Liuren Wu

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	전체	2020년 이후
서지정보	10671	2608
h-index	38	24
i10-index	70	42

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Peter CarrDepartment Chair, Finance and Risk Engineering, Tandon School, NYUnyu.edu의 이메일 확인됨
Markus LeippoldUniversity of Zurich, Department of Financebf.uzh.ch의 이메일 확인됨
David BackusNYU Stern School of Businessstern.nyu.edu의 이메일 확인됨
Turan BaliRobert Parker Chair Professor of Finance, Georgetown Universitygeorgetown.edu의 이메일 확인됨
Gurdip BakshiProfessor of Financetemple.edu의 이메일 확인됨
Richard HolowczakBaruch Collegebaruch.cuny.edu의 이메일 확인됨
Adlai FisherProfessor of Finance, Sauder School of Business, University of British Columbiasauder.ubc.ca의 이메일 확인됨
Laurent E. CalvetProfessor of Finance, SKEMA Business Schoolskema.edu의 이메일 확인됨
Jennie BaiGeorgetown University & NBERgeorgetown.edu의 이메일 확인됨
David EasleyProfessor Economics and Information Science, Cornell Universitycornell.edu의 이메일 확인됨
Maureen OHaraProfessor of Finance, Cornell Universitycornell.edu의 이메일 확인됨
Robert EngleNew York Universitystern.nyu.edu의 이메일 확인됨
Jing-Zhi HuangDepartment of Finance, Smeal College of Business, Penn State Universitypsu.edu의 이메일 확인됨
Professor Dr Malick Syrmit.edu.au의 이메일 확인됨
Jianfeng HuSingapore Management Universitysmu.edu.sg의 이메일 확인됨
Xiaolu HuRMIT Universityrmit.edu.au의 이메일 확인됨
Zhibai ZhangNYUnyu.edu의 이메일 확인됨
Xavier GabaixProf. of economics, Harvardfas.harvard.edu의 이메일 확인됨
Jian HuaBaruch Collegebaruch.cuny.edu의 이메일 확인됨
Milind ShrikhandeRobinson College of Business, Georgia State University, Atlanta, GAgsu.edu의 이메일 확인됨

팔로우

Liuren Wu

Wollman Distinguished Professor of Finance, Baruch College

baruch.cuny.edu의 이메일 확인됨 - 홈페이지

option pricing term structure modeling credit risk fundamental valuation market microstructure


제목 서지정보순 정렬 연도순 정렬 제목순 정렬	인용 인용	연도
Variance risk premiums P Carr, L Wu The Review of Financial Studies 22 (3), 1311-1341, 2009	1585	2009
Time-changed Lévy processes and option pricing P Carr, L Wu Journal of Financial economics 71 (1), 113-141, 2004	973	2004
The finite moment log stable process and option pricing P Carr, L Wu The journal of finance 58 (2), 753-777, 2003	710	2003
A tale of two indices P Carr, L Wu Available at SSRN 871729, 2005	573	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	441	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	378	2004
What type of process underlies options? A simple robust test P Carr, L Wu The Journal of Finance 58 (6), 2581-2610, 2003	366	2003
Asset pricing under the quadratic class M Leippold, L Wu Journal of Financial and Quantitative Analysis 37 (2), 271-295, 2002	340	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	300	2010
Accounting for biases in Black-Scholes D Backus, S Foresi, K Li, L Wu	269	1997
Uncovered interest-rate parity over the past two centuries JR Lothian, L Wu Journal of International Money and Finance 30 (3), 448-473, 2011	264	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	248	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	224	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	193	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	179	2007
Are interest rate derivatives spanned by the term structure of interest rates? M Heidari, L Wu	164	2001
Static hedging of standard options P Carr, L Wu Journal of Financial Econometrics 12 (1), 3-46, 2014	162*	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	160	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	149	2011

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