Liuren Wu

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

Wollman Distinguished Professor of Finance

One Bernard Baruch Way

Box B10-247

New York, NY 10010

United States

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

SCHOLARLY PAPERS

60

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54,173

CITATIONS
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Top 513

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932

Scholarly Papers (60)

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 Finance and Risk Engineering
Downloads 4,341 (1,745)
Citation 69

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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

NYU Tandon Research Paper No. 1701685
Number of pages: 56 Posted: 03 Nov 2010 Last Revised: 26 Jun 2017
Peter Carr and Liuren Wu
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 3,941 (2,067)

Abstract:

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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 Finance and Risk Engineering
Downloads 2,554 (4,372)
Citation 38

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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
University of Zurich - Department of Banking and Finance, City University of New York, CUNY Baruch College - Zicklin School of Business and QuantAlea GmbH
Downloads 2,344 (5,053)
Citation 14

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Return variance swap, equity index options, term structure

5.

Static Hedging of Standard Options

NYU Tandon Research Paper No. 585451
Number of pages: 61 Posted: 02 Sep 2004
Peter Carr and Liuren Wu
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 2,173 (5,731)
Citation 48

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

6.

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

Bloomberg Portfolio Research Paper No. 2009-03-FRONTIERS, AFA 2011 Denver Meetings Paper, NYU Tandon Research Paper No. 1306495
Number of pages: 66 Posted: 25 Nov 2008 Last Revised: 26 Jun 2017
Peter Carr and Liuren Wu
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 2,012 (6,517)
Citation 7

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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

7.

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 1,955 (6,846)
Citation 2

Abstract:

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

8.
Downloads 1,840 ( 7,651)
Citation 56

A Tale of Two Indices

Number of pages: 38 Posted: 28 Dec 2005
Peter Carr and Liuren Wu
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,525 (10,180)
Citation 56

Abstract:

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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 Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 315 (88,738)
Citation 56

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9.

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 1,790 (8,038)
Citation 4

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

10.

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
Fordham University - Gabelli School of Business, Rutgers Business School - New Brunswick and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,712 (8,599)
Citation 13

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

11.
Downloads 1,624 ( 9,381)
Citation 73

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 Finance and Risk Engineering
Downloads 1,512 (10,325)
Citation 73

Abstract:

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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 Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 112 (231,356)
Citation 73

Abstract:

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Time-Varying Arrival Rates of Informed and Uninformed Trades

AFA 2002 Atlanta Meetings
Number of pages: 38 Posted: 21 Dec 2001
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 1,611 (9,321)
Citation 48

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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
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:

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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 1,557 (10,053)
Citation 1

Abstract:

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

14.

Accounting for Biases in Black-Scholes

Number of pages: 46 Posted: 03 Sep 2004
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 1,286 (13,635)
Citation 34

Abstract:

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

15.

Uncovered Interest Rate Parity Over the Past Two Centuries

Number of pages: 39 Posted: 02 Sep 2004
James R. Lothian and Liuren Wu
Fordham University - Gabelli School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,235 (14,532)
Citation 17

Abstract:

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

16.

Predictability of Interest Rates and Interest-Rate Portfolios

Number of pages: 55 Posted: 03 Aug 2006
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 1,207 (15,039)
Citation 5

Abstract:

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

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 1,111 (17,091)
Citation 3

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18.

Time-Changed Levy Process and Option Pricing

Number of pages: 35 Posted: 26 Sep 2001
Peter Carr and Liuren Wu
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 990 (20,292)
Citation 81

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

19.

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 923 (22,540)
Citation 41

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20.

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
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 858 (25,023)

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

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 607 (39,594)

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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 176 (159,876)

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

22.

Simple Robust Linkages between CDS and Equity Options

Number of pages: 46 Posted: 25 Mar 2008
Peter Carr and Liuren Wu
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 776 (28,846)
Citation 1

Abstract:

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

23.

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 Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 755 (29,940)
Citation 11

Abstract:

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

24.

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 Finance and Risk Engineering, City University of New York, CUNY Baruch College - Zicklin School of Business and Fox School of Business
Downloads 752 (30,111)
Citation 32

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Stochastic discount factors, international economy, stochastic risk premium

25.

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 746 (30,471)
Citation 10

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

26.

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 735 (31,073)
Citation 20

Abstract:

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

27.

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 688 (34,007)
Citation 1

Abstract:

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

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 687 (34,071)

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

29.

Anchoring Credit Default Swap Spreads to Firm Fundamentals

Journal of Financial and Quantitative Analysis (JFQA), Vol. 51, No. 5, 2016
Number of pages: 59 Posted: 15 Mar 2012 Last Revised: 29 Jul 2018
Jennie Bai and Liuren Wu
Georgetown University - Department of Finance and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 655 (36,327)
Citation 3

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

30.

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 623 (38,839)
Citation 9

Abstract:

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

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 613 (39,642)
Citation 5

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

32.

Price Discovery in the U.S. Stock Options Market

Number of pages: 38 Posted: 03 Sep 2004
Yusif Simaan and Liuren Wu
Fordham University - Gabelli School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 600 (40,798)
Citation 4

Abstract:

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Price discovery, options, executability

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
Fordham University - Finance Area, City University of New York, CUNY Baruch College - Zicklin School of Business and Georgia State University - Department of Finance
Downloads 587 (41,998)

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

34.

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 584 (42,313)
Citation 19

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

35.

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 546 (46,109)
Citation 43

Abstract:

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

36.

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 Finance and Risk Engineering, Harvard University - Department of Economics and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 514 (49,815)
Citation 1

Abstract:

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37.

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 503 (51,174)
Citation 25

Abstract:

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

38.

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 Finance and Risk Engineering
Downloads 499 (51,716)
Citation 16

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

39.

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 486 (53,403)
Citation 20

Abstract:

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

40.

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 Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 484 (53,681)

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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 301 (93,436)

Abstract:

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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 148 (185,864)

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

42.

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 423 (63,389)
Citation 1

Abstract:

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Term structure, consistency, positivity, quadratic forms

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 312 (89,732)
Citation 62

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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 (419,763)
Citation 62

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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 (456,129)
Citation 62

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44.

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 370 (74,306)
Citation 1

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45.

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 365 (75,533)
Citation 5

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

46.

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 362 (76,270)
Citation 19

Abstract:

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

47.

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 320 (87,771)

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

48.

Option Profit and Loss Attribution and Pricing: A New Framework

Baruch College Zicklin School of Business Research Paper No. 2018-04-01
Number of pages: 54 Posted: 25 Mar 2018 Last Revised: 27 Apr 2018
Peter Carr and Liuren Wu
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 314 (89,612)

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Profit and Loss Attribution; Delta; Vega; Vanna; Volga; Implied Volatility Term Structure; Implied Volatility Smile

49.

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

Number of pages: 42 Posted: 15 Dec 2006
City University of New York - Department of Statistics and Computer Information Systems, Fordham University - Gabelli School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 297 (95,339)
Citation 6

Abstract:

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

50.
Downloads 227 (126,017)
Citation 1

Consolidating Information in Option Transactions

Number of pages: 28 Posted: 16 Jan 2011
Singapore Management University - Lee Kong Chian School of Business, City University of New York - Department of Statistics and Computer Information Systems and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 136 (199,116)
Citation 1

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Consolidating Information in Option Transactions

Number of pages: 56 Posted: 19 Mar 2011
City University of New York - 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 91 (267,064)
Citation 1

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51.

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 225 (127,145)
Citation 5

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

52.

Shale Revolution and Shifting Crude Dynamics

Number of pages: 56 Posted: 26 Jun 2017
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
Downloads 221 (129,405)

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

53.

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 196 (144,884)

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54.

Predicting Inflation Without Running Predictive Regressions

Number of pages: 33 Posted: 12 Mar 2014
Jian Hua and Liuren Wu
City University of New York, 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 159 (174,625)

Abstract:

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

55.

Estimating Risk-Return Relations with Analysts Price Targets

Baruch College Zicklin School of Business Research Paper No. 2018-06-01
Number of pages: 50 Posted: 26 Jun 2018 Last Revised: 28 Jun 2018
Liuren Wu
City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 74 (300,150)

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Risk-return relation, Equity risk premium, Analysts price targets

56.

Predictable Changes in Yields and Forward Rates

NBER Working Paper No. w6379
Number of pages: 46 Posted: 17 Jul 2000 Last Revised: 09 Apr 2010
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 58 (340,876)
Citation 56

Abstract:

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57.

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 55 (349,798)
Citation 2

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

58.

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 Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business

Abstract:

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G10, G12, G13

59.

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 Finance and Risk Engineering

Abstract:

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60.

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:

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