Liuren WU
Associate Professor of Finance, Zicklin School of Business, USA
RESEARCH Credit risk and term structure modeling; option pricing;
INTERESTS market microstructure; international finance; asset pricing; asset allocation.
ACADEMIC BARUCH COLLEGE, CUNY New York, NY
EXPERIENCE Zicklin School of Business 2003-present Associate Professor of Finance
FORDHAM UNIVERSITY Graduate School of Business New York, NY 1998-2003 Assistant Professor of Finance
INDUSTRY BLOOMBERG New York, NY
EXPERIENCE Quantitative research 2003-present Consultant, model development and implementation
EDUCATION NEW YORK UNIVERSITY New York, NY Leonard N. Stern School of Business
1998 Master of Philosophy, International Finance and Economics
CHINESE ACADEMY OF SCIENCES Beijing, CHINA Institute of Chemistry
1994 Ph.D., Polymer chemistry and physics
BEIJING INSTITUTE OF TECHNOLOGY Beijing, CHINA 1991 Master of Science, Chemical Engineering 1988 Bachelor of Science, Chemical Engineering
PUBLICATIONS
Price Discovery in the U.S. Stock and Stock Options Markets: A Portfolio Approach (with Holowczak and Simaan), Review of Derivatives Research, 2006, 9, 37--65.
Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns, Journal of Business, 2006, 79(3), 1445-1474.
A Tale of Two Indices (with Carr), Journal of Derivatives, 2006, 13(3), 1329.
Taking Positive Interest Rates Seriously (with Pan), Advances in Quantitative Analysis of Finance and Accounting, 2006, vol 4, chap. 14.
Modeling Financial Security Returns Using Levy Processes, forthcoming in Handbook of Financial Engineering, 2006, Eds. John Birge and Vadim Linetsky.
A Comprehensive Analysis of the Short-Term Interest Rate Dynamics (with Bali), Journal of Banking and Finance, 2006, 30(4), 1269--1290.
Crash-O-Phobia: A Domestic Fear or A Worldwide Concern? (with Foresi), Journal of Derivatives, 2005, 13(2), 8--21.
Specification Analysis of Option Pricing Models Based on Time-Changed Lévy Processes (with Huang), Journal of Finance, 2004, 59(3), 1405--1439.
Time-Changed Lévy Processes and Option Pricing (with Carr), Journal of Financial Economics, 2004, 27(1), 113-141.
What Type of Process Underlies Options? A Simple Robust Test (with Carr), Journal of Finance, 2003, 58(6), 2581--2610.
Finite Moment Log Stable Process and Option Pricing (with Carr), Journal of Finance, 2003, 58(2), 753--777.
Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates? (with Heidari), Journal of Fixed Income, 2003, 13(1), 75--86.
Design and Estimation of Quadratic Term Structure Models (with Leippold), European Finance Review, 2003, 7(1), 47--73.
Jumps and Dynamic Asset Allocation, Review of Quantitative Finance and Accounting, 2003, 20(3), 207--243.
Asset Pricing Under the Quadratic Class (with Leippold), Journal of Financial and Quantitative Analysis, 2002, 37(2), 271--295.
Predictable Changes in Yields and Forward rates (with Backus, Foresi, and Mozumdar), Journal of Financial Economics, 2001, 59(3), 281--311.
INTERESTS market microstructure; international finance; asset pricing; asset allocation.
ACADEMIC BARUCH COLLEGE, CUNY New York, NY
EXPERIENCE Zicklin School of Business 2003-present Associate Professor of Finance
FORDHAM UNIVERSITY Graduate School of Business New York, NY 1998-2003 Assistant Professor of Finance
INDUSTRY BLOOMBERG New York, NY
EXPERIENCE Quantitative research 2003-present Consultant, model development and implementation
EDUCATION NEW YORK UNIVERSITY New York, NY Leonard N. Stern School of Business
1998 Master of Philosophy, International Finance and Economics
CHINESE ACADEMY OF SCIENCES Beijing, CHINA Institute of Chemistry
1994 Ph.D., Polymer chemistry and physics
BEIJING INSTITUTE OF TECHNOLOGY Beijing, CHINA 1991 Master of Science, Chemical Engineering 1988 Bachelor of Science, Chemical Engineering
PUBLICATIONS
Price Discovery in the U.S. Stock and Stock Options Markets: A Portfolio Approach (with Holowczak and Simaan), Review of Derivatives Research, 2006, 9, 37--65.
Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns, Journal of Business, 2006, 79(3), 1445-1474.
A Tale of Two Indices (with Carr), Journal of Derivatives, 2006, 13(3), 1329.
Taking Positive Interest Rates Seriously (with Pan), Advances in Quantitative Analysis of Finance and Accounting, 2006, vol 4, chap. 14.
Modeling Financial Security Returns Using Levy Processes, forthcoming in Handbook of Financial Engineering, 2006, Eds. John Birge and Vadim Linetsky.
A Comprehensive Analysis of the Short-Term Interest Rate Dynamics (with Bali), Journal of Banking and Finance, 2006, 30(4), 1269--1290.
Crash-O-Phobia: A Domestic Fear or A Worldwide Concern? (with Foresi), Journal of Derivatives, 2005, 13(2), 8--21.
Specification Analysis of Option Pricing Models Based on Time-Changed Lévy Processes (with Huang), Journal of Finance, 2004, 59(3), 1405--1439.
Time-Changed Lévy Processes and Option Pricing (with Carr), Journal of Financial Economics, 2004, 27(1), 113-141.
What Type of Process Underlies Options? A Simple Robust Test (with Carr), Journal of Finance, 2003, 58(6), 2581--2610.
Finite Moment Log Stable Process and Option Pricing (with Carr), Journal of Finance, 2003, 58(2), 753--777.
Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates? (with Heidari), Journal of Fixed Income, 2003, 13(1), 75--86.
Design and Estimation of Quadratic Term Structure Models (with Leippold), European Finance Review, 2003, 7(1), 47--73.
Jumps and Dynamic Asset Allocation, Review of Quantitative Finance and Accounting, 2003, 20(3), 207--243.
Asset Pricing Under the Quadratic Class (with Leippold), Journal of Financial and Quantitative Analysis, 2002, 37(2), 271--295.
Predictable Changes in Yields and Forward rates (with Backus, Foresi, and Mozumdar), Journal of Financial Economics, 2001, 59(3), 281--311.