Projects per year
Personal profile
Position Held
Associate Director of MSc in Financial Mathematics
Research interests
Mathematics & Statistics - Financial mathematics
Related documents
Education/Academic qualification
PhD in Mathematics, PhD, University of California, Los Angeles
1991
Fingerprint
Dive into the research topics where Lixin WU is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
- 1 Similar Profiles
Projects
- 2 Finished
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A Trading Bot By Ensemble Learning
CHANG, M.-Y. (CoI), YANG, C. (CoI), CHEN, K. (PI), WU, L. (CoI), WANG, M. (CoI), ZHA, M. (CoI), SHEN, X. (CoI) & CHENG, Y. (CoI)
1/04/21 → 30/06/24
Project: Research
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Dual-Curve Term Structure Models for Post-Crisis Interest-Rate Derivatives
WU, L. (PI)
1/09/17 → 31/01/20
Project: Research
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Interest Rate Modeling: Theory and Practice, Third Edition
Wu, L., 1 Jan 2024, CRC Press. 411 p.Research output: Book/Report › Book › peer-review
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A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’
Choi, J. & Wu, L., 2021, In: Quantitative Finance. 21, 7, p. 1083-1086 4 p.Research output: Contribution to journal › Journal Article › peer-review
Open Access4 Citations (Scopus) -
The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model
Choi, J. & Wu, L., Jul 2021, In: Journal of Economic Dynamics and Control. 128, 104143.Research output: Contribution to journal › Journal Article › peer-review
Open Access5 Citations (Scopus) -
XVA: Definition, Evaluation and Risk Management
Wu, L. & Zhang, D., 1 Feb 2020, In: International Journal of Theoretical and Applied Finance. 23, 1, 2050006.Research output: Contribution to journal › Journal Article › peer-review
1 Citation (Scopus) -
Interest Rate Modeling: Theory and Practice
WU, L., Feb 2019, CRC Press. (Interest Rate Modeling: Theory and Practice)Research output: Book/Report › Book › peer-review
Activities
- 1 Editorial work
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For several journals (Journal)
WU, L. (Referee)
1 Jan 2016 → …Activity: Publication peer-review and editorial work › Editorial work