Liuren Wu

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Coauteurs

Peter CarrDepartment Chair, Finance and Risk Engineering, Tandon School, NYUAdresse e-mail validée de nyu.edu
Markus LeippoldUniversity of Zurich, Department of FinanceAdresse e-mail validée de bf.uzh.ch
David BackusNYU Stern School of BusinessAdresse e-mail validée de stern.nyu.edu
Turan BaliRobert Parker Chair Professor of Finance, Georgetown UniversityAdresse e-mail validée de georgetown.edu
Gurdip BakshiProfessor of FinanceAdresse e-mail validée de temple.edu
Richard HolowczakBaruch CollegeAdresse e-mail validée de baruch.cuny.edu
Adlai FisherProfessor of Finance, Sauder School of Business, University of British ColumbiaAdresse e-mail validée de sauder.ubc.ca
Laurent E. CalvetProfessor of Finance, SKEMA Business SchoolAdresse e-mail validée de skema.edu
Jennie BaiGeorgetown University & NBERAdresse e-mail validée de georgetown.edu
David EasleyProfessor Economics and Information Science, Cornell UniversityAdresse e-mail validée de cornell.edu
Maureen OHaraProfessor of Finance, Cornell UniversityAdresse e-mail validée de cornell.edu
Robert EngleNew York UniversityAdresse e-mail validée de stern.nyu.edu
Jing-Zhi HuangDepartment of Finance, Smeal College of Business, Penn State UniversityAdresse e-mail validée de psu.edu
Professor Dr Malick SyAdresse e-mail validée de rmit.edu.au
Jianfeng HuSingapore Management UniversityAdresse e-mail validée de smu.edu.sg
Xavier GabaixProf. of economics, HarvardAdresse e-mail validée de fas.harvard.edu
Xiaolu HuRMIT UniversityAdresse e-mail validée de rmit.edu.au
Zhibai ZhangNYUAdresse e-mail validée de nyu.edu
Jian HuaBaruch CollegeAdresse e-mail validée de baruch.cuny.edu
Milind ShrikhandeRobinson College of Business, Georgia State University, Atlanta, GAAdresse e-mail validée de gsu.edu

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Liuren Wu

Wollman Distinguished Professor of Finance, Baruch College

Adresse e-mail validée de baruch.cuny.edu - Page d'accueil

option pricing term structure modeling credit risk fundamental valuation market microstructure


Titre Trier par citations Trier par année Trier par titre	Citée par Citée par	Année
Variance risk premiums P Carr, L Wu The Review of Financial Studies 22 (3), 1311-1341, 2009	1561	2009
Time-changed Lévy processes and option pricing P Carr, L Wu Journal of Financial economics 71 (1), 113-141, 2004	959	2004
The finite moment log stable process and option pricing P Carr, L Wu The journal of finance 58 (2), 753-777, 2003	695	2003
A tale of two indices P Carr, L Wu Available at SSRN 871729, 2005	559	2005
Time-varying arrival rates of informed and uninformed trades D Easley, RF Engle, M O'Hara, L Wu Journal of Financial Econometrics 6 (2), 171-207, 2008	471	2008
Stochastic skew in currency options P Carr, L Wu Journal of Financial Economics 86 (1), 213-247, 2007	440	2007
Specification analysis of option pricing models based on time‐changed Lévy processes J Huang, L Wu The Journal of Finance 59 (3), 1405-1439, 2004	369	2004
What type of process underlies options? A simple robust test P Carr, L Wu The Journal of Finance 58 (6), 2581-2610, 2003	363	2003
Asset pricing under the quadratic class M Leippold, L Wu Journal of Financial and Quantitative Analysis 37 (2), 271-295, 2002	339	2002
Stock options and credit default swaps: A joint framework for valuation and estimation P Carr, L Wu Journal of Financial Econometrics 8 (4), 409-449, 2010	296	2010
Accounting for biases in Black-Scholes DK Backus, S Foresi, L Wu Available at SSRN 585623, 2004	265	2004
Uncovered interest-rate parity over the past two centuries JR Lothian, L Wu Journal of International Money and Finance 30 (3), 448-473, 2011	263	2011
The term structure of variance swap rates and optimal variance swap investments D Egloff, M Leippold, L Wu Journal of financial and quantitative analysis 45 (5), 1279-1310, 2010	249	2010
Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies G Bakshi, P Carr, L Wu Journal of Financial Economics 87 (1), 132-156, 2008	222	2008
Predictable changes in yields and forward rates D Backus, S Foresi, A Mozumdar, L Wu Journal of Financial Economics 59 (3), 281-311, 2001	192	2001
Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options P Carr, L Wu Journal of Banking & Finance 31 (8), 2383-2403, 2007	174	2007
Are interest rate derivatives spanned by the term structure of interest rates? M Heidari, L Wu Available at SSRN 283310, 2001	164	2001
Static hedging of standard options P Carr, L Wu Journal of Financial Econometrics 12 (1), 3-46, 2014	158*	2014
Leverage effect, volatility feedback, and self-exciting market disruptions P Carr, L Wu Journal of Financial and Quantitative Analysis 52 (5), 2119-2156, 2017	157	2017
A simple robust link between American puts and credit protection P Carr, L Wu The Review of Financial Studies 24 (2), 473-505, 2011	146	2011

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