Tao L. Wu

Illinois Institute of Technology

Stuart Graduate School of Business

565 W. Adams St.

Chicago, IL 60661

United States

  • Illinois Institute of Technology

SCHOLARLY PAPERS

5

DOWNLOADS

1,602

TOTAL CITATIONS

8

Scholarly Papers (5)

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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 635 (84,708)

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2.

A Comprehensive Study of the Chinese Warrants Bubble

Downloads 472 (122,192)
Citation 8

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 254 (238,893)
Citation 4

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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 117 (473,415)
Citation 4

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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 101 (528,755)

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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
Kee H. Chung, William T. Smith and Tao L. Wu
State University of New York at Buffalo - School of Management, University of Memphis - Economics and Illinois Institute of Technology
Downloads 358 (168,275)

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Time diversification, Portfolio choice, Asset allocation

4.

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 79 (610,415)

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

5.

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 58 (714,055)

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