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/

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

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

67

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693

Scholarly Papers (67)

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1.

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 4,923 (2,541)
Citation 31

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

2.

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 4,724 (2,727)
Citation 11

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

3.

Option Profit and Loss Attribution and Pricing: A New Framework

Journal of Finance, Forthcoming, Baruch College Zicklin School of Business Research Paper No. 2018-04-01
Number of pages: 63 Posted: 25 Mar 2018 Last Revised: 02 Nov 2019
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 2,845 (6,452)
Citation 2

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Profit and loss attribution; Local commonality; Risk-return trade-off; Statistical arbitrage; Delta; Vega; Vanna; Volga; Implied volatility term structure; Implied volatility smile

4.

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 2,653 (7,168)
Citation 23

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

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 2,420 (8,284)
Citation 52

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

6.

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, City University of New York, CUNY Baruch College - Zicklin School of Business and QuantAlea GmbH
Downloads 2,414 (8,322)
Citation 14

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Return variance swap, equity index options, term structure

7.

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 2,179 (9,821)
Citation 26

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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

8.

A Tale of Two Indices

Downloads 2,048 ( 10,906)
Citation 109

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 1,669 (14,831)
Citation 12

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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 379 (110,074)
Citation 14

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9.

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 2,031 (11,058)
Citation 2

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

10.

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 1,826 (13,089)
Citation 2

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

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
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 1,820 (13,173)
Citation 23

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

12.

Stochastic Skew in Currency Options

Downloads 1,746 ( 14,079)
Citation 109

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 1,591 (15,936)
Citation 2

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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 155 (263,931)
Citation 14

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13.

Time-Varying Arrival Rates of Informed and Uninformed Trades

Downloads 1,718 ( 14,450)
Citation 51

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 (NYU) - Department of Finance and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 1,718 (14,210)
Citation 51

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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
David Easley, Robert F. Engle, Maureen O'Hara and Liuren Wu
Cornell University - Department of Economics, New York University (NYU) - Department of Finance, Cornell University - Samuel Curtis Johnson Graduate School of Management and City University of New York, CUNY Baruch College - Zicklin School of Business

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

14.

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 (deceased), Goldman Sachs Group, Inc. - Quantitative Strategy Group and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,717 (14,468)
Citation 69

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

15.

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 1,579 (16,412)

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

16.

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, Fordahm University and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,278 (22,559)
Citation 25

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

17.

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 - McDonough School of Business, Caspian Capital Management, LLC and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,272 (22,719)
Citation 9

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

18.

The Potential Approach to Bond and Currency Pricing

Number of pages: 37 Posted: 17 Apr 1999
Markus Leippold and Liuren Wu
University of Zurich and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,125 (27,191)

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19.

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 1,086 (28,617)
Citation 67

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

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
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 984 (32,942)
Citation 7

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

21.

Quadratic Term Structure Models

LEWU 2000
Number of pages: 54 Posted: 21 Feb 2000
Markus Leippold and Liuren Wu
University of Zurich and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 953 (34,486)
Citation 6

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22.

Simple Robust Hedging with Nearby Contracts

Downloads 928 ( 35,767)
Citation 2

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 723 (49,536)

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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 205 (206,902)
Citation 2

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

23.

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 885 (38,266)
Citation 4

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

24.

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 854 (40,183)
Citation 18

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

25.

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 843 (40,895)
Citation 1

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

26.

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 829 (41,837)
Citation 10

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

27.

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, Gurdip Bakshi and Gurdip Bakshi
New York University Finance and Risk Engineering, City University of New York, CUNY Baruch College - Zicklin School of Business and Temple University - Fox School of Business and ManagementFox School of Business
Downloads 783 (45,141)
Citation 19

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Stochastic discount factors, international economy, stochastic risk premium

28.

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 760 (47,004)
Citation 3

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

29.

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 759 (47,087)
Citation 20

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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

30.

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 717 (50,753)

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

31.

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 - McDonough School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 709 (51,550)
Citation 1

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

32.

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 - McDonough School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 632 (59,803)
Citation 1

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

33.

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 629 (60,172)
Citation 2

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

34.

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 616 (61,800)
Citation 3

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Price discovery, options, executability

35.

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 600 (63,915)

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

36.

Design and Estimation of Multi-Currency Quadratic Models

Number of pages: 54 Posted: 15 Jan 2004
Markus Leippold and Liuren Wu
University of Zurich and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 596 (64,443)
Citation 10

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

37.

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 581 (66,551)
Citation 11

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38.

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 and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 559 (69,865)
Citation 14

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

39.

Imports, Exports, Dollar Exposures, and Stock Returns

Downloads 523 ( 75,944)

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 323 (131,348)

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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 200 (211,585)

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

40.

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 522 (76,134)
Citation 14

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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.

41.

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 519 (76,667)
Citation 16

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

42.

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 517 (77,044)
Citation 21

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

43.

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

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 494 (81,430)

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44.

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 434 (94,914)

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Term structure, consistency, positivity, quadratic forms

45.

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

Downloads 420 ( 98,547)
Citation 102

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

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 343 (123,132)
Citation 1

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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 41 (579,952)
Citation 26

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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 36 (608,411)
Citation 60

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46.

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 383 (109,638)
Citation 1

Abstract:

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47.

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 379 (110,911)
Citation 4

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

48.

Limits of Arbitrage and Primary Risk Taking in Derivative Securities

Number of pages: 58 Posted: 26 Feb 2021 Last Revised: 26 Apr 2021
Meng Tian and Liuren Wu
City University of New York, CUNY Baruch College - Zicklin School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 371 (113,546)

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Dynamic hedging; Option investment returns; Limits of arbitrage; Trading cost; Stochastic volatility; Jumps

49.

Decomposing Long Bond Returns: A Decentralized Modeling Approach

Baruch College Zicklin School of Business Research Paper No. 2019-08-06
Number of pages: 70 Posted: 05 Aug 2019 Last Revised: 28 Aug 2020
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 371 (114,306)
Citation 1

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bond returns, profit and loss attribution, yield decomposition, expectation, risk premium, convexity effects, butterfly trades

50.

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 368 (114,637)
Citation 23

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

51.

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) - Paul H. Chook Department of Information Systems & Statistics, Fordham University - Gabelli School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 307 (139,352)
Citation 13

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

52.

Cross-sectional Variation of Option Implied Volatility Skew

Number of pages: 43 Posted: 01 Dec 2020 Last Revised: 25 Jul 2022
Meng Tian and Liuren Wu
City University of New York, CUNY Baruch College - Zicklin School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 301 (142,246)

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Implied volatility skew; Risk-neutral return skewness; Cyclicality; Default risk; Structural risk exposures; Information flow; Stock return prediction

53.

Shale Revolution and Shifting Crude Dynamics

Number of pages: 56 Posted: 26 Jun 2017
Malick O. Sy, Malick O. Sy and Liuren Wu
RMIT University - School of Economics, Finance and MarketingFinancial Research Network (FIRN) and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 285 (150,493)
Citation 3

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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

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 264 (162,575)

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

55.

Consolidating Information in Option Transactions

Downloads 263 (163,214)
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) - Paul H. Chook Department of Information Systems & Statistics and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 159 (258,441)
Citation 1

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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) - Paul H. Chook Department of Information Systems & Statistics, Singapore Management University - Lee Kong Chian School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 104 (356,054)

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56.

A Factor Model of Company Relative Valuation

Number of pages: 63 Posted: 19 Feb 2021
Xiaolu Hu, Malick O. Sy, Malick O. Sy and Liuren Wu
RMIT University - School of Economics, Finance and Marketing, RMIT University - School of Economics, Finance and MarketingFinancial Research Network (FIRN) and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 261 (164,442)

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Company valuation; factor model; valuation factors; relative value ratio; market pricing of valuation factors; value investing; factor returns; market timing of financing decisions

57.

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 230 (185,798)
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International capital asset pricing, options, stochastic volatility, time-changed Levy processes

58.

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 200 (211,726)

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59.

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 188 (223,637)
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Risk-return relation, Equity risk premium, Analysts price targets

60.

Dynamic Optimality of Airline Fuel Cost Hedging

Baruch College Zicklin School of Business Research Paper No. 2019-11-01
Number of pages: 71 Posted: 27 Nov 2019 Last Revised: 16 Dec 2019
Xiaolu Hu, Malick O. Sy, Malick O. Sy and Liuren Wu
RMIT University - School of Economics, Finance and Marketing, RMIT University - School of Economics, Finance and MarketingFinancial Research Network (FIRN) and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 140 (285,456)

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hedging dynamic optimality; crude futures; supply shocks; demand shocks; airline industry; optimal fuel cost hedging

61.

Targets, Predictability, and Performance

Number of pages: 48 Posted: 21 Jan 2021
Francisco Peñaranda and Liuren Wu
CUNY Queens College and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 131 (300,335)

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Market Timing, Return Targeting, Risk Targeting, Mean-Variance Efficiency, Sharpe Ratio, Information Ratio, Skewness, Kurtosis

62.

Predicting Stock Return Variance in a Large Cross Section

Number of pages: 51 Posted: 28 Jul 2022
Liuren Wu and Yaofei Xu
City University of New York, CUNY Baruch College - Zicklin School of Business and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 97 (369,943)

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Variance dynamics; cross-sectional forecasting relation, information cycle, variance term structure, conditional pooling.

63.

Predictable Changes in Yields and Forward Rates

NBER Working Paper No. w6379
Number of pages: 46 Posted: 17 Jul 2000 Last Revised: 08 Jun 2022
David K. Backus, Liuren Wu, Silverio Foresi and Abon Mozumdar
NYU Stern School of Business (deceased), 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 70 (447,577)
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64.

Macroeconomic Foundations of Higher Moments in Bond Yields

NYU Working Paper No. FIN-96-010
Number of pages: 21 Posted: 07 Nov 2008
David K. Backus, Silverio Foresi and Liuren Wu
NYU Stern School of Business (deceased), Goldman Sachs Group, Inc. - Quantitative Strategy Group and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 60 (483,754)

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

65.

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

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G10, G12, G13

66.

The Finite Moment Log Stable Process and Option Pricing

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

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67.

Asset Pricing Under the Quadratic Class

Posted: 27 Oct 2002
Markus Leippold and Liuren Wu
University of Zurich and City University of New York, CUNY Baruch College - Zicklin School of Business

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