Qi Wu

City University of Hong Kong (CityUHK)

Assistant Professor

83 Tat Chee Avenue

Kowloon

Hong Kong

SCHOLARLY PAPERS

11

DOWNLOADS

3,536

SSRN CITATIONS

13

CROSSREF CITATIONS

20

Scholarly Papers (11)

1.
Downloads 1,598 ( 11,737)
Citation 8

Forward and Future Implied Volatility

International Journal of Theoretical and Applied Finance, Vol. 14, No. 03, 2011
Number of pages: 28 Posted: 09 Jul 2010 Last Revised: 23 Jul 2011
Paul Glasserman and Qi Wu
Columbia Business School and City University of Hong Kong (CityUHK)
Downloads 1,456 (13,351)

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Forward Implied Volatility, Implied vol Surface, Time-dependent SABR model, FX options

Forward and Future Implied Volatility

International Journal of Theoretical and Applied Finance, Vol. 14, No. 3, pp. 407-432, 2010, Columbia Business School Research Paper No. 11-20
Number of pages: 28 Posted: 20 Oct 2011
Paul Glasserman and Qi Wu
Columbia Business School and City University of Hong Kong (CityUHK)
Downloads 142 (223,687)
Citation 3

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2.
Downloads 906 ( 27,683)
Citation 3

Series Expansion of the SABR Joint Density

Mathematical Finance, November 19, 2010
Number of pages: 35 Posted: 03 Aug 2010 Last Revised: 11 Sep 2015
Qi Wu
City University of Hong Kong (CityUHK)
Downloads 905 (27,288)

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forward smile risk, SABR stochastic volatility model, joint transition density

Series Expansion of the Sabr Joint Density

Mathematical Finance, Vol. 22, Issue 2, pp. 310-345, 2012
Number of pages: 36 Posted: 11 Feb 2012
Qi Wu
City University of Hong Kong (CityUHK)
Downloads 1 (742,427)
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forward smile risk, SABR stochastic volatility model, joint transition density

3.

A Dual-Curve Short Rate Model with Multi-Factor Stochastic Volatility: I. Asymptotic Analysis

Number of pages: 30 Posted: 12 Sep 2015 Last Revised: 14 Jun 2016
CUNY Baruch College, Rutgers University and City University of Hong Kong (CityUHK)
Downloads 271 (123,326)
Citation 1

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short rate models, multi-curve modeling, swaption calibration, SABR model, stochastic volatility, asymptotic expansion, mean-field approximation

4.

Persistence and Procyclicality in Margin Requirements

OFR WP 17-01, Columbia Business School Research Paper No. 17-34
Number of pages: 41 Posted: 21 Mar 2017
Paul Glasserman and Qi Wu
Columbia Business School and City University of Hong Kong (CityUHK)
Downloads 147 (217,008)
Citation 8

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central counterparties, risk-sensitive margin requirements, procyclicality

5.

Neural Learning of Online Consumer Credit Risk

Number of pages: 49 Posted: 14 Jun 2019 Last Revised: 25 Nov 2019
Di WANG, Qi Wu and Wen Zhang
JD Digits, City University of Hong Kong (CityUHK) and Independent
Downloads 142 (225,676)

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Consumer behavior, Credit risk, Deep learning, Neural networks, LSTM, Machine learning, Time series, Electronic commerce

6.

Asymptotics of Portfolio Tail Risk Metrics for Elliptically Distributed Asset Returns

Number of pages: 25 Posted: 17 Mar 2016 Last Revised: 14 Jun 2016
CUNY Baruch College, Rutgers University and City University of Hong Kong (CityUHK)
Downloads 126 (245,014)
Citation 2

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7.

Capturing Deep Tail Risk via Sequential Learning of Quantile Dynamics

Journal of Economic Dynamics and Control, 2019, 109: 103771
Number of pages: 33 Posted: 13 Jun 2019 Last Revised: 13 Jan 2020
Qi Wu and Xing Yan
City University of Hong Kong (CityUHK) and City University of Hong Kong
Downloads 111 (268,829)

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Dynamic Quantile Modeling, Parametric Quantile Functions, Time-varying Higher-order Conditional Moments, Asymmetric Heavy-tail Distribution, Long Short-term Memory, Machine Learning, Neural Network, VaR Forecasts, Financial Risk Management

8.

Cross-sectional Learning of Extremal Dependence Among Financial Assets

Advances in Neural Information Processing Systems, pages 3852-3862, 2019
Number of pages: 11 Posted: 13 Jun 2019 Last Revised: 13 Jan 2020
Xing Yan, Qi Wu and Wen Zhang
City University of Hong Kong, City University of Hong Kong (CityUHK) and Independent
Downloads 86 (317,967)

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Tail Dependence, Distinct Pairwise Tail Dependencies, Random Vector Transformation, Tail-side Sensitivity, Coverage Test

9.

Understanding Distributional Ambiguity via Non-Robust Chance Constraint

Number of pages: 22 Posted: 14 Jun 2019 Last Revised: 10 Oct 2019
City University of Hong Kong (CityUHK), City University of Hong Kong (CityUHK) - School of Data Science, City University of Hong Kong (CityUHK) - School of Data Science and Tecent AI Lab
Downloads 76 (342,183)

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distributionally robust optimization, chance constraint, Kullback-Leibler (KL) divergence, Cressie-Read divergence, portfolio optimization, financial risk management

10.

Tail Risk Monotonicity Under Temporal Aggregation in GARCH(1,1) Models

Number of pages: 26 Posted: 03 Jan 2020
Columbia Business School, Stevens Institute of Technology and City University of Hong Kong (CityUHK)
Downloads 43 (448,911)

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GARCH, Tail Risk

11.

Efficient Subsidies via Supply Re-usability

Number of pages: 39 Posted: 11 Sep 2019
Shumin Ma and Qi Wu
City University of Hong Kong (CityUHK) - School of Data Science and City University of Hong Kong (CityUHK)
Downloads 30 (513,296)

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Ride matching, Subsidy policy, Queueing model, Stackelberg game