Qi Wu

Chinese University of Hong Kong

Assistant Professor

Shatin, N.T.

Hong Kong

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 15,984

SSRN RANKINGS

Top 15,984

in Total Papers Downloads

2,382

CITATIONS
Rank 40,132

SSRN RANKINGS

Top 40,132

in Total Papers Citations

4

Scholarly Papers (5)

1.
Downloads 1,305 ( 11,108)
Citation 2

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 Chinese University of Hong Kong
Downloads 1,194 (12,525)
Citation 2

Abstract:

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 Chinese University of Hong Kong
Downloads 111 (203,879)
Citation 2

Abstract:

2.
Downloads 827 ( 22,286)
Citation 2

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
Chinese University of Hong Kong
Downloads 826 (21,953)
Citation 2

Abstract:

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
Chinese University of Hong Kong
Downloads 1 (564,280)
Citation 2

Abstract:

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 Chinese University of Hong Kong
Downloads 16 (157,558)

Abstract:

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 Chinese University of Hong Kong
Downloads 0 (378,103)

Abstract:

central counterparties, risk-sensitive margin requirements, procyclicality

5.

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 Chinese University of Hong Kong
Downloads 0 (286,021)

Abstract: