Working Papers

Option Pricing

A New Simple Approach for Constructing Implied Volatility Surfaces, Peter Carr and Liuren Wu.

Simple Robust Hedging With Nearby Contracts, Liuren Wu and Jingyi Zhu.

Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions, Peter Carr and Liuren Wu.

Credit Risk and Interest Rate Term Structures

Linearity-Generating Processes, Unspanned Stochastic Volatility, and Interest-Rate Option Pricing, Peter Carr, Xavier Gabaix, and Liuren Wu.

Anchoring Corporate Credit Swap Spreads to Firm Fundamentals, Jennie Bai and Liuren Wu.

Multifrequency Cascade Interest Rate Dynamics and Dimension-Invariant Term Structures, Laurent E. Calvet, Adlai J. Fisher, and Liuren Wu.

International Finance

Imports, Exports, Dollar Exposures, and Stock Returns, Suparna Chakraborty, Yi Tang, and Liuren Wu.

A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs, Gautam Goswami, Milind Shrikhande, and Liuren Wu.

Asset Pricing

Market Pricing of Economic Risks and Stock Returns, Yi Tang and Liuren Wu.