Personal tools

Liuren Wu

Associate Professor of Economics and Finance

Professor of Economics and Finance

(646) 312-3509
liuren.wu@baruch.cuny.edu
http://faculty.baruch.cuny.edu/lwu/

Education:

BS Beijing Institute of Technology Chemical Engineering 1988
MS Beijing Institute of Technology Chemical Engineering 1991
Master of Philosophy Stern School of Business, New York University 1998
PhD Institute of Chemistry, Chinese Academy of Sciences 1994

Areas of Expertise:

Term structure modeling; option pricing; microstructure; international finance.

Selected Publications:

Peter Carr, and Liuren Wu, A Simple Robust Link Between American Puts and Credit Protection, Review of Financial Studies, forthcoming.

Gurdip Bakshi, and Liuren Wu, The Behavior of Risk and Market Prices of Risk over the Nasdaq Bubble Period, Management Science, forthcoming.

Daniel Egloff, Markus Leippold, and Liuren Wu, The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments, Journal of Financial and Quantitative Analysis, 2010, 45(5) 1279-1310.

Liuren Wu, Variance Dynamics: Joint Evidence from Options and High-Frequency Returns, Journal of Econometrics, 2011, 160(1), 280-287.

Turan Bali, Massoud Heidari, and Liuren Wu, Predictability of Interest Rates and Interest-Rate Portfolios, Journal of Business and Economic Statistics, 2009, 27(4), 517-527.

Biao Lu, and Liuren Wu, Macroeconomic Releases and the Interest Rate Term Structure, Journal of Monetary Economics, 2009, 56(6), 872-884.

Massoud Heidari, and Liuren Wu, A Joint Framework for Consistently Pricing Interest Rates and Interest Rate Derivatives, Journal of Financial and Quantitative Analysis, 2009, 44(3), 517-550.

Peter Carr, and Liuren Wu, Variance Risk Premiums, Review of Financial Studies, 2009, 22(3), 1311-1341.

Liuren Wu, and Frank Zhang, A No-Arbitrage Analysis of Economic Determinants of the Credit Spread Term Structure, Management Science, 2008, 54(6), 1160-1175.

Gurdip Bakshi, Peter Carr, and Liuren Wu, Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies, Journal of Financial Economics, 2008, 87(1), 132-156.

Peter Carr, and Liuren Wu, Stochastic Skew in Currency Options, Journal of Financial Economics, 2007, 86(1), 213--247.

Liuren Wu, Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns, Journal of Business, 2006, 79(3), 1445--1474.

"Specification Analysis of Option Pricing Models Based on Time-Changed Lvy Processes," (with Jingzhi Huang), Journal of Finance, 2004, 59(3), 1405-1439.

"Time-Changed Lvy Processes and Option Pricing," (with Peter Carr), Journal of Financial Economics, 2004, 27(1), 113-141.

"What Type of Process Underlies Options? A Simple Robust Test," (with Peter Carr), Journal of Finance, 2003, 58(6), 2581-2610.

"Finite Moment Log Stable Process and Option Pricing," (with Peter Carr), Journal of Finance, 2003, 58(2), 753-777.

"Asset Pricing Under the Quadratic Class," (with Markus Leippold), Journal of Financial and Quantitative Analysis, 2002, 37(2), 271-295.

"Predictable Changes in Yields and Forward rates," (with David Backus, Silverio Foresi, and Abon Mozumdar), Journal of Financial Economics, 2001, 59(3), 281-311.

Academic Activities:

European Finance Association Annual Meeting, 2003, 2004, 2006.

American Finance Association Annual Meeting, 2001, 2005.

Western Finance Association Annual Meeting, 2001, 2003, 2005.

Professional Activities:

Ad hoc referee, Journal of Finance, Review of Financial Studies, Journal of Financial and Quantitative Analysis, Journal of Empirical Finance, Journal of Business, Management Science, Journal of Monetary Economics, Mathematical Finance, Risk, Journal of International Money and Finance, Journal of Futures Markets, Review of Derivatives Research, International Journal of Theoretical and Applied Finance, Review of Economics and Statistics, Finance Review, Quantitative Finance, Review of Quantitative Finance and Accounting, Review of Pacific Basin Financial Markets and Policies etc.

Awards Honors etc:

The Professional Staff Congress of the City University of New York (PSC-CUNY) Research Award recipient, 2004-2005, 2007.

Faculty scholarship and creative achievement award recipient, Zicklin School of Business, Baruch College, 2004, 2005.

 

 

cuny-logo.gif
Baruch College/CUNY | Zicklin School Of Business | 646-312-1000 | Copyright © 2011
One Bernard Baruch Way, New York, NY 10010 ( 55 Lexington Avenue at East 24th Street, NYC )

FAQ | News | Events Listing | Administrators Login | About This Website | AACSB Accredited