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Liuren Wu

City University of New York, CUNY Baruch College - Zicklin School of Business

Associate Professor

One Bernard Baruch Way

Box B10-225

New York, NY 10010

United States

http://faculty.baruch.cuny.edu/lwu/

  • City University of New York, CUNY Baruch College - Zicklin School of Business

    • Email
    • Tel: 646-312-3509
    • Fax: 646-312-3451
SCHOLARLY PAPERS

58

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CITATIONS
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926

Scholarly Papers (58)

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1.

Variance Risk Premia

AFA 2005 Philadelphia Meetings
Number of pages: 44 Posted: 17 Aug 2004 Last Revised: 25 Oct 2007
Liuren Wu and Peter Carr
City University of New York, CUNY Baruch College - Zicklin School of Business and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 3,844 (1,507)
Citation 69

Abstract:

Stochastic volatility, variance risk premia, variance swap, volatility swap, option pricing, expectation hypothesis

2.

Analyzing Volatility Risk and Risk Premium in Option Contracts: A New Theory

Number of pages: 56 Posted: 03 Nov 2010 Last Revised: 08 Jul 2015
Peter Carr and Liuren Wu
New York University (NYU) - Courant Institute of Mathematical Sciences and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 2,868 (1,995)

Abstract:

Implied volatility surface; Option realized volatility; Expected volatility surface; Volatility risk premium; Vega-gamma-vanna-volga; Proportional variance dynamics

3.

Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation

Number of pages: 43 Posted: 24 Jun 2005
Liuren Wu and Peter Carr
City University of New York, CUNY Baruch College - Zicklin School of Business and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 2,411 (3,743)
Citation 38

Abstract:

Stock options, credit default swaps, default arrival rate, return variance dynamics, option pricing, time-changed Levy processes

4.

Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments

EFA 2006 Zurich Meetings Paper
Number of pages: 60 Posted: 24 May 2006 Last Revised: 19 Nov 2007
Markus Leippold, Liuren Wu and Daniel Egloff
University of Zurich - Department of Banking and Finance, City University of New York, CUNY Baruch College - Zicklin School of Business and QuantAlea GmbH
Downloads 2,180 (4,386)
Citation 14

Abstract:

Return variance swap, equity index options, term structure

5.

Static Hedging of Standard Options

Number of pages: 61 Posted: 02 Sep 2004
Peter Carr and Liuren Wu
New York University (NYU) - Courant Institute of Mathematical Sciences and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,986 (5,189)
Citation 49

Abstract:

Static hedging, jumps, option pricing, Monte Carlo, S&P 500 index options, stochastic volatility

6.

What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities

Number of pages: 21 Posted: 03 Sep 2004
Massoud Heidari and Liuren Wu
Caspian Capital Management, LLC and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,845 (5,936)
Citation 2

Abstract:

Mortgage-backed securities, option-adjusted spreads, market efficiency

7.

Modeling Financial Security Returns Using Levy Processes

Number of pages: 60 Posted: 28 Dec 2005
Liuren Wu
City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,738 (6,757)
Citation 4

Abstract:

Levy processes, return innovations, stochastic time changes, stochastic volatility, characteristic functions, exponential martingales, measure change, option pricing, Fourier inversion

8.

Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions

Bloomberg Portfolio Research Paper No. 2009-03-FRONTIERS, AFA 2011 Denver Meetings Paper
Number of pages: 66 Posted: 25 Nov 2008 Last Revised: 20 Sep 2011
Peter Carr and Liuren Wu
New York University (NYU) - Courant Institute of Mathematical Sciences and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,702 (6,160)
Citation 7

Abstract:

Option pricing, implied volatility, leverage effect, volatility feedback, self-exciting, market disruptions, jumps, constant elasticity of variance, time-changed Levy processes, Fast Fourier Transform, Gauss-Hermite quadrature, unscented Kalman filter

9.

A Tale of Two Indices

Downloads 1,666 ( 7,574)
Citation 55

A Tale of Two Indices

Number of pages: 38 Posted: 28 Dec 2005
Peter Carr and Liuren Wu
New York University (NYU) - Courant Institute of Mathematical Sciences and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,366 (10,224)
Citation 55

Abstract:

volatility index; variance swap; volatility swap

A Tale of Two Indices

NYU Working Paper No. SC-CFE-04-01
Number of pages: 38 Posted: 07 Nov 2008
Peter Carr and Liuren Wu
New York University (NYU) - Courant Institute of Mathematical Sciences and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 300 (81,331)
Citation 55

Abstract:

10.

Stochastic Skew in Currency Options

Downloads 1,588 ( 8,137)
Citation 72

Stochastic Skew in Currency Options

EFA 2004 Maastricht Meetings Paper No. 1426
Number of pages: 48 Posted: 30 Jun 2004
Liuren Wu and Peter Carr
City University of New York, CUNY Baruch College - Zicklin School of Business and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 1,488 (8,882)
Citation 72

Abstract:

Currency options, Foreign exchange dynamics; Stochastic skew; Stochastic volatility; Time-changed Levy processes.

Stochastic Skew in Currency Options

NYU Working Paper No. SC-CFE-04-02
Number of pages: 65 Posted: 07 Nov 2008
Peter Carr and Liuren Wu
New York University (NYU) - Courant Institute of Mathematical Sciences and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 100 (221,521)
Citation 72

Abstract:

11.

Dynamic Interactions Between Interest Rate, Credit, and Liquidity Risks: Theory and Evidence from the Term Structure of Credit Default Swap Spreads

Number of pages: 50 Posted: 16 Aug 2005
Ren-Raw Chen, Xiaolin Cheng and Liuren Wu
Gabelli School of Business, Fordham University, Rutgers Business School - New Brunswick and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,583 (7,537)
Citation 12

Abstract:

Credit default swap, credit risk, credit premium, term structure, interest rate risk, liquidity risk, liquidity premium, maximum likelihood estimation.

12.

Time-Varying Arrival Rates of Informed and Uninformed Trades

Downloads 1,563 ( 8,359)
Citation 48

Time-Varying Arrival Rates of Informed and Uninformed Trades

AFA 2002 Atlanta Meetings
Number of pages: 38 Posted: 21 Dec 2001
David Easley, Liuren Wu, Robert F. Engle and Maureen O'Hara
Cornell University - Department of Economics, City University of New York, CUNY Baruch College - Zicklin School of Business, New York University - Leonard N. Stern School of Business - Department of Economics and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 1,563 (8,195)
Citation 48

Abstract:

Time-Varying Arrival Rates of Informed and Uninformed Trades

Journal of Financial Econometrics, Vol. 6, Issue 2, pp. 171-207, 2008
Posted: 10 Jul 2008
David Easley, Robert F. Engle, Maureen O'Hara and Liuren Wu
Cornell University - Department of Economics, New York University - Leonard N. Stern School of Business - Department of Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and City University of New York, CUNY Baruch College - Zicklin School of Business

Abstract:

C51, C53, G10, G12, G14, Arrival rates, informed trades, uninformed trades, autoregressive process, market depth, liquidity

13.

Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rate Derivatives

Number of pages: 44 Posted: 08 Oct 2002
Massoud Heidari and Liuren Wu
Caspian Capital Management, LLC and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,510 (8,562)
Citation 1

Abstract:

Term structure, yield curve, interest rate caps, implied volatility, residual factors, extended Kalman Filter, quasi-maximum likelihood estimation.

14.

Uncovered Interest Rate Parity over the Past Two Centuries

Number of pages: 39 Posted: 02 Sep 2004
James R. Lothian and Liuren Wu
Gabelli School of Business, Fordham University and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,167 (12,514)
Citation 17

Abstract:

Uncovered interest rate parity,expectation hypothesis, regime changes, small sample problem, Peso problem, extreme sampling

15.

Predictability of Interest Rates and Interest-Rate Portfolios

Number of pages: 55 Posted: 03 Aug 2006
Turan G. Bali, Massoud Heidari and Liuren Wu
Georgetown University - Robert Emmett McDonough School of Business, Caspian Capital Management, LLC and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,156 (13,242)
Citation 5

Abstract:

Term structure, Predictability, Interest rates, Factors, Pricing errors, Expectation hypotheses

16.

Accounting for Biases in Black-Scholes

Number of pages: 46 Posted: 03 Sep 2004
David K. Backus, Silverio Foresi and Liuren Wu
NYU Stern School of Business, Goldman Sachs Group, Inc. - Quantitative Strategy Group and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,114 (12,813)
Citation 34

Abstract:

Currency options, skewness and kurtosis, Gram-Charlier expansions, implied volatility

17.

The Potential Approach to Bond and Currency Pricing

Number of pages: 37 Posted: 17 Apr 1999
Markus Leippold and Liuren Wu
University of Zurich - Department of Banking and Finance and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,079 (14,621)
Citation 3

Abstract:

18.

Quadratic Term Structure Models

LEWU 2000
Number of pages: 54 Posted: 21 Feb 2000
Markus Leippold and Liuren Wu
University of Zurich - Department of Banking and Finance and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 885 (19,535)
Citation 40

Abstract:

19.

Time-Changed Levy Process and Option Pricing

Number of pages: 35 Posted: 26 Sep 2001
Peter Carr and Liuren Wu
New York University (NYU) - Courant Institute of Mathematical Sciences and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 852 (20,001)
Citation 81

Abstract:

Stochastic time change, Levy processes, subordination, characteristic functions, option pricing, exponential martingales, measure change.

20.

Simple Robust Linkages between CDS and Equity Options

Number of pages: 46 Posted: 25 Mar 2008
Peter Carr and Liuren Wu
New York University (NYU) - Courant Institute of Mathematical Sciences and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 734 (25,571)
Citation 1

Abstract:

Stock options, American puts, unit recovery claims, credit default swaps, default probabilities

21.

A No-Arbitrage Analysis of Economic Determinants of the Credit Spread Term Structure

FEDS Discussion Paper No. 2005-59, Management Science, Forthcoming
Number of pages: 33 Posted: 21 Mar 2005 Last Revised: 15 Jun 2008
Liuren Wu and Frank Xiaoling Zhang
City University of New York, CUNY Baruch College - Zicklin School of Business and Morgan Stanley
Downloads 720 (26,613)
Citation 9

Abstract:

Credit spreads, term structure, interest rates, macroeconomic factors, financial leverage, volatility, dynamic factor mode, Kalman filter

22.

Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies

Robert H. Smith School Research Paper No. RHS 06-154
Number of pages: 45 Posted: 09 May 2005 Last Revised: 13 Feb 2011
Peter Carr, Liuren Wu and Gurdip Bakshi
New York University (NYU) - Courant Institute of Mathematical Sciences, City University of New York, CUNY Baruch College - Zicklin School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 713 (26,513)
Citation 32

Abstract:

Stochastic discount factors, international economy, stochastic risk premium

23.

Variance Dynamics: Joint Evidence from Options and High-Frequency Returns

Number of pages: 43 Posted: 15 Mar 2005
Liuren Wu
City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 709 (27,210)
Citation 20

Abstract:

Return variance dynamics, variance risk premium, options, variance swap rates, high-frequency returns, market microstructure, realized variance, quadratic variation, time-changed Levy processes

24.

Simple Robust Hedging with Nearby Contracts

Downloads 708 ( 28,083)

Simple Robust Hedging with Nearby Contracts

Number of pages: 54 Posted: 02 Nov 2010
Liuren Wu and Jingyi Zhu
City University of New York, CUNY Baruch College - Zicklin School of Business and University of Utah
Downloads 551 (38,839)

Abstract:

Options, Static Hedging, Forward Partial Differential Equation, Local Volatility

Simple Robust Hedging with Nearby Contracts

Number of pages: 57 Posted: 19 Mar 2011
Liuren Wu and Jingyi Zhu
City University of New York, CUNY Baruch College - Zicklin School of Business and University of Utah
Downloads 157 (155,375)

Abstract:

options, static hedging, forward partial differential equation, local volatility

25.

A Simple Robust Link between American Puts and Credit Protection

Bloomberg Portfolio Research Paper No. 2009-07-FRONTIERS
Number of pages: 62 Posted: 25 Nov 2008 Last Revised: 06 Nov 2010
Peter Carr and Liuren Wu
New York University (NYU) - Courant Institute of Mathematical Sciences and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 708 (26,513)
Citation 11

Abstract:

Stock options, American puts, unit recovery claims, credit default swaps, default probabilities

26.

Estimating the Intertemporal Capital Asset Pricing Model with Cross-Sectional Consistency

Number of pages: 56 Posted: 16 Mar 2005
Turan G. Bali and Liuren Wu
Georgetown University - Robert Emmett McDonough School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 668 (29,392)
Citation 1

Abstract:

ICAPM, risk-return tradeoff, risk aversion, intertemporal hedging demand, conditional covariance

27.

Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics

Number of pages: 55 Posted: 17 Mar 2010 Last Revised: 16 Apr 2013
Laurent E. Calvet, Adlai J. Fisher and Liuren Wu
EDHEC Business School - Department of Economics & Finance, University of British Columbia (UBC) - Sauder School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 648 (25,655)

Abstract:

Term structure of interest rates, cascade model, dimension-invariance, interest rate forecasting, yield curve stripping, forward rate correlations

28.

Market Pricing of Economic Risks and Stock Returns

Number of pages: 36 Posted: 25 Mar 2008
Liuren Wu and Yi Tang
City University of New York, CUNY Baruch College - Zicklin School of Business and Fordham University - Gabelli School of Business
Downloads 628 (30,848)

Abstract:

economic risks, stock returns, inflation, real output, pricing kernel, cash flow

29.

A Comprehensive Analysis of the Short-Term Interest Rate Dynamics

Number of pages: 33 Posted: 15 Apr 2005
Turan G. Bali and Liuren Wu
Georgetown University - Robert Emmett McDonough School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 607 (33,832)
Citation 9

Abstract:

Short-term interest rates, nonlinearity, drift, diffusion, jumps, GARCH, stochastic volatility

30.

Price Discovery in the U.S. Stock Options Market

Number of pages: 38 Posted: 03 Sep 2004
Yusif Simaan and Liuren Wu
Gabelli School of Business, Fordham University and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 586 (35,640)
Citation 4

Abstract:

Price discovery, options, executability

31.

Systematic Movements in Macroeconomic Releases and the Term Structure of Interest Rates

EFA 2006 Zurich Meetings
Number of pages: 39 Posted: 28 Jul 2005
Liuren Wu and Biao Lu
City University of New York, CUNY Baruch College - Zicklin School of Business and University of Michigan at Ann Arbor
Downloads 585 (34,938)
Citation 5

Abstract:

Macroeconomic announcements, term structure of interest rates, optimal monetary policy

32.

Design and Estimation of Multi-Currency Quadratic Models

Number of pages: 54 Posted: 15 Jan 2004
Markus Leippold and Liuren Wu
University of Zurich - Department of Banking and Finance and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 562 (36,815)
Citation 19

Abstract:

Independent currency variation, Quadratic model, Term structure, Exchange rate, Uncovered interest rate parity, Unscented Kalman Filter

33.

A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 37 Posted: 27 Feb 2002
Gautam Goswami, Liuren Wu and Milind M. Shrikhande
Fordham University - Finance Area, City University of New York, CUNY Baruch College - Zicklin School of Business and Georgia State University - Department of Finance
Downloads 549 (37,484)

Abstract:

costs of goods transportation, economies of scale, real exchange rate, purchasing power parity, nonlinearity

34.

Design and Estimation of Quadratic Term Structure Models

ISB Working Paper No. 2002-3
Number of pages: 39 Posted: 20 Jul 2002
Markus Leippold and Liuren Wu
University of Zurich - Department of Banking and Finance and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 523 (40,490)
Citation 42

Abstract:

quadratic model, term structure, positive interest rates, humps, expectation hypothesis, GMM

35.

A Simple Robust Test for the Presence of Jumps in Asset Prices

AFA 2002 Atlanta Meetings
Number of pages: 44 Posted: 13 Sep 2001
Peter Carr and Liuren Wu
New York University (NYU) - Courant Institute of Mathematical Sciences and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 474 (46,798)

Abstract:

36.

Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?

Number of pages: 48 Posted: 15 Sep 2001
Massoud Heidari and Liuren Wu
Caspian Capital Management, LLC and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 472 (45,696)
Citation 25

Abstract:

Factors, principal component, LIBOR, swaps, swaptions, yield curve, implied volatility surface.

37.

Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options

Number of pages: 31 Posted: 20 Jun 2005
Liuren Wu and Peter Carr
City University of New York, CUNY Baruch College - Zicklin School of Business and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 470 (46,682)
Citation 16

Abstract:

Currency options, sovereign credit default swaps, default arrival rate, return variance dynamics, credit spread term structure modeling, option pricing, time-changed Levy process.

38.

Crash-O-Phobia: A Domestic Fear or A Worldwide Concern?

Number of pages: 30 Posted: 03 Oct 2004
Liuren Wu and Silverio Foresi
City University of New York, CUNY Baruch College - Zicklin School of Business and Goldman Sachs Group, Inc. - Quantitative Strategy Group
Downloads 446 (48,431)
Citation 20

Abstract:

Equity index options, market crashes, volatility smirk, maturity pattern, central limit theorem

39.

Imports, Exports, Dollar Exposures, and Stock Returns

Downloads 433 ( 53,302)

Imports, Exports, Dollar Exposures, and Stock Returns

Number of pages: 33 Posted: 21 Mar 2008 Last Revised: 16 Mar 2010
Suparna Chakraborty, Liuren Wu and Yi Tang
University of San Francisco, City University of New York, CUNY Baruch College - Zicklin School of Business and Fordham University - Gabelli School of Business
Downloads 292 (83,947)

Abstract:

Dollar risk exposure, imports, exports, currency risk premium

Imports, Exports, Dollar Exposures, and Stock Returns

Fordham University Schools of Business Research Paper No. 1787398
Number of pages: 44 Posted: 21 Mar 2011
Suparna Chakraborty, Yi Tang and Liuren Wu
University of San Francisco, Fordham University - Gabelli School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 141 (170,394)

Abstract:

Dollar Risk Exposure, Imports, Exports, Currency Risk Premium, Stock Returns

40.

Linearity-Generating Processes, Unspanned Stochastic Volatility, and Interest-Rate Option Pricing

Number of pages: 51 Posted: 19 Mar 2011
Peter Carr, Xavier Gabaix and Liuren Wu
New York University (NYU) - Courant Institute of Mathematical Sciences, Harvard University - Department of Economics and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 431 (47,170)
Citation 1

Abstract:

41.

Taking Positive Interest Rates Seriously

Number of pages: 41 Posted: 02 Sep 2004
Enlin Pan and Liuren Wu
affiliation not provided to SSRN and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 403 (55,983)
Citation 1

Abstract:

Term structure, consistency, positivity, quadratic forms

42.

Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes

Downloads 375 ( 63,449)
Citation 62

Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes

New York University, Stern School of Business Finance Paper No. 03-016; EFA 2003 Annual Conference Paper No. 915
Number of pages: 47 Posted: 03 Aug 2003
Jing-Zhi Huang and Liuren Wu
Pennsylvania State University - University Park - Department of Finance and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 309 (78,700)
Citation 62

Abstract:

Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes

NYU Working Paper No. FIN-03-016
Number of pages: 48 Posted: 11 Nov 2008
Jing-Zhi Huang and Liuren Wu
Pennsylvania State University - University Park - Department of Finance and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 37 (374,035)
Citation 62

Abstract:

Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes

NYU Working Paper No. S-DRP-03-09
Number of pages: 48 Posted: 07 Nov 2008
Jing-Zhi Huang and Liuren Wu
Pennsylvania State University - University Park - Department of Finance and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 29 (407,780)
Citation 62

Abstract:

43.

Jumps and Dynamic Portfolio Decisions

Number of pages: 67 Posted: 28 Oct 1999
Liuren Wu
City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 358 (65,885)
Citation 1

Abstract:

44.

Market Anticipation of Fed Policy Changes and the Term Structure of Interest Rates

Number of pages: 32 Posted: 03 Aug 2006
Massoud Heidari and Liuren Wu
Caspian Capital Management, LLC and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 355 (66,317)
Citation 5

Abstract:

Federal Reserve, term structure, federal funds rate, market expectation, deterministic jumps, random Poisson jumps, fed fund futures

45.

Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns

Number of pages: 44 Posted: 02 Sep 2004
Liuren Wu
City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 353 (66,955)
Citation 18

Abstract:

Dampened power law, alpha-stable distribution, central limit theorem, upside movement, downside movement

46.

Price Discovery in the U.S. Stock and Stock Options Markets: A Portfolio Approach

Number of pages: 42 Posted: 15 Dec 2006
Richard Holowczak, Yusif Simaan and Liuren Wu
City University of New York (CUNY) - Department of Statistics and Computer Information Systems, Gabelli School of Business, Fordham University and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 278 (84,434)
Citation 6

Abstract:

Price discovery, options, stocks, put-call parity, automated quoting, options trade

47.

Anchoring Credit Default Swap Spreads to Firm Fundamentals

Number of pages: 59 Posted: 15 Mar 2012 Last Revised: 13 Jan 2015
Jennie Bai and Liuren Wu
Georgetown University - Department of Finance and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 258 (39,007)
Citation 3

Abstract:

structural model, firm fundamentals, credit default swap, cross-sectional variation, relative valuation

48.

Consolidating Information in Option Transactions

Downloads 221 (113,235)
Citation 1

Consolidating Information in Option Transactions

Number of pages: 28 Posted: 16 Jan 2011
Jianfeng Hu, Richard Holowczak and Liuren Wu
Singapore Management University - Lee Kong Chian School of Business, City University of New York (CUNY) - Department of Statistics and Computer Information Systems and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 133 (178,569)
Citation 1

Abstract:

Consolidating Information in Option Transactions

Number of pages: 56 Posted: 19 Mar 2011
Richard Holowczak, Jianfeng Hu and Liuren Wu
City University of New York (CUNY) - Department of Statistics and Computer Information Systems, Singapore Management University - Lee Kong Chian School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 88 (241,378)
Citation 1

Abstract:

49.

International Capital Asset Pricing: Evidence from Options

Number of pages: 49 Posted: 08 Mar 2006
Henry Mo and Liuren Wu
Credit Suisse - Fixed Income Division and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 212 (113,753)
Citation 5

Abstract:

International capital asset pricing, options, stochastic volatility, time-changed Levy processes

50.

Macroeconomic Foundations for Discontinuous Price Movements

Number of pages: 66 Posted: 05 Nov 1999
Liuren Wu
City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 190 (128,926)

Abstract:

51.

Predicting Inflation Without Running Predictive Regressions

Number of pages: 33 Posted: 12 Mar 2014
Jian Hua and Liuren Wu
City University of New York, CUNY Baruch College - Zicklin School of Business - Department of Economics and Finance and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 50 (229,481)

Abstract:

Inflation rates; Taylor rule; predictive regressions; time-varying risk premium

52.

Macroeconomic Foundations of Higher Moments in Bond Yields

NYU Working Paper No. FIN-96-010
Number of pages: 21 Posted: 07 Nov 2008
Backus David, Silverio Foresi and Liuren Wu
affiliation not provided to SSRN, Goldman Sachs Group, Inc. - Quantitative Strategy Group and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 49 (316,112)
Citation 2

Abstract:

term structure, skewness and kurtosis, multi-factors affine models, pricing kernels, consumption growth, inflation

53.

Predictable Changes in Yields and Forward Rates

NBER Working Paper No. w6379
Number of pages: 46 Posted: 17 Jul 2000
David K. Backus, Liuren Wu, Silverio Foresi and Abon Mozumdar
NYU Stern School of Business, City University of New York, CUNY Baruch College - Zicklin School of Business, Goldman Sachs Group, Inc. - Quantitative Strategy Group and Virginia Polytechnic Institute & State University - Department of Finance
Downloads 45 (318,965)
Citation 56

Abstract:

54.

Centrality of the Supply Chain Network

Number of pages: 23 Posted: 29 Aug 2015
Liuren Wu
City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 23 (130,814)

Abstract:

Supply chain, directed network, centrality, supplier centrality, customer centrality, eigenvector centrality, PageRank

55.

Variance Risk Premiums

The Review of Financial Studies, Vol. 22, Issue 3, pp. 1311-1341, 2009
Posted: 17 Mar 2009
Peter Carr and Liuren Wu
New York University (NYU) - Courant Institute of Mathematical Sciences and City University of New York, CUNY Baruch College - Zicklin School of Business

Abstract:

G10, G12, G13

56.

The Finite Moment Log Stable Process and Option Pricing

Journal of Finance, Vol. 58, pp. 753-778, April 2003
Posted: 20 Sep 2003
Liuren Wu and Peter Carr
City University of New York, CUNY Baruch College - Zicklin School of Business and New York University (NYU) - Courant Institute of Mathematical Sciences

Abstract:

57.

Asset Pricing under the Quadratic Class

Journal of Financial and Quantitative Analysis, Vol. 37, No. 2, June 2002
Posted: 27 Oct 2002
Markus Leippold and Liuren Wu
University of Zurich - Department of Banking and Finance and City University of New York, CUNY Baruch College - Zicklin School of Business

Abstract:

58.

Shale Revolution and Shifting Crude Dynamics

Number of pages: 56
Malick O. Sy and Liuren Wu
RMIT University - School of Economics, Finance and Marketing and City University of New York, CUNY Baruch College - Zicklin School of Business
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Abstract:

crude futures; crude futures options; stock index options; supply shocks; demand shocks; crude production; shale revolution; optimal fuel cost hedging policy

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