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Liuren Wu's Publications Peter Carr, and Liuren Wu, Variance Risk Premiums, Review of Financial Studies, forthcoming. Frank Zhang, and Liuren Wu, A No-Arbitrage Analysis of Economic Determinants of the Credit Spread Term Structure, Management Science, forthcoming. Massoud Heidari, and Liuren Wu, Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rate Derivatives, Journal of Financial and Quantitative Analysis, forthcoming. David Easley, Robert Engle, Maureen O'Hara, and Liuren Wu, Time-Varying Arrival Rates of Informed and Uninformed Trades , Journal of Financial Econometrics, 2008, 6(2),171--207. Gurdip Bakshi, Peter Carr, and Liuren Wu, Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies, Journal of Financial Economics, 2008, 87(1), 132-156. Yusif Simaan, and Liuren Wu, Price Discovery in the U.S. Stock Options Market, Journal of Derivatives, 2007, 15(2), 20--38.
Peter Carr, and Liuren Wu, Stochastic Skew in Currency Options,
Journal of Financial Economics, 2007, 86(1), 213--247. Henry Mo, and Liuren Wu, International Capital Asset Pricing:
Evidence from Options,
Journal of Empirical Finance, 2007, 14(4), 465--498. Peter Carr, and Liuren Wu, Theory and Evidence on the Dynamic
Interactions Between Sovereign Credit Default Swaps and Currency Options,
Journal of Banking and Finance, 2007, 31(8), 2383--2403. Markus Leippold, and Liuren Wu, Design and Estimation of Multi-Currency Quadratic Models,
Review of Finance, 2007, 11(2), 167--207. Liuren Wu, Modeling Financial Security Returns Using Levy Processes,
Handbooks in Operations Research and Management Science: Financial Engineering, 15,
Eds. John Birge and Vadim Linetsky, Elsevier, 2008. Richard Holowczak, Yusif Simaan, and Liuren Wu, Price Discovery in the U.S. Stock and Stock Options Markets: A Portfolio Approach,
Review of Derivatives Research, 2006, 9, 37--65.
Liuren Wu, Dampened Power Law: Reconciling
the Tail Behavior of Financial Security Returns, Journal
of Business, 2006, 79(3), 1445--1474. Peter Carr, and Liuren Wu, A Tale of Two Indices,
Journal of Derivatives, 2006, 13(3), 13--29. Turan Bali, and Liuren Wu, A Comprehensive Analysis of the Short-Term Interest Rate Dynamics,
Journal of Banking and Finance,
2006, 30(4), 1269--1290. Enlin Pan, and Liuren Wu, Taking
Positive Interest Rates Seriously,
Advances in Quantitative Analysis of Finance and Accounting, 2006, volume 4, chapter 14. Silverio Foresi, and Liuren Wu, Crash-O-Phobia: A Domestic Fear or A Worldwide Concern?
Journal of Derivatives, 2005,
13(2), 8--21. Jing-Zhi Huang, and Liuren Wu, Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes,
Journal of Finance, 2004, 59(3), 1405--1439.
Peter Carr, and Liuren Wu, Time-Changed
Levy Processes and Option Pricing, Journal
of Financial Economics, 2004, 17(1), 113--141. Peter Carr, and Liuren Wu, What
Type of Process Underlies Options? A Simple Robust Test,
Journal
of Finance, 2003, 58(6), 2581--2610.
Peter Carr, and Liuren Wu, Finite
Moment Log Stable Process and Option Pricing, Journal
of Finance, 2003, 58(2), 753--777.
Markus Leippold, and Liuren Wu, Design
and Estimation of Quadratic Term Structure Models,
European Finance Review, 2003, 7(1), 47--73.
Massoud Heidari, and Liuren Wu, Are
Interest Rate Derivatives Spanned by the Term Structure of
Interest Rates?
Journal of Fixed Income, 2003, 13(1), 75--86.
Liuren Wu, Jumps and Dynamic Asset Allocation,
Review of Quantitative Finance and Accounting, 2003, 20(3), 207--243.
Markus Leippold, and Liuren Wu, Asset
Pricing Under The Quadratic Class,
Journal of Financial and Quantitative Analysis, 2002, 37(2), 271--295.
David Backus, Silverio Foresi, Abon Mozumdar, and Liuren Wu, Predictable
Changes in Yields and Forward Rates,
Journal of Financial
Economics, 2001, 59(3), 281--311.
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