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Working Papers

Option Profit and Loss Attribution and Pricing: A New Framework, Peter Carr and Liuren Wu.

Shale Revolution and Shifting Crude Dynamics, Malick O. Sy, and Liuren Wu.

Earning Day Variance Ratio: Stock Market Response to Earnings Announcements, Malick Sy, Yi Tang, and Liuren Wu.

Centrality of the Supply Chain Network, Liuren Wu.

Accounting for Biases for Black-Scholes, David Backus, Silverio Foresi, and Liuren Wu.

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

What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities, Massoud Heidari and Liuren Wu.

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

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