Qi Wu

City University of Hong Kong, School of Data Science

Associate Professor

83 Tat Chee Avenue

Kowloon

Hong Kong

SCHOLARLY PAPERS

15

DOWNLOADS

4,063

SSRN CITATIONS

21

CROSSREF CITATIONS

20

Scholarly Papers (15)

1.
Downloads 1,674 ( 13,645)
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, School of Data Science
Downloads 1,526 (15,485)

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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, School of Data Science
Downloads 148 (255,369)
Citation 3

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2.
Downloads 941 ( 32,109)
Citation 4

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, School of Data Science
Downloads 940 (31,673)

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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, School of Data Science
Downloads 1 (849,034)
Citation 1
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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, University of Toronto and City University of Hong Kong, School of Data Science
Downloads 305 (129,824)
Citation 1

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

4.

Neural Learning of Online Consumer Credit Risk

Number of pages: 49 Posted: 14 Jun 2019 Last Revised: 25 Nov 2019
University of Texas at Austin - Red McCombs School of Business, City University of Hong Kong, School of Data Science and Independent
Downloads 249 (159,893)

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

5.

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, School of Data Science
Downloads 186 (209,919)
Citation 12

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central counterparties, risk-sensitive margin requirements, procyclicality

6.

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, School of Data Science and City University of Hong Kong
Downloads 150 (251,838)
Citation 2

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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

7.

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, University of Toronto and City University of Hong Kong, School of Data Science
Downloads 139 (267,675)
Citation 2

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8.

Understanding Distributional Ambiguity via Non-Robust Chance Constraint

2020 ACM International Conference on AI in Finance https://arxiv.org/abs/1906.01981
Number of pages: 8 Posted: 14 Jun 2019 Last Revised: 28 Dec 2020
City University of Hong Kong (CityU) - School of Data Science, City University of Hong Kong (CityU) - School of Data Science, City University of Hong Kong, School of Data Science, Tecent AI Lab and affiliation not provided to SSRN
Downloads 134 (275,426)

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

9.

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

Number of pages: 44 Posted: 03 Jan 2020 Last Revised: 16 Jun 2021
Columbia Business School, Stevens Institute of Technology and City University of Hong Kong, School of Data Science
Downloads 110 (317,693)

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GARCH, Tail Risk

10.

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, School of Data Science and Independent
Downloads 103 (332,125)
Citation 1

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

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 (CityU) - School of Data Science and City University of Hong Kong, School of Data Science
Downloads 72 (412,628)

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Ride matching, Subsidy policy, Queueing model, Stackelberg game

12.

The Causal Learning of Retail Delinquency

Thirty-Fifth AAAI Conference on Artificial Intelligence (AAAI-21)
Posted: 01 Mar 2021
City University of Hong Kong (CityU) - School of Data Science, City University of Hong Kong (CityU) - School of Data Science, City University of Hong Kong, City University of Hong Kong, School of Data Science, affiliation not provided to SSRN, JD Digits and JD Digits

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13.

Memory-Gated Recurrent Networks

Thirty-Fifth AAAI Conference on Artificial Intelligence (AAAI-21)
Posted: 01 Mar 2021
affiliation not provided to SSRN, City University of Hong Kong, School of Data Science, affiliation not provided to SSRN, The Hong Kong Polytechnic University, affiliation not provided to SSRN and JD Digits

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14.

Parsimonious Quantile Regression of Financial Asset Tail Dynamics via Sequential Learning

Advances in Neural Information Processing Systems 31 (NeurIPS 2018)
Posted: 01 Mar 2021
City University of Hong Kong, Tecent AI Lab, Tecent AI Lab, affiliation not provided to SSRN and City University of Hong Kong, School of Data Science

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15.

Risk and return prediction for pricing portfolios of non-performing consumer credit

2021 ACM International Conference on AI in Finance (ICAIF'21)
Number of pages: 9
City University of Hong Kong (CityU) - School of Data Science, City University of Hong Kong, JD Digits, JD Digits, Renmin University of China - School of Statistics, affiliation not provided to SSRN and City University of Hong Kong, School of Data Science
Downloads 0

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consumer lending, credit portfolio risk, overdue loans, bottom-up system, dependence structure