Lixin Wu

Hong Kong University of Science & Technology - Department of Mathematics

Clearwater Bay

Kowloon, 999999

Hong Kong

SCHOLARLY PAPERS

11

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SSRN CITATIONS
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Top 43,100

in Total Papers Citations

5

CROSSREF CITATIONS

11

Scholarly Papers (11)

1.

Fast Swaption Pricing Under a Market Model with Stochastic Volatility

Number of pages: 30 Posted: 20 Jun 2005
Lixin Wu and Fan Zhang
Hong Kong University of Science & Technology - Department of Mathematics and Peking University
Downloads 499 (67,424)
Citation 5

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LIBOR model, stochastic volatility, square-root process, swaptions, Fast Fourier transform (FFT)

2.

CVA and FVA to Derivatives Trades Collateralized by Cash

Number of pages: 29 Posted: 05 Feb 2013 Last Revised: 28 Jul 2015
Lixin Wu
Hong Kong University of Science & Technology - Department of Mathematics
Downloads 233 (156,620)
Citation 1

Abstract:

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CVA, FVA, default risk, funding risk, derivatives

3.

Pricing Jump Risk with Utility Indifference

Number of pages: 34 Posted: 21 Feb 2005
Lixin Wu and Min Dai
Hong Kong University of Science & Technology - Department of Mathematics and National University of Singapore
Downloads 212 (171,326)
Citation 3

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Utility maximization, utility indifference prices, minimal entropy martingale measure, jump-diffusion processes, risk neutral valuation

4.

To Recover or Not to Recover: That is Not the Question

Number of pages: 19 Posted: 17 Jun 2005
Lixin Wu
Hong Kong University of Science & Technology - Department of Mathematics
Downloads 84 (349,298)

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LIBOR model, market model, credit default swaps, credit default swaptions, defaultable floating-rate notes, recovery rate

5.

The Equivalent Constant-Elasticity-of-Variance (CEV) Volatility of the Stochastic-Alpha-Beta-Rho (SABR) Model

Number of pages: 33 Posted: 19 Dec 2019 Last Revised: 19 Feb 2021
Jaehyuk Choi and Lixin Wu
Peking University - HSBC School of Business and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 47 (468,056)
Citation 1

Abstract:

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Stochastic Volatility, SABR Model, CEV Model

6.

Inflation-Rate Derivatives: From Market Model to Foreign Currency Analogy

Number of pages: 36 Posted: 05 Feb 2013
Lixin Wu
Hong Kong University of Science & Technology - Department of Mathematics
Downloads 44 (480,737)

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Inflation rate derivatives, market model, foreign currency analogy

7.

Proper Adjustments

Number of pages: 13 Posted: 15 May 2015
Lixin Wu
Hong Kong University of Science & Technology - Department of Mathematics
Downloads 32 (537,567)

Abstract:

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CCR, CVA, FVA

8.

A Note on the Option Price and 'Mass at Zero in the Uncorrelated SABR Model and Implied Volatility Asymptotics'

Number of pages: 6 Posted: 29 Dec 2020
Jaehyuk Choi and Lixin Wu
Peking University - HSBC School of Business and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 20 (610,850)

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Stochastic Volatility, SABR Model, CEV Model, Gauss-Hermite Quadrature

9.

Optimal Shouting Policies of Options with Strike Reset Right

Number of pages: 19 Posted: 11 Jul 2004
Min Dai, Yue Kuen Kwok and Lixin Wu
National University of Singapore, Hong Kong University of Science & Technology - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 19 (617,575)
Citation 1
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10.

xVA: Definition, Evaluation and Risk Management

Electronic version of an article published as [International Journal of Theoretical and Applied Finance, Volume 23, Number 1, 2020, 24 pages] [DOI/10.1142/S0219024920500065] © [copyright World Scientific Publishing Company]
Posted: 01 Feb 2021
Lixin Wu and DaWei Zhang
Hong Kong University of Science & Technology - Department of Mathematics and Goldman Sachs Group, Inc. - Goldman Sachs (Asia)

Abstract:

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Credit valuation adjustment (CVA), funding valuation adjustment (FVA), funding cost adjustment (FCA), margin valuation adjustment (MVA), collateral valuation adjustment (ColVA), capital valuation adjustment (KVA)

11.

A New Paradigm for Inflation Derivatives Modeling

Derivative Security pricing and Modeling, eds. J. Batten and N. Wagner, pp. 305-330. (Contemporary Studies in Economics and Financial Analysis series, Volume 94, Emerald)
Posted: 05 Feb 2013
Lixin Wu
Hong Kong University of Science & Technology - Department of Mathematics

Abstract:

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Consumer Price Index, inflation rates, market model, zero-coupon and year-on-year inflation swaps, inflation caps, inflation floors and inflation swaptions.