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Liuren Wu
Liuren Wu
Professor of Economics and Finance, Baruch College
Verified email at baruch.cuny.edu - Homepage
Title
Cited by
Cited by
Year
Variance risk premiums
P Carr, L Wu
The Review of Financial Studies 22 (3), 1311-1341, 2009
14262009
Time-changed LÚvy processes and option pricing
P Carr, L Wu
Journal of Financial economics 71 (1), 113-141, 2004
8582004
The finite moment log stable process and option pricing
P Carr, L Wu
The journal of finance 58 (2), 753-777, 2003
6042003
A tale of two indices
P Carr, L Wu
The Journal of Derivatives 13 (3), 13-29, 2006
5012006
Time-varying arrival rates of informed and uninformed trades
D Easley, RF Engle, M O'Hara, L Wu
Journal of Financial Econometrics 6 (2), 171-207, 2008
4372008
Stochastic skew in currency options
P Carr, L Wu
Journal of Financial Economics 86 (1), 213-247, 2007
4002007
Specification analysis of option pricing models based on time‐changed LÚvy processes
J Huang, L Wu
The Journal of Finance 59 (3), 1405-1439, 2004
3412004
What type of process underlies options? A simple robust test
P Carr, L Wu
The Journal of Finance 58 (6), 2581-2610, 2003
3392003
Asset pricing under the quadratic class
M Leippold, L Wu
Journal of Financial and Quantitative Analysis 37 (2), 271-295, 2002
3082002
Stock options and credit default swaps: A joint framework for valuation and estimation
P Carr, L Wu
Journal of Financial Econometrics 8 (4), 409-449, 2010
2642010
Stock options and credit default swaps: A joint framework for valuation and estimation
P Carr, L Wu
Journal of Financial Econometrics 8 (4), 409-449, 2010
2642010
Accounting for biases in Black-Scholes
DK Backus, S Foresi, L Wu
Available at SSRN 585623, 2004
2432004
Uncovered interest-rate parity over the past two centuries
JR Lothian, L Wu
Journal of International Money and Finance 30 (3), 448-473, 2011
2362011
The term structure of variance swap rates and optimal variance swap investments
D Egloff, M Leippold, L Wu
Journal of Financial and Quantitative Analysis 45 (5), 1279-1310, 2010
2192010
Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies
G Bakshi, P Carr, L Wu
Journal of Financial Economics 87 (1), 132-156, 2008
2022008
Predictable changes in yields and forward rates
D Backus, S Foresi, A Mozumdar, L Wu
Journal of Financial Economics 59 (3), 281-311, 2001
1852001
Are interest rate derivatives spanned by the term structure of interest rates?
M Heidari, L Wu
The Journal of Fixed Income 13 (1), 75-86, 2003
1602003
Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options
P Carr, L Wu
Journal of Banking & Finance 31 (8), 2383-2403, 2007
1472007
Design and estimation of quadratic term structure models
M Leippold, L Wu
Review of Finance 7 (1), 47-73, 2003
1232003
A simple robust link between American puts and credit protection
P Carr, L Wu
The Review of Financial Studies 24 (2), 473-505, 2011
1162011
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