Liuren Wu

Professor Wu’s major research interests include option pricing, credit risk and term structure modeling, market microstructure, and general asset pricing. During the past decade, Professor Wu has published over 40 articles, many of them in top finance journals such as the Journal of Finance, the he Journal of Financial Economics, Review of Financial Studies, the Journal of Financial and Quantitative Analysis, and Journal of Monetary Economics. Professor Wu is also actively involved in the finance industry, where he has developed big data analytics, data filtering algorithms, trading strategies, risk management procedures, and quantitative models for pricing fixed income and equity derivative securities.

Areas of Expertise

• Option Pricing; Credit Risk; Term Structure Modeling; Econometrics; Market Microstructure; International Finance; Asset Pricing; Asset Allocation.

Academic Degrees

• 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

Awards

• 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.

Publications

• Peter Carr and Liuren Wu, Analyzing Volatility Risk and Risk Premium in Option Contracts: A New Theory, Journal of Financial Economics, 2016, 120(1), 1–20.

• Liuren Wu and Jingyi Zhu, Simple Robust Hedging With Nearby Contracts, Journal of Financial Econometrics, 2016, 15(1), 1–35.

• Jennie Bai and Liuren Wu, Anchoring Corporate Credit Swap Spreads to Firm Fundamentals,Journal of Financial and Quantitative Analysis, 2016, 51(5), 1521–1543.

• 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.