malwu

WU, Li-Xin
吳立昕

(PhD Univ of California, Los Angeles)

Phone: (852) 2358 7435
Email: malwu@ust.hk
Office: Room 3427
Home Page

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
  • MATH6911B  Reading Course: Data Analytic Methods for Finance

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, 26 March 2021
    • 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. 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

  12. 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

  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. 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

  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. 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

  17. 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

  18. 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

  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
    • Author(s): Wu, Lixin
    • Source: Interest Rate Modeling: Theory and Practice. , / Lixin Wu. Boca Raton: Chapman Hall/CRC Press, c2009
    • 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

  Presentation

  1. 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