Extreme Value Theory, Financial Risk Management, Optimization Theory

2010 Ph.D. in Management Science and Engineering.
Antai College of Economics & management, Shanghai Jiao Tong University
2003 M.Eng. in Systems Engineering
Faculty of Science, Jiangsu University
1999 B.Sc in Math
Department of Mathematics, Nanjing Normal University

2013.06- Assistant Professor
Shanghai Jiao Tong University
2014.03-2014.04 Research Associate
The Chinese University of Hong Kong
2010.06-2013.05 Postdoctoral Fellow
Shanghai Jiao Tong University
2011.01 Visiting Scholar
The Hong Kong University of Science & Technology
2008.03-2009.07 Research Assistant
The Hong Kong Polytechnic University

Projects as a leader：
1) 2013.06-2016.12 Spectral Risk Measures and Their Applications Based on EVT, supported by the Funds for New Young Teaches’ Start-up Plan (13X100040056)
2) 2013.01-2015.12 On Risk Hedging and Markets Equilibrium with Production Structure Being Considered, supported by the National Natural Science Foundation of China (Grant No.71201100)
3) 2011.10-2012.12 On Strategic Selection of Combind Sequential and Simultaneous Games with Futures Prices Considered, supported by China Postdoctoral Science Foundation (2011M500785)
Projects as a participant:
1) 2014.01-2018.12 The Value and Risk of Innovations of Market Mechanism and Financial Products, supported by the Funds for International Cooperation and Exchange of the National Natural Science Foundation of China(Grant No.71320107002)
2) 2009.01-2012.12 Foreign Exchange Reserve Diversification and International Asset Allocation Based on Industrial Chain, supported by the State Key Program of National Natural Science Foundation of China (Grant No.70831004)
3) 2008.07-2009.07 Application of Virtual Prototyping Technologies to the Construction Industry, The Hong Kong Polytechnic University, Hong Kong
4) 2008.03-2008.07 Assessing the Contributions from Implementing Sustainable Environmental Practice to Maintaining and Improving Contractors` Competitiveness in Densely Populated Cities, The Hong Kong Polytechnic University, Hong Kong, China (G-YF82)
5) 2008.01-2011.12 A Study on Barriers and Coupling Effect of Technology Innovation Synergy of Metropolis Area, supported by National Natural Science Foundation of China (Grand No.70772067)
6) 2006.12-2007.07 Evaluating Economic and Social Effects of Water Transfer Project on Taihu Like Basin Area, Taihu Lake Basin Authority, Ministry of Water Resources, China

Publication Records:
1) Y.D.Wang, X.D.Diao, C.F.Wu, Y.Li. The role of heterogeneity of crude oil markets and market participants in price discovery. European Journal of Operational Research, forthcoming.
2) A.L.Zhu, X.D.Diao. Properties of the Cox-Ingersoll-Ross interest rate processes with two-sided reflections. Communications in Statistics-Theory and Methods, accepted.
3) X.D.Diao, H.Li, S.X.Zeng, Vivian W.Y.Tam, H.L.Guo. Pareto multi-objective optimization approach for solving time-cost-quality tradeoff problems. Technological and Economic Development of Economy, Vol.17(1), pp.22-41, 2011.
4) X.D.Diao, L.Y.Shen, S.X.Zeng, J.J.Ochoa., X.L.Zhang. Relationship between energy consumption and economic development in construction. Journal of Engineering, Design and Technology, Vol.8(3), pp.257-273, 2010.
5) X.D.Diao, S.X.Zeng, Vivian W.Y.Tam. Development of an optimal trajectory model for spray painting on a free surface. Computers & Industrial Engineering, Vol. 57(1), pp. 209-216, 2009.
6) X.D.Diao, S.X.Zeng, C.M.Tam, Vivian W.Y.Tam. EKC analysis for studying economic growth and environmental quality: a case study in China. Journal of Cleaner Production, Vol.17(5), pp.541-548, 2009.
Conference Records:
1) X.D.Diao, B.Tong, C.F.Wu. Extremal spectral risk measures and their applications in financial risk management. The 11th International Symposium on Financial System Engineering and Risk Management, 2013.
2) X.D.Diao, C.F.Wu. Industrial linkage effects, trade shock and foreign exchange reserves allocation. The 10th International Symposium on Financial System Engineering and Risk Management, 2012.
3) X.D.Diao, C.F.Wu. Risk hedging and production decisions considering forward contracts: An analysis based on a two-period Cournot duopoly model. The 9th Chinese Finance Annual Meeting, 2012.
4) X.D.Diao, H.Li, S.X.Zeng. An integrated study of construction virtual prototyping system. 2nd International Postgraduate Conference on Infrastructure and Environment, HK, 2010.
5) X.L.Zhang, L.Y.Shen, X.D.Diao. Comparative analysis on market characteristics of real estate market in hong kong and mainland China. CRIOCM 2009: International Symposium on Advancement of Construction Management and Real Estate, Vol.1-6, pp.1045-1052, 2009.
6) X.D.Diao, L.Y.Shen, S.X.Zeng, J.J.Ochoa. Examination on the relationship between industrial development and energy consumption in construction. Proceedings of CRIOCM 2008 International Research Symposium on Advancement of Construction Management and Real Estate, pp.389-393, 2008.

Academic Part-time:
2014.05- Deputy Secretary General
Shanghai Financial Engineering Association