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Liuren Wu

Wollman Distinguished Professor of Finance

Wollman Distinguished Professor of FinanceLiurenWu.jpg

(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:

Option pricing; credit risk; term structure modeling; econometrics; market microstructure; international finance; asset pricing; asset allocation.

Selected Publications:

Peter Carr, and Liuren Wu, A Simple Robust Link Between American Puts and Credit Protection, Review of Financial Studies, 2011, 24(2), 473-505.

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

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

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.

Peter Carr, and Liuren Wu, Time-Changed Levy Processes and Option Pricing, Journal of Financial Economics, 2004, 17(1), 113-141.

Markus Leippold, and Liuren Wu, Asset Pricing Under The Quadratic Class, Journal of Financial and Quantitative Analysis, 2002, 37(2), 271-295.

Academic Activities:

Derivatives 2013: The State of the Art 40 Years after the Black-Scholes-Merton Model

2013 SoFie Annual Conference

The Fourth Risk Management Conference, Mont Tremblant, Québec, 2012.

American Financial Association Meetings, 2011

Western Finance Association Annual Meeting, 2011, 2008

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.

 

 

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