Lixin Wu

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’	2021-12-01	Paper
The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model	2021-11-16	Paper
xVA: DEFINITION, EVALUATION AND RISK MANAGEMENT	2020-03-26	Paper
Two (2+1)-dimensional expanding dynamical systems associated to the mKP hierarchy	2019-03-18	Paper
Interest Rate Modeling	2019-03-15	Paper
Imaging-duration embedded dynamic scheduling of Earth observation satellites for emergent events	2018-08-27	Paper
Upon generating \((2+1)\)-dimensional dynamical systems	2016-07-05	Paper
CVA AND FVA TO DERIVATIVES TRADES COLLATERALIZED BY CASH	2015-09-22	Paper
A Corresponding Lie Algebra of a Reductive homogeneous Group and Its Applications*	2015-06-24	Paper
Forests decomposition of graphs without 4-cycles	2014-11-03	Paper
Effects of callable feature on early exercise policy	2013-10-29	Paper
Interest rate modeling. Theory and practice.	2009-08-06	Paper
Pricing jump risk with utility indifference	2009-04-20	Paper
PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD	2008-09-03	Paper
CREDIT CONTAGION: PRICING CROSS-COUNTRY RISK IN BRADY DEBT MARKETS	2008-09-03	Paper
ASIAN OPTIONS WITH THE AMERICAN EARLY EXERCISE FEATURE	2008-09-03	Paper
Fast swaption pricing under the market model with a square-root volatility process	2008-05-15	Paper
LIBOR market model with stochastic volatility	2006-07-14	Paper
Options with Multiple Reset Rights	2005-10-19	Paper
OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT	2005-05-09	Paper
INVENTORY HEDGING AND OPTION MARKET MAKING	2005-03-30	Paper
Early exercise policies of American floating strike and fixed strike lookback options.	2004-08-26	Paper
Optimal low-rank approximation to a correlation matrix	2003-05-04	Paper
Pricing multi-asset options with an external barrier	2002-06-20	Paper
Dufort–Frankel-Type Methods for Linear and Nonlinear Schrödinger Equations	1997-04-14	Paper
A spectral method for unbounded flow in a cylindrical coordinate system	1997-04-08	Paper
The DuFort-Frankel-type method for the Schrödinger equation	1997-03-11	Paper
The Semigroup Stability of the Difference Approximations for Initial- Boundary Value Problems	1995-09-17	Paper
Stable difference approximations for parabolic equations	1995-05-07	Paper
On the stability definition of difference approximations for the initial boundary value problem	1994-02-28	Paper

Research outcomes over time

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