Lixin Wu

Hong Kong University of Science & Technology - Department of Mathematics

Clearwater Bay

Kowloon, 999999

Hong Kong

  • Hong Kong University of Science & Technology - Department of Mathematics

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    • Fax: 2358-1643
SCHOLARLY PAPERS

9

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10

Scholarly Papers (9)

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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 489 (60,331)
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 221 (145,607)
Citation 1

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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 (NUS) - Department of Mathematics
Downloads 209 (153,402)
Citation 2

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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 83 (313,640)

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

5.

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 39 (449,887)

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Inflation rate derivatives, market model, foreign currency analogy

6.

Proper Adjustments

Number of pages: 13 Posted: 15 May 2015
Lixin Wu
Hong Kong University of Science & Technology - Department of Mathematics
Downloads 30 (490,675)

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CCR, CVA, FVA

7.

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

Number of pages: 26 Posted: 19 Dec 2019
Jaehyuk Choi and Lixin Wu
Peking University - HSBC School of Business and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 27 (506,509)

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Stochastic Volatility, SABR Model, CEV Model

8.

Optimal Shouting Policies of Options with Strike Reset Right

Mathematical Finance, Vol. 14, No. 3, pp. 383-401, July 2004
Number of pages: 19 Posted: 11 Jul 2004
Min Dai, Yue Kuen Kwok and Lixin Wu
National University of Singapore (NUS) - Department of Mathematics, Hong Kong University of Science & Technology - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 19 (554,079)
Citation 1
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9.

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

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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.