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
- 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.
- 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.
- 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.
- 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.
- 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)