Is there are any security problem for my personal data which is on my lap?
Yes! This is extremely dangerous. In this scenarion his phone could act as a internet gateway. Depending on how secure his phone is, it may expose your laptop directly to internet based attacks. Given that you aparently have no protections on your laptop I advise against it.
How can he access the web application, other than WIFI enable mobile devices?
Through any web capable device. Through a destop or laptop computer on the company network. Through a mobile device specificly configured for testing. If you have a appropriatly secured internet facing web server, then he can access it through any web capable device connected to the internet.
Protect your data, if not your entire laptop.
Provide integrity monitoring for your data. You can do this by generating cryptographic hases (MD5, SHA1) and storing the hashes offline. This can be done easily with sha1sum, md5sum, or openssl. You can store the hashes on a CD-ROM, USB flash driver, or other removable media.
Provide confidentiality for you data. Create an encrypted container or disk with LUKS, tryecrypt, or OpenGPG. Store your private files in the encrypted container (folder) or drive.
While I'm offering unsolicited advice... Backup your files. If you have hashes, backup your hashes. If you have an encrypted disk backup the disk in encrypted form. If you have an encrypted folder or container, backup the container or folder in encrypted form. Don't make it easy to breach your data's integrity or confidentiality through you backups.