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2005 Talks

  • Modeling Financial Security Returns Using Levy Processes, at JP Morgan Chase, December 15, 2005

  • Design and Estimate Models with Dynamic Consistency, at Derivatives-Based Investments, New York, December 7-8, 2005

  • Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation, at 2005 Derivatives Forum: Maximizing Returns with State-of-the-Art Derivatives Investments, Bayard's, New York, November 21, 2005

  • Modeling Financial Security Returns Using Levy Processes, at Third Oxford-Princeton Workshop on Financial Mathematics and Stochastic Analysis, Princeton University, November 11-12, 2005

  • Fiat Money as Stock in Small Open Economies: Theory and Evidence on Sovereign Credit Default Swap and Currency Options, at FORC conference on credit risk, University of Warwick, UK September 30, 2005

  • Fiat Money as Stock in Small Open Economies: Theory and Evidence on Sovereign Credit Default Swap and Currency Options, at Baruch Brown Bag, September 20, 2005

  • Variance Dynamics: Joint Evidence from Options and High-Frequency Data, at Princeton-Chicago Conference on the Econometrics of High Frequency Financial Data, Florida, June 23-25, 2005

  • Stochastic Discount Factors in International Economies, at Western Finance Association meetings, Portland, June 18-21, 2005

  • Fiat Money as Stock in Small Open Economics: Theory and Evidence on Sovereign Credit Default Swap and Currency Options, at 13th Annual Conference on Pacific Basin Finance, Economics, and Accounting, Rutgers University June 10-11, 2005

  • Variance Dynamics: Joint Evidence from Options and High-Frequency Data, at Workshop on Stochastic Modeling in Financial Mathematics, University of Montreal, June 1-5, 2005

  • Price Discovery in the U.S. Stock Options Market, at NYU-ISE Symposium on the Transformation of Options Trading, New York University, May 10, 2005

  • A No-Arbitrage Analysis of the Economic Determinants of the Term Structure of Credit Spreads, at Baruch Brown Bag, March 15, 2005

  • Systematic Macroeconomic Movements and the Term Structure of Interest Rates, at Cornell University, March 4, 2005

  • Stochastic Discount Factors in International Economies, at University of Massachusetts, Amherst, February 11, 2005

  • Stochastic Discount Factors in International Economies, at Courant Institute, New York University, February 10, 2005

  • Stochastic Discount Factors in International Economies, at Bloomberg, January 31, 2005

  • Stochastic Skew in Currency Options, at 2005 Winter Econometric Society Meeting, Philadelphia, January 8-9, 2005

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