

·        P. Tomecek (2007, ORIE, Cornell), Now at J.P. Morgan Research, NYC

·        I. O. Filiz (Jan. 2009, IEOR, UC Berkeley), Now works for hedge fund at SF

·        G. L. Wu (May, 2009, Math, UC Berkeley, Co-advisor with C. Evans)  Postdoc at UC Austin

·        A. Chen (Current, Math. UC Berkeley, Co-advisor with C. Evans)

·        M. Junca (Current, IEOR, UC Berkeley, Co-advisor with C.Evans)

·        M. Yuen (Current, IEOR, UC Berkeley)

·        X. W. Wu (Current, IEOR, UC Berkeley)