Liuren Wu

24 catalog papers. Identity-linked publications and additional name matches are distinguished below.

ORCID: 0000-0001-7222-2102

Baruch College, The City University of New York

Publications

• Common Pricing of Decentralized Risk: A Linear Option Pricing Model — The Review of Financial Studies 2025
• Cross-Sectional Variation of Option-Implied Volatility Skew — Management Science 2024
• Decomposing Long Bond Returns: A Decentralized Theory — Review of Finance 2023
• Targets, Predictability, and Performance — Management Science 2022
• Option Profit and Loss Attribution and Pricing: A New Framework — The Journal of Finance 2020
• Monetary-Policy Rule as a Bridge: Predicting Inflation without Predictive Regressions — Journal of Financial and Quantitative Analysis 2018
• Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics — Journal of Financial and Quantitative Analysis 2018
• Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions — Journal of Financial and Quantitative Analysis 2017
• Anchoring Credit Default Swap Spreads to Firm Fundamentals — Journal of Financial and Quantitative Analysis 2016 (name-matched, not ORCID-linked)
• Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and Evidence on the Credit Default Swap Term Structure* — Review of Finance 2013
• A Simple Robust Link Between American Puts and Credit Protection — The Review of Financial Studies 2011
• Market Anticipation of Fed Policy Changes and the Term Structure of Interest Rates — Review of Finance 2010
• The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments — Journal of Financial and Quantitative Analysis 2010
• The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period — Management Science 2010
• Variance Risk Premiums — The Review of Financial Studies 2009
• A Joint Framework for Consistently Pricing Interest Rates and Interest Rate Derivatives — Journal of Financial and Quantitative Analysis 2009
• A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure — Management Science 2008
• Design and Estimation of Multi-Currency Quadratic Models* — Review of Finance 2007
• Specification Analysis of Option Pricing Models Based on Time-Changed Lévy Processes — The Journal of Finance 2004
• The Finite Moment Log Stable Process and Option Pricing — The Journal of Finance 2003
• What Type of Process Underlies Options? A Simple Robust Test — The Journal of Finance 2003
• Design and Estimation of Quadratic Term Structure Models — Review of Finance 2003
• Asset Pricing under the Quadratic Class — Journal of Financial and Quantitative Analysis 2002
• Predictable changes in yields and forward rates — Journal of Financial Economics 2001 (name-matched, not ORCID-linked)