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Liuren Wu
Associate Professor of Economics and Finance
(646) 312-3509
liuren_wu@baruch.cuny.edu
http://faculty.baruch.cuny.edu/lwu/
Education:
PhD Institute of Chemistry, Chinese Academy of Sciences 1994 Master of Philosophy Stern School of Business New York University 1998 MS Beijing Institute of Technology Chemical Engineering 1991 BS Beijing Institute of Technology Chemical Engineering 1988
Areas of Expertise:
Term structure modeling; option pricing; microstructure; international finance.
Selected Publications:
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.