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

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

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

Tian, M., & Wu, L. (2023). Cross-sectional Variation of Option Implied Volatility Skew. Management Science, forthcoming.

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., & Zhang, Y. (2022). Probabilistic Interpretation of Black Implied Volatility,. Options - 45 Years Since the Publication of the Black-Scholes-Merton Model,

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

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

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.

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.

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

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.

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

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

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.

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

(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.

(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 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.

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

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

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

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

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

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

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

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

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

(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.

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

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

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

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

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

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

(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.

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

(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. (2024, May 26). Common pricing of decentralized risk: A linear option pricing model. IAQF & Thalesians Seminar Series. New York: IAQF.

Wu, L. (2024, March 26). Option pricing bottom up and top down. the Second Annual Faculty Research Symposium. Baruch College: Baruch College.

Wu, L. (2024, March 26). Option pricing bottom up and top down. Financial & Actuarial Series Seminar. China: Xi'an Jiaotong-Liverpool University.

Wu, L. (2024, March 26). Common pricing of decentralized risk: A linear option pricing model. Cancun Derivatives and Asset Pricing Conference 2023. Cancun: CDI.

Wu, L. (2024, January 26). Common pricing of decentralized risk: A linear option pricing model. Virtual Derivatives Workshops. Virtual: CDI.

Wu, L. (2024, October 26). 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. (2024, June 26). Option Pricing Bottom Up and Top Down. Peter Carr Memorial Conference. : New York University.

Wu, L. (2024, September 26). Machine learning versus structural modeling in finance. Big Data Conference. Jinan China

Wu, L. (2024, June 26). Option pricing bottom up and top down. Peter Carr Memorial Conference. New York: New York University.

Wu, L. (2024, September 26). Machine Learning v Structural Modeling in Finance. Digital Economy and Low-Carbon Traffic Management. Jinan, China: Shandong Institute of Transportation.

Wu, L. (2024, July 26). Dynamic Optimality of Corporate Hedging. the Fourteenth Annual Risk Management Conference. Singapore: National University of Singapore.

Wu, L. (2024, May 26). Dynamic Optimality of Airline Fuel Cost Hedging. 8th Multinational Energy And Value Conference.

Wu, L. (2024, April 26). Limits of Arbitrage and Primary Risk Taking in Derivative Securities. Virtual Derivative Workshop.

Wu, L. (2024, June 26). Limits of Arbitrage and Primary Risk Taking in Derivative Securities. 10th ITAM Finance Conference,.

Wu, L. (2024, July 26). Limits of Arbitrage and Primary Risk Taking in Derivative Securities. China International Conference in Finance 2021. China

Wu, L. (2024, October 26). Predicting Stock Return Variance in a Large Cross Section. Baruch Brown Bag. : Baruch College.

Wu, L. (2024, February 26). Limits of Arbitrage and Primary Risk Taking in Derivative Securitie. Baruch Brown Bag.

Wu, L. (2024, May 26). Limits of Arbitrage and Primary Risk Taking in Derivative Securities. The 5th PKU-NUS Annual International Conference on Quantitative Finance and Economics.

Wu, L. (2024, September 26). Limits of Arbitrage and Primary Risk Taking in Derivative Securities. CDI 2021 - The 10th Conference on Derivatives. Virtual: CDI.

Wu, L. (2024, June 26). Dynamic Optimality of Airline Fuel Cost Hedging. Commodity and Energy Markets Conference.

Wu, L. (2024, December 26). Toward a Factor Model of Relative Valuation. NUS Quantitative Finance Joint Seminar Series. Singapore: National University of Singapore.

Wu, L. (2024, December 26). Toward a Factor Model of Relative Valuation. Baruch Brown Bag.

Wu, L. (2024, November 26). Decomposing Long Bond Returns: A Decentralized Modeling Approach. : South Dokota State University.

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

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

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

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

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

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

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

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

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, July 27). Earnings Day Variance Ratio. Melbourne, Australia: RMIT.

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

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

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

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

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

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

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

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. (2012, April 20). Imports, Exports, Dollar Exposures, and Stock Returns. Fifth Annual Triple Crown Finance Conference. New York: Fordham 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. (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. (2011, November 4). Anchoring corporate credit spreads to firm fundamentals. New York: Baruch College.

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

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

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

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

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. (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.

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

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

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, February 26). Time-Changed Levy processes. : New York University.

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

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

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

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

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

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

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

Wu, L. (2007, September 29). Market pricing of economic risks and stock returns. Northern Finance Association meetings. 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, 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. (2006, March 15). Modeling Financial Security Returns Using Levy Processes. Paper Presented. : Credit Suisse.

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

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

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.

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

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, 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

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

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.

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.

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

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

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

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, January 31). Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies. : Bloomberg.

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, 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.

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.

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.

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

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, 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.

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.

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. : 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.

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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