|Wu, L. Interest Rate Modeling: Theory and Practice. Chapman & Hall / CRC. May 1, 2009.|
Wu, L. (2011). A New Paradigm for Inflation Derivatives Modeling. Derivative Security pricing and Modeling, eds. J. Batten and N. Wagner (Contemporary Studies in Economics and Financial Analysis series, Emerald).
Wu, L. (2009) On the calibration of Wu - Zhang model. Modeling Interest Rates: Latest Advances for Derivatives Pricing, eds. F. Mercurio. Risk Books.
Ho, S.L., and L. Wu (2008). Arbitrage pricing of credit derivatives. Credit Risk -- Models, Derivatives and Management. Financial Mathematics Series Vol. 6 Chapman & Hall / CRC Boca Raton, London, New York.
Wu, L. (2008). Non-parametric calibration of derivatives models. In Everitt B. and Melnick E. (eds), Encyclopedia of Quantitative Risk Assessment. John Wiley.
Wu, L., Y.K. Kwok and H. Yu (2001). Asian options with American early exercise, in International Securities, eds. G. Philippatos, Edward Elgar Publishing Ltd.
Wu, L. (2013). CVA and FVA to Derivatives Trades Collateralized by Cash. Working paper.
Wu, L. (2012). CVA and FVA under Margining. Working paper (Submitted to RISK).
Wu, L. (2012). Proper Adjustments. Working paper.
Wu, L. and Y. Gao (2012). Dual-Curve market model for the post-crisis interest-rate derivatives markets. Working paper.
Wu, L. (2010). "Market Model" vs. "Foreign Currency Analogy". Working paper.
K.S. Leung and L. Wu (2008). Inflation Derivatives: From market Model to Foreign Currency Analogy. Working paper.
Dai, M. and L. Wu (2009). Pricing jump risk with utility indifference. Quantitative Finance, 9(2), 177-186.
Wu, L. and F. Zhang (2008). Fast swaption pricing under LIBOR market model with stochastic volatilities. Quantitative Finance, Vol. 8, No. 2, 163-180.
Wu, L (2006). To recover or not to recover: That is not the question. The ICFAI Journal of Derivatives Markets, Vol. III No.3, July, pp59-75.
Wu, L. and F. Zhang (2006). LIBOR market model with stochastic volatility. Journal of Industrial and Management Optimization, Vol. 2, No. 2, May, 199-227.
M. Dai,Y.K. Kwok and L.X. Wu (2004). Optimal shouting policies of options with strike reset rights, Mathematical Finance, 14(3):383-401.
Dai, M., Y.K. Kwok and L.X. Wu (2003). Options with multiple reset rights, International Journal of Theoretical and Applied Finance, 6(5):637-653
Wu, L. (2003).
at-the-money Calibration of the LIBOR market model through
Journal of Computational Finance,
Vol. 6, No. 2, 39-77.
Avellaneda, M. and L. Wu (2001). Credit Contagion: Pricing Cross Country Risk in the Brady Debt Markets. Int'l J. of Theoret. and Appl. Fin., Vol. 4, No. 6, 921-939.
Yu H., Y.K. Kwok and L. Wu (2001). Early exercise policies of American Floating strike and fixed strike lookback options. Nonlinear Analysis, 47, 4951-4602.
Y.K. Kwok and L. Wu (2000), Effects of Callable feature on early exercise policy. Review of Derivatives Research, Vol. 4, 189-211.
Avellaneda M. and L. Wu (1999). Pricing Parisian-style options with a trinomial lattice method. Int'l J. of Theoret. and Appl. Fin., Vol. 2, No.1, 1-16.
Wu, L., Y.K.Kwok and H. Yu (1999). Asian options with American early exercise. Int'l J. Of Theoret. and Appl. Fin., Vol. 2, No.1, 101-111.
Kwok, Y.K., L. Wu and H. Yu (1998). Multi-asset options with an external barrier. Int'l J. of Theoret. and Appl. Fin., Vol. 1, No.4, 523-541.
Wu, L. and Y.K. Kwok (1997). Front-fixing finite difference methods for the Valuation of American options. Journal of Financial Engineering, Vol.6, No. 2, pp.83-97.
Partial Papers in Numerical Analysis:
Zhang, Z.-Y. and L. Wu (2003). Optimal low-rank approximation of correlation Matrices. Linear Algebra and Its Application, Vol. 364, May, 161-187.
Tang, S.Q., D.Y. Hsieh, X.P. Wang and L. Wu (1999). On a Dissipative Nonlinear Evolution System with Ellipticity. Journal of Nonlinear Dynamics in Science and Technology, Vol. 6, No. 3, 255-262.
Tang, S.Q., X.P. Wang, L. Wu and D.-Y. Hsieh (1998). Dissipative Nonlinear Evolution Equations and Chaos. Studies in Applied Mathematics, Vol. 101, 233-266.
Wang, X.P., S.Q. Tang, L. Wu and D.Y. Hsieh (1998). Complexities arising from the study of a nonlinear evolution system with small dissipation. Bull. HK Math. Soc., Vol. 2, 123-129.
Wu, L. (1996). The DuFort-Frankel type methods for linear and nonlinear Schrodinger equation. SIAM J. Numer. Anal., Vol. 33, No. 4, 1526-1533.
Wu, L. (1996). A DuFort-Frankel type method for the Schrodinger equation. The Southeast Asian Bulletin of Mathematics, Vol. 20, No. 3, 103-108.
Wu, L. (1995). Semigroup stability of difference approximations for hyperbolic initial boundary value problems. Math. Comp., Vol. 64, No. 209, 71-88.
Kreiss, H-O., and L. Wu (1994). Stability of difference approximations for parabolic initial boundary value problems. Math. and Comput. Modeling, Vol. 20, No. 10-11, 123-143.
Kreiss, H.O., and L. Wu (1993). On the stability definitions of difference approximations for the initial boundary value problems. Special issue to honor Professor Saul Abarbanel on his sixtieth birthday (Neveh, 1992). Applied Numer. Math., Vol.12, 213-227. Publisher:North-Holland.
Wu L. (2008). Pricing portfolio credit derivatives under an extended market model. HKUST
Wu, L. (2002). Calibration of CEV market model, Working paper, HKUST.
Wu, L. and F. Zhang (2001). Convexity adjustment for LIBOR derivative instruments. Working paper, HKUST.
Li, J. and L. Wu (2001). Calibrating weighted Monte Carlo method to American options via entropy minimization. Working paper, 2000, HKUST.
Wu, L. (1998). Valuation of Partial Lookback Options. Working Paper.