Wujiang (楼武畺) Lou

NYU/Courant

Adjunct Professor

251 Mercer St

New York, NY 10003-711

United States

SCHOLARLY PAPERS

21

DOWNLOADS
Rank 8,378

SSRN RANKINGS

Top 8,378

in Total Papers Downloads

7,917

SSRN CITATIONS
Rank 40,513

SSRN RANKINGS

Top 40,513

in Total Papers Citations

3

CROSSREF CITATIONS

15

Scholarly Papers (21)

1.

Valuation of Mortgage-Backed Securities: A Portfolio Credit Derivatives Approach

Number of pages: 34 Posted: 29 Mar 2009
Wujiang (楼武畺) Lou
NYU/Courant
Downloads 1,569 (16,616)
Citation 2

Abstract:

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mortgage-backed securities, subprime mortgage, non-agency mortgage, mortgage credit, MBS valuation, ABCDS, ABX calibration, ABS CDO, SF CDO, prepayment correlation, default correlation, troubled asset

2.

Pricing Total Return Swaps

Journal of Derivatives, Fall 2022 forthcoming
Number of pages: 25 Posted: 09 Aug 2018 Last Revised: 06 Jul 2022
Wujiang (楼武畺) Lou
NYU/Courant
Downloads 1,451 (18,671)
Citation 1

Abstract:

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total return swap, TRS pricing dilemma, funding costs, funding valuation adjustment, liability-side pricing, bond forward

3.

Extending the Black-Scholes Option Pricing Theory to Account for an Option Market Maker's Funding Costs

Lou, Wujiang, Funding in option pricing: the Black-Scholes framework extended, Risk, April, 2015.
Number of pages: 13 Posted: 18 Mar 2014 Last Revised: 28 Mar 2015
Wujiang (楼武畺) Lou
NYU/Courant
Downloads 693 (53,225)
Citation 1

Abstract:

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Option Pricing, Option Market Making, Funding Costs, Funding Valuation Adjustment (FVA), Black-Scholes PDE, Finite Difference Method

4.

Coherent CVA and FVA with Liability Side Pricing of Derivatives

Risk, August 2015
Number of pages: 26 Posted: 15 Jun 2014 Last Revised: 26 Jan 2018
Wujiang (楼武畺) Lou
NYU/Courant
Downloads 536 (73,786)
Citation 4

Abstract:

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Counterparty risk, CVA, FVA, DVA, Funding Cost, Derivative Financing, coherent CVA and FVA, liability-side pricing, risk-neutral pricing formula

5.

On Asymmetric Funding of Swaps and Derivatives - A Funding Cost Explanation of Negative Swap Spreads

Number of pages: 20 Posted: 19 May 2010
Wujiang (楼武畺) Lou
NYU/Courant
Downloads 521 (76,417)

Abstract:

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interest rate swap spread, negative swap spread, funding cost, long term derivatives, Black-Scholes equation, self financing condition.

6.

Repo Haircuts and Economic Capital: A Theory of Repo Pricing

Journal of Credit Risk, forthcoming
Number of pages: 46 Posted: 02 Feb 2016 Last Revised: 15 Oct 2021
Wujiang (楼武畺) Lou
NYU/Courant
Downloads 429 (96,334)
Citation 2

Abstract:

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repo haircut model, repo pricing, repo spread, repo formula, repo pricing puzzle.

7.

MVA Transfer Pricing

Risk, July 2016, pp 72-77
Number of pages: 18 Posted: 13 Oct 2015 Last Revised: 29 Jul 2016
Wujiang (楼武畺) Lou
NYU/Courant
Downloads 378 (111,384)

Abstract:

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initial margin, margin valuation adjustment (MVA), ISDA SIMM, liability-side pricing, coherent CVA and FVA, CME-LCH basis.

8.

Derivatives Discounting Explained

Number of pages: 38 Posted: 28 Dec 2017 Last Revised: 20 Feb 2020
Wujiang (楼武畺) Lou
NYU/Courant
Downloads 340 (125,355)
Citation 1

Abstract:

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derivatives pricing, margin and collateralization, riskfree rate, derivatives discounting, derivative financing, valuation adjustments, XVA

9.

Liability-Side Pricing of Swaps and Coherent CVA and FVA by Regression/Simulation

RISK, April 2016, pp 66-71
Number of pages: 19 Posted: 21 Sep 2014 Last Revised: 30 Mar 2016
Wujiang (楼武畺) Lou
NYU/Courant
Downloads 308 (139,045)
Citation 2

Abstract:

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Uncollateralized swap, CCP swaps, counterparty risk, liability-side pricing, coherent CVA and FVA, FVA, CVA, swap hedging, swap pricing.

10.

Discounting with Imperfect Collateral: Non-cash Collateralized Derivatives Valuation and Collateral Optimization

Number of pages: 30 Posted: 19 Jan 2017 Last Revised: 23 Feb 2020
Wujiang (楼武畺) Lou
NYU/Courant
Downloads 237 (180,836)

Abstract:

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collateralization, derivatives discounting, derivatives financing, liquidity value adjustment, collateral optimization, XVA

11.

An Integrated OTC Derivatives Risk Capital Framework

Number of pages: 23 Posted: 03 Oct 2018 Last Revised: 07 Oct 2019
Wujiang (楼武畺) Lou and Gavin Xu
NYU/Courant and HSBC Bank USA
Downloads 231 (185,314)

Abstract:

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derivatives valuation, valuation adjustments (xva), counterparty credit risk (CCR), credit valuation adjustment (CVA), CVA capital, economic capital

12.

Haircutting Non-Cash Collateral

Risk, September 2017
Number of pages: 26 Posted: 31 Oct 2016 Last Revised: 14 Oct 2017
Wujiang (楼武畺) Lou
NYU/Courant
Downloads 224 (190,747)
Citation 2

Abstract:

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haircut, haircut model, non-cash collateral, double-exponential jump-diffusion model

13.

Gap Risk KVA and Repo Pricing: An Economic Capital Approach in the Black-Scholes-Merton Framework

Risk, November 2016
Number of pages: 25 Posted: 11 Mar 2016 Last Revised: 30 Oct 2016
Wujiang (楼武畺) Lou
NYU/Courant
Downloads 200 (212,005)
Citation 3

Abstract:

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repo pricing, Black-Scholes model, economic capital, hedging error, gap risk, margin period of risk, capital valuation adjustment, KVA

14.

Securities Lending Haircuts and Indemnification Pricing

Risk, March, 2022
Number of pages: 17 Posted: 16 Oct 2020 Last Revised: 10 Jul 2022
Wujiang (楼武畺) Lou
NYU/Courant
Downloads 174 (239,326)

Abstract:

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securities lending, haircut model, borrower default indemnification, cost of indemnification

15.

Unlocking the FVA Debate

Number of pages: 14 Posted: 20 Jul 2015 Last Revised: 25 Nov 2015
Wujiang (楼武畺) Lou
NYU/Courant
Downloads 165 (250,262)

Abstract:

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FVA, FVA debate, Law of one price, derivatives accounting, banking book derivatives, derivatives pricing, uncollateralized derivatives.

16.

Endogenous Recovery and Replication of A Segregated Derivatives Economy with Counterparty Credit, Collateral, and Market Funding

Number of pages: 25 Posted: 14 Jan 2013 Last Revised: 04 Feb 2016
Wujiang (楼武畺) Lou
NYU/Courant
Downloads 151 (269,170)
Citation 1

Abstract:

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Counterparty Credit Risk, Credit Valuation Adjustment (CVA), Funding Valuation Adjustment (FVA), Hedging Cost, Funding Cost, Swap and Derivative Financing

17.

The Fair Basis: Funding and Capital in the Reduced Form Framework

Risk, May 2019
Number of pages: 23 Posted: 06 Sep 2017 Last Revised: 14 May 2019
Wujiang (楼武畺) Lou
NYU/Courant
Downloads 134 (295,634)

Abstract:

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CDS-bond basis, negative basis, reduced form model, default risk, hedging error, FVA, KVA

18.

A Model for Small Basket Equities Financing

Number of pages: 30 Posted: 14 Sep 2021
Wujiang (楼武畺) Lou
NYU/Courant
Downloads 74 (435,004)

Abstract:

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Archegos collapse, haircut model, TRS initial margin, equity financing, prime financing, portfolio margin

19.

Fast Computation of Securities Financing Loss Distribution in Joint Lognormal Credit and Jump Diffusion Asset Model

Number of pages: 18 Posted: 09 Jul 2021
Wujiang (楼武畺) Lou
NYU/Courant
Downloads 55 (504,169)
Citation 1

Abstract:

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repurchase agreement, securities lending, haircuts, log OU process, Black-Karasinski model, Karhunen-Loeve decomposition, double exponential jump diffusion model

20.

Cash CVA -- Credit Valuation Adjustment in the Cash Form

Number of pages: 18 Posted: 22 Apr 2021 Last Revised: 01 May 2021
Wujiang (楼武畺) Lou
NYU/Courant
Downloads 47 (539,252)

Abstract:

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Credit valuation adjustment (CVA), Funding Valuation Adjustment (FVA), cash CVA, synthetic CVA

21.

SOFR Term Rates From Treasury Repo Pricing

Forthcoming, Journal of Derivatives, Summer 2022
Posted: 01 Mar 2021 Last Revised: 05 Jul 2022
Wujiang (楼武畺) Lou
NYU/Courant

Abstract:

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SOFR Term Rate, Treasury Repo Pricing, LIBOR Transition, SOFR Composition