Publications

• Xiaolu Hu, Malick Sy, Liuren Wu, A Factor Model of Company Relative Valuation, Journal of Portfolio Management, 2026, spring issue.

• Liuren Wu and Yaofei Xu, Cross-Sectional Variation of Risk-Targeting Option Portfolios, Review of Asset Pricing Studies, 2026, 16(1), 133--161.

• Xiaolu Hu, Malick Sy, Liuren Wu, Dynamic Optimality of Airline Fuel Cost Hedging, Journal of Derivatives, 2025, winter issue.

• Liuren Wu and Yuzhao Zhang, Common Pricing of Decentralized Risk: A Linear Option Pricing Model, Review of Financial Studies,  2025, 38(6), 1822--1867. 

• Meng Tian and Liuren Wu, Cross-sectional Variation of Option Implied Volatility Skew, Management Science, 2024, 70(6), 3381--4165.

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

• Peter Carr and Liuren Wu, Decomposing Long Bond Returns: A Decentralized Theory, Review of Finance, 2023, 27(3), 997--1026.

• Liuren Wu, Centrality of the Supply-Chain Network, Annual Reviews In Modern Quantitative Finance, Eds. Andrey Itkin, 2023, Volume 1.

• Francisco Penaranda and Liuren Wu, Targets, Predictability, and Performance, Management Science, 2022, 68(2), 1537--1555.

• Peter Carr, Liuren Wu, and Yuzhao Zhang, Probabilistic Interpretation of Black Implied Volatility, Options - 45 Years Since the Publication of the Black-Scholes-Merton Model, World Scientific, 2022.

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

• Malick Sy and Liuren Wu, The Shale Revolution and Shifting Crude Dynamics, Journal of Applied Econometrics, 2020, 35(2), 160--175.

• Peter Carr, Liuren Wu, and Zhibai Zhang, Using Machine Learning to Predict Realized Variance, Journal of Investment Management, 2020, 18(2), 1–16.

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

• Liuren Wu, Estimating Risk-Return Relations with Analysts Price Targets, Journal of Banking and Finance, 2018, 93, 183--197.

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

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

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

• Suparna Chakraborty, Yi Tang, and Liuren Wu, Imports, Exports, Dollar Exposures, and Stock Returns, Open Economic Review, 2015, 26(5), 1059--1079.

• Peter Carr and Liuren Wu, Static Hedging of Standard Options, Journal of Financial Econometrics, 2014, 12(1), 3--46.

• Richard Holowczak, Jianfeng Hu, and Liuren Wu, Aggregating Information in Option Transactions, Journal of Derivatives, 2014, 21(3), 9--23.

• Robert Schwartz and Liuren Wu, Equity Trading in the Fast Lane: The Staccato Alternative, Journal of Portfolio Management, 2013, 39(3), 3--6.

• Ren-raw Chen, Xiaolin Cheng, and Liuren Wu, Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and Evidence on the Credit Default Swap Term Structure, Review of Finance, 2013, 17(1), 403--441.

• Peter Carr, Roger Lee, and Liuren Wu, Variance Swaps on Time-Changed Levy Processes, Finance and Stochastics, 2012, 16(2), 335--355.

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

• James R. Lothian, and Liuren Wu, Uncovered Interest-Rate Parity Over the Past Two Centuries, Journal of International Money and Finance, 2011, 30(3), 448--473.

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

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

• Daniel Egloff, Markus Leippold, and Liuren Wu, The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments, Journal of Financial and Quantitative Analysis, 2010, 45(5), 1279--1310.

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

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

• Massoud Heidari, and Liuren Wu, Market Anticipation of Fed Policy Changes and the Term Structure of Interest Rates, Review of Finance, 2010, 14(2), 313-342.

• Turan Bali, Massoud Heidari, and Liuren Wu, Predictability of Interest Rates and Interest-Rate Portfolios, Journal of Business and Economic Statistics, 2009, 27(4), 517-527.

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

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

• Peter Carr, and Liuren Wu, Variance Risk Premiums, Review of Financial Studies, 2009, 22(3), 1311-1341.

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

• David Easley, Robert Engle, Maureen O'Hara, and Liuren Wu, Time-Varying Arrival Rates of Informed and Uninformed Trades , Journal of Financial Econometrics, 2008, 6(2), 171-207.

• Gurdip Bakshi, Peter Carr, and Liuren Wu, Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies, Journal of Financial Economics, 2008, 87(1), 132-156.

• Yusif Simaan, and Liuren Wu, Price Discovery in the U.S. Stock Options Market, Journal of Derivatives, 2007, 15(2), 20-38. Reprinted in Journal of Trading, 2008, 3(1), 68-86.

• Peter Carr, and Liuren Wu, Stochastic Skew in Currency Options, Journal of Financial Economics, 2007, 86(1), 213-247.

• Henry Mo, and Liuren Wu, International Capital Asset Pricing: Evidence from Options, Journal of Empirical Finance, 2007, 14(4), 465-498.

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

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

• Liuren Wu, Modeling Financial Security Returns Using Levy Processes, Handbooks in Operations Research and Management Science: Financial Engineering, 15, Eds. John Birge and Vadim Linetsky, Elsevier, 2008.

• Richard Holowczak, Yusif Simaan, and Liuren Wu, Price Discovery in the U.S. Stock and Stock Options Markets: A Portfolio Approach, Review of Derivatives Research, 2006, 9, 37-65.

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

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

• Enlin Pan, and Liuren Wu, Taking Positive Interest Rates Seriously, Advances in Quantitative Analysis of Finance and Accounting, 2006, 4(14), 327-356. Reprinted in Handbook of Quantitative Finance and Risk Management, 2009, Eds. C.-F. Lee and A.C. Lee, Springer.

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

• Jing-Zhi Huang, and Liuren Wu, Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes, Journal of Finance, 2004, 59(3), 1405-1439.

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

• Peter Carr, and Liuren Wu, What Type of Process Underlies Options? A Simple Robust Test, Journal of Finance, 2003, 58(6), 2581-2610.

• Peter Carr, and Liuren Wu, Finite Moment Log Stable Process and Option Pricing, Journal of Finance, 2003, 58(2), 753-777.

• Markus Leippold, and Liuren Wu, Design and Estimation of Quadratic Term Structure Models, European Finance Review, 2003, 7(1), 47-73.

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

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

• Markus Leippold, and Liuren Wu, Asset Pricing Under The Quadratic Class, Journal of Financial and Quantitative Analysis, 2002, 37(2), 271-295.

• David Backus, Silverio Foresi, Abon Mozumdar, and Liuren Wu, Predictable Changes in Yields and Forward Rates, Journal of Financial Economics, 2001, 59(3), 281-311.