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Economics and Finance

D-Index
50
Citations
11962
World Ranking
1372
National Ranking
832

Overview

Liuren Wu is affiliated with the City University of New York in the United States and has a strong research focus within the fields of Economics, Econometrics, and Finance. Their work includes multiple publications primarily centered on finance, economics, and management science, reflecting a varied engagement within related subfields.

Wu's main areas of study are largely concentrated in Finance, with additional contributions to Economics and Econometrics and Management Science and Operations Research. The primary topics they explore include stochastic processes and financial applications, financial markets and investment strategies, credit risk and financial regulations, insurance and financial risk management, capital investment and risk analysis, stock market forecasting methods, and market dynamics and volatility.

The frequent publication venues for Wu's work include the SSRN Electronic Journal, where they have contributed extensively. Other notable venues include The Review of Asset Pricing Studies, Management Science, The Journal of Finance, and the European Finance Review.

Coauthor collaborations are significant in Wu's body of work. Frequent collaborators include Meng Tian, Peter Carr, Yuzhao Zhang, Yaofei Xu, and Xiaolu Hu, illustrating a pattern of joint research outputs across multiple projects.

Selected recent papers authored or coauthored by Liuren Wu include:

  • "Option Profit and Loss Attribution and Pricing: A New Framework," 2020, The Journal of Finance
  • "Limits of Arbitrage and Primary Risk-Taking in Derivative Securities," 2023, The Review of Asset Pricing Studies
  • "Limits of Arbitrage and Primary Risk Taking in Derivative Securities," 2021, SSRN Electronic Journal
  • "Decomposing Long Bond Returns: A Decentralized Theory," 2022, European Finance Review
  • "Common Pricing of Decentralized Risk: A Linear Option Pricing Model," 2025, Review of Financial Studies

Best Publications

  • Variance Risk Premiums

    Peter Carr;Liuren Wu

  • Time-Changed Levy Processes and Option Pricing ⁄

    Peter Carr;Peter Carr;Liuren Wu

  • The Finite Moment Log Stable Process and Option Pricing

    Peter Carr;Liuren Wu

  • A Tale of Two Indices

    Peter Carr;Liuren Wu

  • Time-Varying Arrival Rates of Informed and Uninformed Trades

    David Easley;Robert F. Engle;Maureen O'Hara;Liuren Wu

  • Stochastic Skew in Currency Options

    Peter Carr;Peter Carr;Liuren Wu

  • Asset Pricing Under The Quadratic Class

    Markus Leippold;Liuren Wu

  • Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes

    Jingzhi Huang;Liuren Wu

  • What Type of Process Underlies Options? A Simple Robust Test

    Peter Carr;Liuren Wu

  • Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation

    Peter Carr;Liuren Wu

  • Uncovered interest-rate parity over the past two centuries

    James R. Lothian;Liuren Wu

  • Variance Risk Premia

    Peter Carr;Liuren Wu

  • The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments

    Daniel Egloff;Markus Leippold;Liuren Wu

  • Accouting for Biases in Black-Scholes

    David Backus;Silverio Foresi;Liuren Wu

  • Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies

    Gurdip Bakshi;Peter Carr;Peter Carr;Liuren Wu

  • Predictable Changes in Yields and Forward Rates

    David Backus;David Backus;Silverio Foresi;Abon Mozumdar;Liuren Wu

  • A Simple Robust Link Between American Puts and Credit Protection

    Peter Carr;Liuren Wu

  • Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options

    Peter Carr;Peter Carr;Liuren Wu

  • Accounting for Biases in Black-Scholes ∗

    David Backus;Silverio Foresi;Kai Li;Liuren Wu

  • Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates

    Massoud Heidari;Liuren Wu

  • Stochastic Skew in Currency Options

    Liuren Wu;Peter Carr

  • Time-Varying Arrival Rates of Informed and Uninformed Trades

    David Easley;Liuren Wu;Robert F. Engle;Maureen O'Hara

  • Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation

    Liuren Wu;Peter Carr

Frequent Co-Authors

Peter Carr
Peter Carr New York University
David K. Backus
David K. Backus New York University
Turan G. Bali
Turan G. Bali Georgetown University
Gurdip Bakshi
Gurdip Bakshi Temple University
Robert F. Engle
Robert F. Engle New York University
Maureen O'Hara
Maureen O'Hara Cornell University
David Easley
David Easley Cornell University
Eric Ghysels
Eric Ghysels University of North Carolina at Chapel Hill
Xavier Gabaix
Xavier Gabaix Harvard University

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