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WU, Li-Xin
吳立昕
(PhD Univ of California, Los Angeles)
Phone: (852) 2358 7435Email: malwu@ust.hk
Office: Room 3427
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Professor / Associate Director of MSc in Financial Mathematics
Research Interests
Numerical analysis; computational fluid dynamics; finance mathematicsTeaching
- MATH4511 Quantitative Methods for Fixed Income Derivatives
- MATH5520 Interest Rate Models
Selected Publications
Article
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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
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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, 26 March 2021
- Year: 2021
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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
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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
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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
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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
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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
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Financial Tsunami and Financial Mathematics (in Chinese)
- Author(s): Wu, Lixin
- Source: Mathematical Culture. , Vol. 2, No.1, 2011, 36-45
- Year: 2011
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Pricing jump risk with utility indifference
- Author(s): Wu, Lixin; Dai, Min
- Source: Quantitative finance. , v. 9, (2), 2009, p. 177-186
- Year: 2009
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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
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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
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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
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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
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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
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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
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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
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Early exercise policies of American floating strike and fixed strike lookback options
- Author(s): Yu, H.; Kwok, Yue Kuen; Wu, Li Xin
- Source: NONLINEAR analysis-theory METHODS & APPLICATIONS. , v. 47, (7), 2001, AUG, p. 4591-4602
- Year: 2001
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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
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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
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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
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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
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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
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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
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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
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Interest Rate Modeling: Theory and Practice
- Author(s): Wu, Lixin
- Source: Interest Rate Modeling: Theory and Practice. , / Lixin Wu. Boca Raton: Chapman Hall/CRC Press, c2009
- Year: 2009
Book chapter
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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
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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
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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
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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
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xVA: Definition, Evaluation and Risk Management
- Author(s): Wu, Lixin ; Zhang, Dawei
- Source: Conference proceedings of the 2018 Informs International Conference,
- Year: 2018
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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
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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
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Optimal Calibration of the LIBOR Market Model
- Author(s): Wu, Lixin
- Source: Workshop on Financial Mathematics, National University of Singapore. , Singapore
- Year: 2009
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Understanding Credit Default Swaps
- Author(s): Wu, Lixin
- Source: Quantitative Methods in Finance, 2006, Sydney.
- Year: 2005
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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
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LIBOR market model: from deterministic to stochastic volatilities
- Author(s): Wu, Lixin; Zhang, Fan
- Source: Quantitative methods in Finance, Cairns, Australia.
- Year: 2002
Presentation
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A Unifying Framework for Inflation Derivatives Modeling
- Author(s): Wu, Lixin
- Source: , Workshop on Problems and Challenges in Financial Engineering, Tongji University and Shanghai Jiaotong University, China, 23 June 2011
- Year: 2011