Liuren Wu

Education

MPhil, International Fin/Eco, New York University

Ph.D., Chem./Physics, Chinese Academy of Science

M.S., Chem. Engineering, Beijing Inst. Of Tech

B.S., Chem. Engineering, Beijing Inst. Of Tech

Journal Articles

Tian, M., & Wu, L. (2024). Cross-sectional Variation of Option Implied Skew. Management Science, 70(6). 3381-4165.

Wu, L., & Zhang, Y. (2024). Common Pricing of Decentralized Risk: A Linear Option Pricing Model. Review of Financial Studies,

Tian, M., & Wu, L. (2023). Limits of Arbitrage and Primary Risk Taking in Derivative Securities. Review of Asset Pricing Studies, 13(3). 405--439.

Carr, P., & Wu, L. (2023). Decomposing Long Bond Returns: A Decentralized Theory. Review of Finance, 27(3). 997-1026.

Wu, L. (2023). Centrality of the Supply Chain. Annual Reviews In Modern Quantitative Finance, 1. In Progress.

Penaranda, F., & Wu, L. (2022). Targets, Predictability, and Performance. Management Science, 68(2). 1537-1555.

Carr, P., Wu, L., & Zhang, Z. (2020). Using Machine Learning to Predict Realized Variance. Journal of Investment Management, 18(2). 1--16.

Wu, L., & Sy, M. O. (2020). The Shale Revolution and Shifting Crude Dynamics. Journal of Applied Econometrics, 35(2). 160-175.

Carr, P., & Wu, L. (2020). Option Profit and Loss Attribution and Pricing: A New Framework. Journal of Finance, 75(4). 2271-2316.

Wu, L. (2018). Estimating Risk-return Relations with Analysts Price Targets. Journal of Banking and Finance, 93. 183--197.

Calvet, L. E., Fisher, A. J., & Wu, L. (2018). Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics. Journal of Financial and Quantitative Analysis, 53(2). 937--963.

Hua, J., & Wu, L. (2018). Monetary Policy Rule as a Bridge: Predicting Inflation without Predictive Regressions. Journal of Financial and Quantitative Analysis, 53(6). 2559--2586.

Carr, P., & Wu, L. (2017). Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions. Journal of Financial and Quantitative Analysis, 52(5). 2119-2156.

Carr, P., & Wu, L. (2016). Analyzing Volatility Risk and Risk Premium in Option Contracts: A New Theory. Journal of Financial Economics, 120(1). 1-20.

Wu, L., & Zhu, J. (2016). Simple Robust Hedging with Nearby Contracts. Journal of Financial Econometrics, 15(1). 1-35.

Bai, J., & Wu, L. (2016). Anchoring Corporate Credit Swap Spreads to Firm Fundamentals. Journal of Financial and Quantitative Analysis, 51(5). 1521-1543.

Chakraborty, S., Tang, Y., & Wu, L. (2015). Imports, Exports, Dollar Exposures, and Stock Returns. Open Economies Review, 26(5). 1059-1079.

Carr, P., & Wu, L. (2014). Static Hedging of Standard Options. Journal of Financial Econometrics, 12(1). 3-46.

Holowczak, R., Hu, J., & Wu, L. (2014). Aggregating Information in Option Transactions. Journal of Derivatives, 21(3). 9-23.

(2013). Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and Evidence from the Credit Default Swap Term Structure. Review of Finance, 17(1). 403-441.

(2013). Equity Trading in The Fast Lane. Journal of Portfolio Management, 39(3). 3–6.

(2012). Variance Swaps on Time-Changed Levy Processes. Finance and Stochastics, 16(2). 335-355.

Lothian, J., & Wu, L. (2011). Uncovered Interest Rate Parity Over the Past Two Centuries. Journal of International Money and Finance, 30(3). 448-473.

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

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

(2010). The Role of Exchange Rates in Intertemporal Risk-Return Relations. Journal of International Money and Finance, 29(8). 1670-1686.

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

(2010). Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation. Journal of Econometrics, 8(4). 409-449.

(2010). The Behavior of Risk and Market Prices of Risk over the Nasdaq Bubble Period. Management Science, 56(12). 2251--2264.

(2010). Market Anticipation of Fed Policy Changes and the Term Structure of Interest Rates. Review of Finance, 14(2). 313-341.

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

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

(2009). Predictability of Interest Rates and Interest-Rate Portfolios. Journal of Business and Economic Statistics, 27(4). 517-527.

(2009). Variance Risk Premiums. Review of Financial Studies, 22(3). 1311-1341.

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

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

(2008). Time-Varying Arrival of Informed and Uninformed Trades. Journal of Financial Econometrics, 6(2). 171-207.

(2007). Theory and Evidence on the Dynamic Interactions Between Sovereign Credit Default Swaps and Currency Options. Journal of Banking and Finance, 31(8). 2383-2403.

(2007). Design and Estimation of Multi-Currency Quadratic Models. Review of Finance, 11(2). 167-207.

(2007). International Capital Asset Pricing: Evidence from Options. Journal of Empirical Finance, 14(4). 465-498.

(2007). Price Discovery in the U.S. Stock Options Market. Journal of Derivatives, 15(2). 20-38.

(2007). Stochastic Skew in Currency Options. Journal of Financial Economics, 86(1). 213-247.

(2006). Price Discovery in the U.S. Stock and Stock Options Market: A Portfolio Approach. Review of Derivatives Research, 9. 37-65.

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

(2006). A Tale of Two Indices. Journal of Derivatives, 13(3). 13-29.

(2006). A Comprehensive Analysis of the Short-Term Interest Rate Dynamics. Journal of Banking and Finance, 30(4). 1269-1290.

(2006). Taking Positive Interest Rates Seriously. Advances in Quantitative Analysis of Finance and Accounting, 4(14). 327-356.

(2005). Crash-O-Phobia: A Domestic Fear or A Worldwide Concern?. Journal of Derivatives, 13(2). 8-21.

(2004). Specification Analysis of Opinion Pricing Models Based on Time-Changed Levy Processes. Journal of Finance, 59(3). 1405-1439.

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

(2003). What Type of Process Underlines Options? A Simple Robust Test. Journal of Finance, 58(6). 2581-2610.

(2003). Design and Estimation of Quadratic Term Structure of Interest Rates. European Finance Review, 7(1). 47-73.

(2003). Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?. Journal of Fixed Income, 13(1). 75-86.

(2003). Jumps and Dynamic Asset Allocation. Review of Quantitative Finance and Accounting, 20(3). 207-243.

(2003). Finite Moment Log Stables Process and Option Pricing. Journal of Finance, 58(2). 753-777.

(2002). Asset Pricing Under the Quadratic Class. Journal of Financial and Quantitative Analysis, 32(2). 271-295.

(2001). Predictable Changes in Yields and Forward Rates. Journal of Financial Economics, 59(3). 281-311.

Book Chapters

(2022). Probabilistic Interpretation of Black Implied Volatility. Options - 45 Years Since the Publication of the Black-Scholes-Merton Model World Scientific.

Wu, L. (2008). "Modeling Financial Security Returns Using Levy Processes.". In Birge, J., & Linetsky, V. (Eds.), Handbook of Financial Engineering Elsevier.

Presentations

Wu, L. (2025, November 16). Finding value in the US corporate bond market. Finance Seminar. Montreal: HEC Montreal.

Wu, L. (2025, September 16). Finding value in the US corporate bond market. Brown Bag. New York: CUNY.

Wu, L. (2025, November 16). Cross-sectional variation of risk-targeting option portfolios. FMA derivatives. Chicago: FMA.

Wu, L. (2025, March 16). Option pricing bottom up and top down. the Second Annual Faculty Research Symposium. Baruch College: Baruch College.

Wu, L. (2025, March 16). Option pricing bottom up and top down. Financial & Actuarial Series Seminar. China: Xi'an Jiaotong-Liverpool University.

Wu, L. (2025, March 16). Common pricing of decentralized risk: A linear option pricing model. Cancun Derivatives and Asset Pricing Conference 2023. Cancun: CDI.

Wu, L. (2025, January 16). Common pricing of decentralized risk: A linear option pricing model. Virtual Derivatives Workshops. Virtual: CDI.

Wu, L. (2025, May 16). Common pricing of decentralized risk: A linear option pricing model. IAQF & Thalesians Seminar Series. New York: IAQF.

Wu, L. (2025, May 16). Common pricing of decentralized risk: A linear option pricing model. IAQF & Thalesians Seminar Series. New York: IAQF & Thalesians Soceity.

Wu, L. (2025, March 16). Option pricing bottom up and top down. the Second Annual Faculty Research Symposium. New York: Baruch College.

Wu, L. (2025, March 16). Option pricing bottom up and top down. Financial & Actuarial Series Seminar. Virtual: Xi'an Jiaotong-Liverpool University.

Wu, L. (2025, June 16). Option Pricing Bottom Up and Top Down. Peter Carr Memorial Conference. : New York University.

Wu, L. (2025, September 16). Machine Learning v Structural Modeling in Finance. Digital Economy and Low-Carbon Traffic Management. Jinan, China: Shandong Institute of Transportation.

Wu, L. (2025, June 16). Option pricing bottom up and top down. Peter Carr Memorial Conference. New York: New York University.

Wu, L. (2025, October 16). Common pricing of decentralized risk: A linear option pricing model. Peter Carr Brooklyn Quant Experience (BQE) Lecture Series. New York: New York University.

Wu, L. (2025, September 16). Machine learning versus structural modeling in finance. Big Data Conference. Jinan China

Wu, L. (2025, February 16). Limits of Arbitrage and Primary Risk Taking in Derivative Securitie. Baruch Brown Bag.

Wu, L. (2025, October 16). Predicting Stock Return Variance in a Large Cross Section. Baruch Brown Bag. : Baruch College.

Wu, L. (2025, April 16). Limits of Arbitrage and Primary Risk Taking in Derivative Securities. Virtual Derivative Workshop.

Wu, L. (2025, May 16). Dynamic Optimality of Airline Fuel Cost Hedging. 8th Multinational Energy And Value Conference.

Wu, L. (2025, May 16). Limits of Arbitrage and Primary Risk Taking in Derivative Securities. The 5th PKU-NUS Annual International Conference on Quantitative Finance and Economics.

Wu, L. (2025, June 16). Limits of Arbitrage and Primary Risk Taking in Derivative Securities. 10th ITAM Finance Conference,.

Wu, L. (2025, June 16). Dynamic Optimality of Airline Fuel Cost Hedging. Commodity and Energy Markets Conference.

Wu, L. (2025, July 16). Limits of Arbitrage and Primary Risk Taking in Derivative Securities. China International Conference in Finance 2021. China

Wu, L. (2025, July 16). Dynamic Optimality of Corporate Hedging. the Fourteenth Annual Risk Management Conference. Singapore: National University of Singapore.

Wu, L. (2025, September 16). Limits of Arbitrage and Primary Risk Taking in Derivative Securities. CDI 2021 - The 10th Conference on Derivatives. Virtual: CDI.

Wu, L. (2025, November 16). Decomposing Long Bond Returns: A Decentralized Modeling Approach. : South Dokota State University.

Wu, L. (2025, December 16). Toward a Factor Model of Relative Valuation. NUS Quantitative Finance Joint Seminar Series. Singapore: National University of Singapore.

Wu, L. (2025, December 16). Toward a Factor Model of Relative Valuation. Baruch Brown Bag.

Wu, L. (2019, March 30). Volatility Factor Structure. Fourth Annual Young Scholars Finance Consortium. Texas: Texas A & M University.

Wu, L. (2019, May 10). Top-down Mean-variance Option Investment and Pricing. CUNY Macroeconomics and Fiance Colloquium. The Graduate Center, New York: CUNY.

Wu, L. (2019, October 4). Dynamic Optimality of Fuel Cost Hedging for US Airlines. Houston: University of Houston.

Wu, L. (2018, July 13). Shale Revolution and Shifting Crude Dynamics. Beijing: Beijing Institute of Technology.

Wu, L. (2018, July 8). Shale Revolution and Shifting Crude Dynamics. China International Forum on Finance and Policy. Beijing

Wu, L. (2018, March 23). P&L Attribution and Option Pricing. New York: Stony Brook University.

Wu, L. (2017, October 17). Shale Revolution and Shifting Crude Dynamics. New York: Baruch.

Wu, L. (2017, November 17). P&L Attribution and Option Pricing. New York: Credit Suisse.

Wu, L. (2017, September 14). P&L Attribution and Option Pricing. IFSID Sixth Conference on Derivatives. Montreal, Canada: IFSID.

Wu, L. (2017, March 9). Decomposing Long Bond Returns. Hoboken, New Jersey: Stevens Institute of Technology.

Wu, L. (2017, March 31). Shale Revolution and Shifting Crude Dynamics. New Jersey: Rutgers University.

Wu, L. (2017, April 28). Decomposing Long Bond Returns. Derivatives and Volatility 2017: The State of the Art. New York: New York University.

Wu, L. (2016, December 7). Centrality of the Supply Chain Network. New York: Quantbot.

Wu, L. (2016, July 29). Analysing Volatility Risk and Risk Premium in Option Contracts: A New Theory. Melbourne, Australia

Wu, L. (2016, April 29). Same Risk Everywhere. The 8tth Annual Volatility Institute Conference on Commodities and Emerging Market Risks. New York: Stern School of Business, NYU.

Wu, L. (2016, June 4). Decomposing Yield to Maturity. The Role of Derivatives in Asset Pricing. Baltimore: JHU-AQR.

Wu, L. (2016, July 27). Earnings Day Variance Ratio. Melbourne, Australia: RMIT.

Wu, L. (2016, March 29). Estimating risk-return relations with price targets. New York: Baruch College, CUNY.

Wu, L. (2015, September 25). The Role of Positions and Activities in Derivative Pricing. IFSID 2015 - Fourth Conference on Derivatives. Montreal: IFSID.

Wu, L. (2015, October 20). Centrality of the Supply Chain Network. Seminar in Applied Economics. New York: CUNY Gradate Center.

Wu, L. (2015, November 24). How Do Fundamentals Matter? Stock Market Responses to Earnings Announcements. New York: Baruch College, CUNY.

Wu, L. (2015, December 1). Monetary Policy as a Bridge: Predicting Inflation Without Predictive Regressions. New York: Queens College.

Wu, L. (2015, August 25). Centrality of the Supply Chain Network. Fifth Annual SWUFE Baruch Symposium. New York: Baruch College.

Wu, L. (2014, April 25). Predicting Inflation Without Predictive Regressions. Fourth Annual Triple Crown Finance Conference. New York: Baruch College.

Wu, L. (2013, July 4). A new framework for analyzing volatility risk and volatility risk premium in each option contract. Singapore: Singapore Management University,.

Wu, L. (2013, July 15). Modeling credit risk. NUS-Santander Doctorate Workshop in Advanced Financial Risk Management. Singapore: National University of Singapore.

Wu, L. (2013, October 11). Dynamic Relative Valuation. Derivatives 2013:The State of the Art 40 Years after the Black-Scholes-Merton Model. New York: New York University.

Wu, L. (2013, October 15). Dynamic Relative Valuation,. New York: Baruch Brown Bag.

Wu, L. (2013, June 14). Predict Inflation without Predictive Regressions. 2013 SoFie Annual Conference. Singapore: SoFie.

Wu, L. (2012, April 20). Imports, Exports, Dollar Exposures, and Stock Returns. Fifth Annual Triple Crown Finance Conference. New York: Fordham University.

Wu, L. (2012, April 27). What does variance risk premium tell us? A discussion. Fourth Annual Volatility Conference on "Comovement of Volatilities, Returns, and Tails''. New York: New York University.

Wu, L. (2012, May 25). A new framework for analyzing volatility risk and volatility risk premium in each option contract. Quantitative Finance Workshop. Chicago: Northwestern University.

Wu, L. (2012, June 1). What constitutes algo trading in the stock options market? A discussion. Stern Microstructure Meeting. New York: New York University.

Wu, L. (2012, September 14). A new framework for analyzing volatility risk and volatility risk premium in each option contract. Florida: Florida State University.

Wu, L. (2012, March 10). Simple robust hedging with nearby contracts. The Fourth Risk Management Conference. Mont Tremblant, Québec, Canada

Wu, L. (2012, January 20). Option pricing with time-changed Levy processess. New York: Jane Street.

Wu, L. (2011, November 4). Anchoring corporate credit spreads to firm fundamentals. New York: Baruch College.

Wu, L. (2011, October 11). Leverage effect, volatility feedback, and self-exciting market disruptions. CUNY Macro and Finance Colloquium. New York: CUNY Graduate Center.

Wu, L. (2011, July 6). Anchoring corporate credit spreads to firm fundamentals. 2011 China International Conference in Finance. Wuhan, China: CICF.

Wu, L. (2011, July 5). A new simple approach for constructing implied volatility surfaces. 2011 China International Conference in Finance. Wuhan, China: CICF.

Wu, L. (2011, January 7). Leverage effect, volatility feedback, and self-exciting market disruptions. American Finance Association meetings. Denver: AFA.

Wu, L. (2011, June 22). A new simple approach for constructing implied volatility surfaces. Western Finance Association Meetings. Santa Fe, New Mexico: WFA.

Wu, L. (2011, June 22). Linearity-generating processes, unspanned stochastic volatility, and interest-rate option pricing. Western Finance Association Meetings. Santa Fe, New Mexico: WFA.

Wu, L. (2011, June 7). Linearity-generating processes, unspanned stochastic volatility, and interest-rate option pricing. Washington, D.C.: Board of Governors of the Federal Reserve System.

Wu, L. (2011, April 29). Simple robust hedging with nearby contracts. Fourth Annual Triple Crown Conference. New York: Baruch College.

Wu, L. (2011, July 1). Statistical arbitrage based on no-arbitrage models. Tianjin, China: Nankai University.

Chakraborty, S., Wu, L., & Tang, Y. (2010, January 31). Imports, Exports, Dollar Exposures and Stock Returns. AEA CSWEP CeMent Workshop. Atlanta: American Economic Association.

Wu, L. (2010, January 29). A multifrequency theory of the term structure of interest rates. : Syracuse University.

Wu, L. (2010, October 22). Simple robust hedging with nearby contracts. Seminar. MA: Worcester Polytechnic Institute.

Wu, L. (2010, September 29). A new simple approach for constructing implied volatility surfaces. Workshop. Toronto, Canada: Fields Institute.

Wu, L. (2010, September 28). Simple robust hedging with nearby contracts. Seminar. Ontario, Canada: McMaster University.

Wu, L. (2010, September 14). A new simple approach for constructing implied volatility surfaces. Brown Bag Seminar. New York: Baruch College.

Wu, L. (2010, July 30). Leverage effect, volatility feedback, and self-exciting market disruptions. The 10th Annual Meeting of the Brazilian Finance Society. Sao Paulo

Wu, L. (2010, July 9). A multifrequency theory of the term structure of interest rates. Cheung Kong Graduate School of Business. Beijing

Wu, L. (2010, July 5). Leverage effect, volatility feedback, and self-exciting market disruptions. 2010 China International Conference in Finance. Beijing

Wu, L. (2010, June 26). Anchoring Corporate Credit Spreads to Firm Fundamentals. 2010 Baruch-SWUFE Accounting Conference. Chengdu

Wu, L. (2010, June 19). Leverage effect, volatility feedback, and self-exciting market disruptions. Recent Developments in Derivatives Pricing. New York: New York University.

Wu, L. (2010, April 30). A multifrequency theory of the term structure of interest rates. The Third Triple Crown Conference. Rutgers, New Jersey

Wu, L. (2010, April 23). A multifrequency theory of the term structure of interest rates. Workship on Financial Econometrics. Toronto: Fields Institute.

Wu, L. (2010, April 2). A multifrequency theory of the term structure of interest rates. : Ziff Brothers Investments.

Wu, L. (2010, March 27). Leverage effect, volatility feedback, and self-exciting market disruptions. Latest developments in heavy-tailed distributions. Brussels

Wu, L. (2010, March 22). A multifrequency theory of the term structure of interest rates. : University of Zurich.

Wu, L. (2010, February 26). A multifrequency theory of the term structure of interest rates. : University of Chicago.

Wu, L. (2010, February 25). A multifrequency theory of the term structure of interest rates. : Northwestern University.

Wu, L. (2010, February 3). A multifrequency theory of the term structure of interest rates. Risk Seminar. : Columbia University.

Wu, L. (2009, March 27). Variance risk premiums. Conference on Econometric Modeling in Risk Management. Waterloo: University of Waterloo.

Wu, L. (2009, February 20). Leverage effect, volatility feedback, and self-exciting market disruptions. New Jersey: Rutgers University.

Wu, L. (2009, January 23). Leverage effect, volatility feedback, and self-exciting market disruptions. New York: Bloomberg.

Wu, L. (2009, December 10). A multifrequency theory of the term structure of interest rates. : Bloomberg.

Chakraborty, S., Wu, L., & Tang, Y. (2009, June 30). Imports, Exports, Dollar Exposures and Stock Returns. North American Summer Meeting of the Econometric Society. : Econometric Society.

Wu, L. (2009, March 30). Leverage effect, volatility feedback, and self-exciting market disruptions. New York: AQR.

Wu, L. (2008, June 24). A simple robust link between American puts and credit insurance. Western Finance Association meetings. Waikoloa, Hawaii: WFA.

Wu, L. (2008, June 4). A simple robust link between American puts and credit insurance. SoFiE (The Society for Financial Econometrics) Inaugural Conference. New York: SoFiE.

Wu, L. (2008, May 9). A simple robust link between American puts and credit insurance. : Stanford University.

Wu, L. (2008, May 1). A simple robust link between American puts and credit insurance. : JP Morgan.

Wu, L. (2008, March 13). Hedging Barriers. Risk Conference on Modeling and Hedging Using FX Options. New York

Wu, L. (2008, March 12). A simple robust link between American puts and credit insurance. : Bloomberg.

Wu, L. (2008, March 4). A simple robust link between American puts and credit insurance. : Baruch College.

Wu, L. (2008, March 1). Market pricing of economic risks and stock returns. Midwest Finance Association meetings. San Antonio

Wu, L. (2008, July 4). Computational challenges in option pricing. Computational Finance Workshop. Shanghai

Wu, L. (2008, February 26). Time-Changed Levy processes. : New York University.

Wu, L. (2008, July 9). Computational challenges in option pricing. Shanghai: Supercomputing Center, Chinese Academy of Sciences.

Wu, L. (2008, October 10). Leverage effect, volatility feedback, and self-exciting market disruptions. Conference on Implied Volatility Models. LA

Wu, L. (2008, October 23). Risks and Risk Premiums. Financial Markets Conference. New York: Baruch College.

Wu, L. (2008, October 31). Leverage effect, volatility feedback, and self-exciting market disruptions. Toronto: Toronto University.

Wu, L. (2008, July 5). A simple robust link between American puts and credit insurance. 2008 China International Conference in Finance. Dalian, China

Wu, L. (2007, July 7). Predictability of Interest Rates and Interest Rate Portfolios. The Bank of Canada--Rotman School of management Workshop on Advances in Portfolio Management. University of Toronto

Wu, L. (2007, September 12). Statistical arbitrage based on no-arbitrage models. Asset Management Forum. Zurich: Center of Competence Finance in Zurich (CCFZ) and Schroder & Co. Bank AG.

Wu, L. (2007, September 29). Market pricing of economic risks and stock returns. Northern Finance Association meetings. Toronto

Wu, L. (2007, October 30). Imports, exports, currency exposure, and stock returns. New York: Baruch College.

Wu, L. (2007, November 27). Market pricing of economic risks and stock returns. : Rensselaer Polytechnic Institute.

Wu, L. (2007, May 18). Levy Processes and Option Pricing. Derivatives 2007: New Ideas, New Instruments, New Markets. New York: New York University.

Wu, L. (2007, March 23). Modeling Financial Security Returns Using Levy Processes. The 2007 Meeting of the Swiss Society of Economics and Statistics. St. Gallen

Wu, L. (2006, November 9). Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation. Philadelphia: Susquehanna International Group.

Wu, L. (2006, November 16). Economic risk and the term structure of interest rates. New York: New York Fed.

Wu, L. (2006, December 12). Design and Estimation of FX models for Derivative Pricing. Risk Conference on Pratcical Calibration and Implementation Techniques of Interest Rate and FX Modeling. New York

Carr, P., & Wu, L. (2006, January 7). Stock Options and Credit Default Swaps: A Joint Framework for valuation and Estimation. Boston: 2006 Winter Econometric Society.

Wu, L. (2006, January 20). Modeling Financial Security Returns Using Levy Processes. Paper Presented. : Henry B. Tippie College of Business, University of Iowa.

Wu, L. (2006, October 6). Optimal Investment in Variance Swaps Under Stochastic Volatility. Paper Presented. : Owen Graduate School of Management, Vanderbilt University.

Wu, L. (2006, March 15). Modeling Financial Security Returns Using Levy Processes. Paper Presented. : Credit Suisse.

Lu, B., & Wu, L. (2006, July 25). Systematic Macroeconomic Movements and the Term Structure of Interest Rates. meetings. Zurich, Switzerland: European Finance Association.

Egloff, D., Leippold, M., & Wu, L. (2006, August 24). Optimal Investment in Variance Swaps Under Stochastic Volatility. presented at the 2006 meetings. Zurich, Switzerland: European Finance Association.

Carr, P., & Wu, L. (2006, September 29). Stock Options and Credit Default Swaps: A Joint Framework for valuation and Estimation. Credit Derivative Symposium. New York: Fordham Graduate School of Business.

Bakshi, G., Carr, P., & Wu, L. (2006, January 26). Investor Irrationality and the Nasdaq Bubble. Paper Presented. : University of Illinois at Urbana-Champaign.

Carr, P., Bakshi, G., & Wu, L. (2005, February 10). Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies. : New York University.

Bakshi, G., Carr, P., & Wu, L. (2005, January 31). Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies. : Bloomberg.

Carr, P., & Wu, L. (2005, January 8). Systematic Macroeconomic Movements and the Term Structure of Interest Rates. meetings. : Winter Econometric Society.

Bakshi, G., Carr, P., & Wu, L. (2005, February 11). Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies. : University of Massachusetts.

Wu, L., & Lu, B. (2005, March 4). Systematic Macroeconomic Movements and the Term Structure of Interest Rates. : Cornell University.

Wu, L. (2005, June 1). Variance Dynamics: Joint Evidence from Options and High-Frequency Returns. Workshop on Stochastic Modeling in Financial Mathematics. Montreal

Carr, P., & Wu, L. (2005, June 10). Stock Options and Credit Default Swaps: A Joint Framework for valuation and Estimation. 13th Annual Conference on Pacific Basin Finance, Economics, and Accounting. : Rutgers University.

Bakshi, G., Carr, P., & Wu, L. (2005, June 19). Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies. meetings. : Western Finance Association.

Wu, L. (2005, June 24). Variance Dynamics: Joint Evidence from Options and High-Frequency Returns. Princeton-Chicago Conference on the Econometrics of High Frequency Financial Data.

Carr, P., & Wu, L. (2005, September 30). Stock Options and Credit Default Swaps: A Joint Framework for valuation and Estimation. Wharton conference on credit risk.

Carr, P., & Wu, L. (2005, September 30). Fiat Money as Stock in Small Open Economies: Theory and Evidence on Sovereign Credit Default Swap and Currency Options. FORC conference on credit risk. UK: University of Warwick.

Wu, L. (2005, November 12). Modeling Financial Security Returns Using Levy Processes. Third Oxford-Princeton Workshop Financial Mathematics and Stochastic Analysis. : Princeton University.

Wu, L., & Carr, P. (2005, January 8). Variance Risk Premia. meetings. : American Finance Association.

Wu, L. (2005, December 15). Modeling Financial Security Returns Using Levy Processes. Paper Presented. : JP Morgan Chase.

Carr, P., & Wu, L. (2005, November 21). Stock Options and Credit Default Swaps: A Joint Framework for valuation and Estimation. 2005 Derivatives Forum: Maximizing Returns with State-of-the-Art Derivatives Investments. New York: Bayard.

Bali, T., Heidari, M., & Wu, L. (2004, April 28). Predictability of Interest Rates and Interest-Rate Portfolios. : Goldman Sachs Asset Management.

Carr, P., & Wu, L. (2004, April 13). A Tale of Two Indices. Financial Econometrics Seminar. : Stern School of Business, New York University.

Leippold, M., & Wu, L. (2004, April 2). Design and Estimation of Multi-Currency Quadratic Term Structure Models. 2004 International Finance Conference. : George Tech.

Carr, P., & Wu, L. (2004, February 23). A Tale of Two Indices. 20th Annual Risk Conference. Florida

Bali, T., Heidari, M., & Wu, L. (2004, January 20). Predictability of Interest Rates and Interest-Rate Portfolios. : City University of Hong Kong.

Carr, P., & Wu, L. (2004, January 16). Variance Risk Premia. : Hong Kong University of Science and Technology.

Lu, B., & Wu, L. (2004, December 14). Systematic Macroeconomic Movements and the Term Structure of Interest Rates. : New York University.

Bakshi, G., Carr, P., & Wu, L. (2004, November 22). Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies. Paper Presented. : University of Maryland.

Carr, P., & Wu, L. (2004, September 22). Systematic Macroeconomic Movements and the Term Structure of Interest Rates. Research Seminar. : Citigroup.

Carr, P., & Wu, L. (2004, August 20). Stochastic Skew in Currency Options. Presented at meetings. : European Finance Association.

Bali, T., Heidari, M., & Wu, L. (2004, July 8). Predictability of Interest Rates and Interest-Rate Portfolios. China International Conference in Finance.

Wu, L., & Carr, P. (2004, June 11). Variance Risk Premia. : University of Zurich.

Carr, P., & Wu, L. (2004, June 10). . PRMIA risk management seminar. Zurich

Carr, P., & Wu, L. (2004, June 7). Variance Risk Premia. 5th Conference in Financial Risks. Verona, Italy

Bali, T., Heidari, M., & Wu, L. (2004, May 5). Predictability of Interest Rates and Interest-Rate Portfolios. Math Finance Seminar. : Baruch College.

Goswami, G., Shrikhande, M., & Wu, L. (2003, December 31). A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs. : 2003 Winter Econometric Society meetings.

Lothian, J., & Wu, L. (2003, April 25). Uncovered Interest Rate Parity over the Past Two Centuries. Paper Presented. : Fordham University.

Goswami, G., Shrikhande, M., & Wu, L. (2002, October 4). A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs. 2002 meetings. : European Finance Association.

Goswami, G., Shrikhande, M., & Wu, L. (2002, October 4). A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs. : Fordham University.

Easley, D., Engle, R., O’Hara, M., & Wu, L. (2001, December 31). Time-Varying Arrival Rates of Informed and Uninformed Trades. 2001 meetings. : American Finance Association.

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