Professor / Associate Director of MSc in Financial Mathematics

Research Interests

Numerical analysis; computational fluid dynamics; finance mathematics

Teaching

• MAFS5040  Quantitative Methods for Fixed-Income Instruments
• MATH2350  Applied Linear Algebra and Differential Equations

Selected Publications

  Article

1. The Equivalent Constant-Elasticity-of-Variance (CEV) Volatility of the Stochastic-Alpha-Beta-Rho (SABR) Model
   • Author(s): Choi, Jaehyuk; Wu, Lixin
   • Source: Journal of Economic Dynamics and Control, v. 128, July 2021, article number 104143
   • Year: 2021


2. A note on the option price and "Mass at zero in the uncorrelated SABR model and implied volatility asymptotics"
   • Author(s): Choi, Jaehyuk; Wu, Lixin
   • Source: Quantitative Finance, v. 21, (7), 26 March 2021, p. 1083-1086
   • Year: 2021


3. XVA: Definition, Evaluation and Risk Management
   • Author(s): Wu, Lixin; Zhang, Dawei
   • Source: International Journal of Theoretical and Applied Finance, v. 23, (1), February 2020, article number 2050006
   • Year: 2020


4. FVA and CVA for Collateralized Trades with Re-hypothecation
   • Author(s): Li, Chunhong; Wu, Lixin
   • Source: Wilmott, v. 2016, (83), May 2016, p. 50-59
   • Year: 2016


5. FVA and CVA under margining
   • Author(s): Wu, Li Xin; Li, Chonhong
   • Source: Studies in Economics and Finance, v. 32, (3), August 2015, p. 298-321
   • Year: 2015


6. CVA and FVA to derivatives trades collateralized by cash
   • Author(s): Wu, Lixin
   • Source: International Journal of Theoretical and Applied Finance, v. 18, (5), August 2015, article number 1550035
   • Year: 2015


7. Microfluidic Mixers for Studying Protein Folding
   • Author(s): Waldauer, Steven A.; Wu, Ling; Yao, Shuhuai; Bakajin, Olgica; Lapidus, Lisa J.
   • Source: Journal of Visualized Experiments (JoVE), (62), April 2012
   • Year: 2012


8. Financial Tsunami and Financial Mathematics (in Chinese)
   • Author(s): Wu, Lixin
   • Source: Mathematical Culture, Vol. 2, No.1, 2011, 36-45
   • Year: 2011


9. Pricing jump risk with utility indifference
   • Author(s): Wu, Lixin; Dai, Min
   • Source: Quantitative finance, v. 9, (2), 2009, p. 177-186
   • Year: 2009


10. Fast swaption pricing under the market model with a square-root volatility process
    • Author(s): Wu, Lixin; Zhang, Fan
    • Source: Quantitative finance, v. 8, (2), 2008, p. 163-180
    • Year: 2008


11. To recover or not to recover: That is not the question
    • Author(s): Wu, Lixin
    • Source: The ICFAI Journal of Derivatives Markets, Vol. III No.3, pp59-75
    • Year: 2006


12. Libor market model with stochastic volatility
    • Author(s): Wu, Lixin; Zhang, Fan
    • Source: Journal of industrial and management optimization, v. 2, (2), 2006, MAY, p. 199-227
    • Year: 2006


13. Optimal shouting policies of options with strike reset right
    • Author(s): Dai, Min; Kwok, Yue Kuen; Wu, Li Xin
    • Source: Mathematical finance, v. 14, (3), 2004, JUL, p. 383-401
    • Year: 2004


14. Fast at-the-money calibration of the LIBOR market model through Lagrange multipliers
    • Author(s): Wu, Lixin
    • Source: Journal of Computational Finance, Vol. 6, No. 2, 39-77
    • Year: 2003


15. Options with multiple reset rights
    • Author(s): Dai, Min; Kwok, Yue Kuen; Wu, Li Xin
    • Source: International Journal of Theoretical and Applied Finance, v. 6, (6), 2003, p. 637-653
    • Year: 2003


16. Optimal low-rank approximation to a correlation matrix
    • Author(s): Zhang, ZY; Wu, Li Xin
    • Source: Linear algebra and its applications, v. 364, 2003, MAY 1, p. 161-187
    • Year: 2003


17. Credit contagion: pricing cross country risk in the Brady debt markets
    • Author(s): Avellaneda, Marco; Wu, Lixin
    • Source: Int'l J. of Theoret. and Appl. Fin., 4(6), 921-939
    • Year: 2001


18. Early exercise policies of American floating strike and fixed strike lookback options
    • Author(s): Yu, Hong; Kwok, Yue Kuen; Wu, Li Xin
    • Source: Nonlinear Analysis: Theory, Methods & Applications, v. 47, (7), August 2001, p. 4591-4602
    • Year: 2001


19. Effects of callable feature on early exercise policy
    • Author(s): Kwok, Yue Kuen; Wu, Li Xin
    • Source: Review of Derivatives Research, v. 4, (2), 2000, p. 189-211
    • Year: 2000


20. Pricing Parisian-Style Options with a Lattice Method
    • Author(s): Avellaneda, Marco; Wu, Lixin
    • Source: International Journal of Theoretical and Applied Finance, vol. 2, no. 1, January 1999, pp. 1-16
    • Year: 1999


21. Dissipative nonlinear evolution equations and chaos
    • Author(s): Hsieh, Dinyu; Tang, Shaoqiang; Wang, Xiao Ping; Wu, Li Xin
    • Source: Studies in Applied Mathematics, v. 101, (3), 1998, p. 233-266
    • Year: 1998


22. DuFort-Frankel-type methods for linear and nonlinear Schrodinger equations
    • Author(s): Wu, Lixin
    • Source: SIAM journal on numerical analysis, v. 33, (4), 1996, AUG, p. 1526-1533
    • Year: 1996


23. The Semigroup Stability of the Difference Approximations for Initial-Boundary Value Problems
    • Author(s): Wu, Li Xin
    • Source: Mathematics of Computation, v. 64, (209), 1995, p. 71-88
    • Year: 1995


24. STABLE DIFFERENCE APPROXIMATIONS FOR PARABOLIC EQUATIONS
    • Author(s): KREISS, HO; Wu, Li Xin
    • Source: Mathematical and computer modelling, v. 20, (10-11), 1994, NOV-DEC, p. 123-143
    • Year: 1994

  Book

1. Interest Rate Modeling: Theory and Practice (3rd edition)
   • Author(s): Wu, Lixin
   • Year: 2024


2. Interest Rate Modeling: Theory and Practice
   • Author(s): Wu, Lixin
   • Year: 2019


3. Interest Rate Modeling: Theory and Practice
   • Author(s): Wu, Lixin
   • Year: 2009

  Book chapter

1. A New Paradigm for Inflation Derivatives Modeling
   • Author(s): Wu, Li Xin
   • Source: Derivative in pricing and Modeling / Edited by Jonathan A. Batten, Niklas Wagner. Bingley, U.K. : Emerald, 2012, p.305-330
   • Year: 2012


2. On the Calibration of the Market Model with a Square-Root Volatility
   • Author(s): Wu, Lixin
   • Source: Modelling Interest Rates: Advances in Derivatives Pricing / Edited by Fabio Mercurio. London: Risk Books, c2009, Chapter 4
   • Year: 2009


3. Arbitrage Pricing of Credit Derivatives
   • Author(s): Ho, Siu Lum; Wu, Lixin
   • Source: Credit Risk: Models, Derivatives and Management / Edited by Niklas Wagner. Boca Raton: CRC Press, c2008, p.427-456
   • Year: 2008


4. Nonparametric Calibration of Derivatives Models
   • Author(s): Wu, Lixin; Ho, Siu Lum
   • Source: Encyclopedia of Quantitative Risk Analysis and Assessment / Vol. 3 / Edited by Edward L. Melnick, Brian S. Everitt. Hoboken, N.J.: Wiley, c2008
   • Year: 2008

  Conference paper

1. xVA: Definition, Evaluation and Risk Management
   • Author(s): Wu, Lixin; Zhang, Dawei
   • Source: Conference proceedings of the 2018 Informs International Conference
   • Year: 2018


2. Inflation Derivatives Modeling: Past and Present
   • Author(s): Wu, Lixin
   • Source: Annual Conference in Financial Mathematics, Hong Kong University, 10-11/12/2101, 2010
   • Year: 2010


3. Market Model" vs. "Foreign Currency Analogy
   • Author(s): Wu, Lixin
   • Source: International Conference on Applied Statistics and Financial Mathematics, The Hong Kong Polytechnic University, 16 - 18 December 2010
   • Year: 2010


4. Optimal Calibration of the LIBOR Market Model
   • Author(s): Wu, Lixin
   • Source: Workshop on Financial Mathematics, National University of Singapore, Singapore
   • Year: 2009


5. Understanding Credit Default Swaps
   • Author(s): Wu, Lixin
   • Source: Quantitative Methods in Finance, 2006, Sydney
   • Year: 2005


6. Market Model with Stochastic Volatility: Pricing and Calibration
   • Author(s): Wu, Lixin; Zhang, Fan
   • Source: The 3rd Congress of Bachelier Financial Society, July 21 - 25
   • Year: 2004


7. LIBOR market model: from deterministic to stochastic volatilities
   • Author(s): Wu, Lixin; Zhang, Fan
   • Source: Quantitative methods in Finance, Cairns, Australia
   • Year: 2002