Tao L. Wu

Illinois Institute of Technology

Stuart Graduate School of Business

565 W. Adams St.

Chicago, IL 60661

United States

SCHOLARLY PAPERS

8

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1,516

CITATIONS
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Top 47,750

in Total Papers Citations

6

Scholarly Papers (8)

1.

Pricing and Hedging the Smile with SABR: Evidence from the Interest Rate Caps Market

Number of pages: 26 Posted: 22 Jan 2012
Tao L. Wu
Illinois Institute of Technology
Downloads 455 (61,498)
Citation 1

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2.
Downloads 318 ( 93,422)
Citation 2

A Comprehensive Study of the Chinese Warrants Bubble

AFA 2012 Chicago Meetings Paper
Number of pages: 27 Posted: 18 Mar 2011
Tao L. Wu
Illinois Institute of Technology
Downloads 167 (176,521)
Citation 2

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Emerging market, warrants, bubbles, short sale constraint, ownership reform

A Comprehensive Study of the Chinese Warrants Bubble

Number of pages: 26 Posted: 24 Jan 2011
Tao L. Wu
Illinois Institute of Technology
Downloads 87 (288,761)
Citation 1

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Emerging market, warrants, bubbles, short sale constraint, ownership reform

A Comprehensive Study of the Chinese Warrants Bubble

Number of pages: 16 Posted: 25 Jan 2012 Last Revised: 13 Aug 2015
Tao L. Wu
Illinois Institute of Technology
Downloads 64 (345,404)

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3.

Time Diversification: Definitions and Some Closed-Form Solutions

Journal of Banking and Finance, Forthcoming
Number of pages: 32 Posted: 27 Dec 2007 Last Revised: 19 Dec 2008
State University of New York at Buffalo - School of Management, University of Memphis - Economics and Illinois Institute of Technology
Downloads 250 (120,697)
Citation 2

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Time diversification, Portfolio choice, Asset allocation

4.

Pricing Parisian Options: The Extended Binomial Tree vs. Monte-Carlo Simulation

Number of pages: 16 Posted: 02 Apr 2013
Tao L. Wu
Illinois Institute of Technology
Downloads 215 (140,071)

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Option pricing, Binomial Models, Parisian option

5.

MLEMVD: A R Package for Maximum Likelihood Estimation of Multivariate Diffusion Models

Number of pages: 15 Posted: 03 Apr 2017 Last Revised: 20 May 2017
Matthew Francis Dixon and Tao L. Wu
Illinois Institute of Technology and Illinois Institute of Technology
Downloads 201 (149,220)

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Maximum likelihood estimation, Heston, R

6.

Nonparametric Interest Rate Cap Pricing: Implications for the 'Unspanned Stochastic Volatility'

Number of pages: 32 Posted: 24 Jan 2011 Last Revised: 02 Mar 2011
Tao L. Wu
Illinois Institute of Technology
Downloads 46 (397,129)

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Term Structure of Interest Rates, Unspanned Stochastic Volatility, Interest Rate Derivatives

7.

Nonparametric Interest Rate Cap Pricing: Implications for the 'Unspanned Stochastic Volatility' Puzzle

Number of pages: 32 Posted: 18 Mar 2011
Tao L. Wu
Illinois Institute of Technology
Downloads 31 (456,754)

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Fixed Income, LIBOR, Swaps and Derivatives, Term Structure of Interest Rates

8.

The Relationship between Counterparty Default and Interest Rate Volatility and its Impact on the Credit Risk of Interest Rate Derivatives

Journal of Credit Risk, Vol. 11, No. 1, 2015
Number of pages: 36 Posted: 16 Jun 2016
Jiarui Yang, Tao L. Wu and Geoffrey Harris
FactSet, Illinois Institute of Technology and Federal Reserve Bank of Chicago
Downloads 0 (661,710)
Citation 1
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counterparty risk, over-the-counter (OTC) derivatives, stochastic interest rate volatility, hazard rate, correlation