Xiaoquan Liu

Essex Business School

University of Essex

Wivenhoe Park

Colchester, CO4 3SQ

United Kingdom

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 22,159

SSRN RANKINGS

Top 22,159

in Total Papers Downloads

2,156

SSRN CITATIONS
Rank 29,110

SSRN RANKINGS

Top 29,110

in Total Papers Citations

18

CROSSREF CITATIONS

4

Scholarly Papers (5)

1.

Closed-Form Transformations from Risk-Neutral to Real-World Distributions

EFA 2003 Annual Conference Paper No. 144
Number of pages: 48 Posted: 03 Jun 2004
Essex Business School, Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Peking University - Guanghua School of Management
Downloads 1,302 (14,668)
Citation 21

Abstract:

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2.

Option Pricing Kernels and the Icapm

EFA 2006 Zurich Meetings
Number of pages: 28 Posted: 19 Jul 2006
Xiaoquan Liu, Michael J. Brennan and Yihong Xia
Essex Business School, University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (Deceased)
Downloads 376 (78,820)

Abstract:

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pricing kernel, state variables, intertemporal CAPM

3.

Investor Sentiment and Value and Growth Index Options

Number of pages: 37 Posted: 07 Aug 2011 Last Revised: 15 Dec 2011
Jerry Coakley, George Dotsis, Xiaoquan Liu and Jia Zhai
University of Essex - Essex Business School, National and Kapodistrian University of Athens - Faculty of Economics, Essex Business School and affiliation not provided to SSRN
Downloads 217 (141,731)

Abstract:

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Risk-neutral skewness, value premium, option market anomalies

4.

Revealing the Implied Risk-Neutral MGF with the Wavelet Method

Journal of Economic Dynamics and Control, Vol. 33, 2008
Number of pages: 42 Posted: 26 Feb 2007 Last Revised: 05 Jun 2011
Emmanuel Haven, Xiaoquan Liu, Chenghu Ma and Liya Shen
University of Essex - Department of Accounting, Finance & Management, Essex Business School, Fudan University - School of Management and University of Essex
Downloads 176 (171,896)

Abstract:

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Implied risk-neutral MGF, wavelets, options

5.

A Pricing Kernel Approach to Valuing Options on Interest Rate Futures

Number of pages: 39 Posted: 03 Jun 2011
Xiaoquan Liu, Jerry Coakley and Jing-Ming Kuo
Essex Business School, University of Essex - Essex Business School and University of Birmingham - Birmingham Business School
Downloads 85 (296,498)

Abstract:

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Pricing Kernels, Simulation-based Bayesian Approach, LIBOR Futures Options