Lixin WU
吴立昕
PhD in Mathematics
University of California, Los Angeles, 1991

Professor
Department of Mathematics

Associate Director of MSc Program in Financial Mathematics



(852) 2358 7435
malwu@ust.hk
Room 3427
Personal Web

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ORCID
0000-0003-1901-531X

Scopus ID
55714061900




Research Interest Publications Projects Teaching Assignment RPG Supervision Space used




Research Interest

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Financial mathematics



Publications

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All Years 37 2022 0 2021 2 2020 1 2019 1 2018 1 2017 0 2016 32

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Expand All Collapse All


2021 2

A note on the option price and "Mass at zero in the uncorrelated SABR model and implied volatility asymptotics"
Quantitative Finance, 26 March 2021
Choi, Jaehyuk; Wu, Lixin Article
The Equivalent Constant-Elasticity-of-Variance (CEV) Volatility of the Stochastic-Alpha-Beta-Rho (SABR) Model
Journal of Economic Dynamics and Control, v. 128, July 2021, article number 104143
Choi, Jaehyuk; Wu, Lixin Article

2020 1

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

2019 1

Interest Rate Modeling: Theory and Practice
Interest Rate Modeling: Theory and Practice / by Wu, Lixin. Boca Raton: CRC Press, 2nd ed., 2019. Book series: Chapman and Hall/CRC Financial Mathematics Series.
Wu, Lixin Book

2018 1

xVA: Definition, Evaluation and Risk Management
Conference proceedings of the 2018 Informs International Conference
Wu, Lixin; Zhang, Dawei Conference paper

2016 1

FVA and CVA for Collateralized Trades with Re-hypothecation
Wilmott, v. 2016, (83), May 2016, p. 50-59
Li, Chunhong; Wu, Lixin Article

2015 2

CVA and FVA to derivatives trades collateralized by cash
International Journal of Theoretical and Applied Finance, v. 18, (5), August 2015, article number 1550035
Wu, Lixin Article
FVA and CVA under margining
Studies in Economics and Finance, v. 32, (3), August 2015, p. 298-321
Wu, Li Xin; Li, Chonhong Article

2012 2

Microfluidic Mixers for Studying Protein Folding
Journal of Visualized Experiments (JoVE), (62), April 2012
Waldauer, Steven A.; Wu, Ling; Yao, Shuhuai; Bakajin, Olgica; Lapidus, Lisa J. Article
A New Paradigm for Inflation Derivatives Modeling
Derivative in pricing and Modeling / Edited by Jonathan A. Batten, Niklas Wagner. Bingley, U.K. : Emerald, 2012, p.305-330
Wu, Li Xin Book chapter

2011 1

Financial Tsunami and Financial Mathematics (in Chinese)
Mathematical Culture, Vol. 2, No.1, 2011, 36-45
Wu, Lixin Article

2010 2

Inflation Derivatives Modeling: Past and Present
Annual Conference in Financial Mathematics, Hong Kong University, 10-11/12/2101, 2010
Wu, Lixin Conference paper
Market Model" vs. "Foreign Currency Analogy
International Conference on Applied Statistics and Financial Mathematics, The Hong Kong Polytechnic University, 16 - 18 December 2010
Wu, Lixin Conference paper

2009 4

Pricing jump risk with utility indifference
Quantitative finance, v. 9, (2), 2009, p. 177-186
Wu, Lixin; Dai, Min Article
Interest Rate Modeling: Theory and Practice
Interest Rate Modeling: Theory and Practice / Lixin Wu. Boca Raton: Chapman Hall/CRC Press, c2009
Wu, Lixin Book
On the Calibration of the Market Model with a Square-Root Volatility
Modelling Interest Rates: Advances in Derivatives Pricing / Edited by Fabio Mercurio. London: Risk Books, c2009, Chapter 4
Wu, Lixin Book chapter
Optimal Calibration of the LIBOR Market Model
Workshop on Financial Mathematics, National University of Singapore, Singapore
Wu, Lixin Conference paper

2008 3

Fast swaption pricing under the market model with a square-root volatility process
Quantitative finance, v. 8, (2), 2008, p. 163-180
Wu, Lixin; Zhang, Fan Article
Arbitrage Pricing of Credit Derivatives
Credit Risk: Models, Derivatives and Management / Edited by Niklas Wagner. Boca Raton: CRC Press, c2008, p.427-456
Ho, Siu Lum; Wu, Lixin Book chapter
Nonparametric Calibration of Derivatives Models
Encyclopedia of Quantitative Risk Analysis and Assessment / Vol. 3 / Edited by Edward L. Melnick, Brian S. Everitt. Hoboken, N.J.: Wiley, c2008
Wu, Lixin; Ho, Siu Lum Book chapter

2006 2

Libor market model with stochastic volatility
Journal of industrial and management optimization, v. 2, (2), 2006, MAY, p. 199-227
Wu, Lixin; Zhang, Fan Article
To recover or not to recover: That is not the question
The ICFAI Journal of Derivatives Markets, Vol. III No.3, pp59-75
Wu, Lixin Article

2005 1

Understanding Credit Default Swaps
Quantitative Methods in Finance, 2006, Sydney
Wu, Lixin Conference paper

2004 2

Optimal shouting policies of options with strike reset right
Mathematical finance, v. 14, (3), 2004, JUL, p. 383-401
Dai, Min; Kwok, Yue Kuen; Wu, Li Xin Article
Market Model with Stochastic Volatility: Pricing and Calibration
The 3rd Congress of Bachelier Financial Society, July 21 - 25
Wu, Lixin; Zhang, Fan Conference paper

2003 3

Fast at-the-money calibration of the LIBOR market model through Lagrange multipliers
Journal of Computational Finance, Vol. 6, No. 2, 39-77
Wu, Lixin Article
Optimal low-rank approximation to a correlation matrix
Linear algebra and its applications, v. 364, 2003, MAY 1, p. 161-187
Zhang, ZY; Wu, Li Xin Article
Options with multiple reset rights
International Journal of Theoretical and Applied Finance, v. 6, (6), 2003, p. 637-653
Dai, Min; Kwok, Yue Kuen; Wu, Li Xin Article

2002 1

LIBOR market model: from deterministic to stochastic volatilities
Quantitative methods in Finance, Cairns, Australia
Wu, Lixin; Zhang, Fan Conference paper

2001 2

Credit contagion: pricing cross country risk in the Brady debt markets
Int'l J. of Theoret. and Appl. Fin., 4(6), 921-939
Avellaneda, Marco; Wu, Lixin Article
Early exercise policies of American floating strike and fixed strike lookback options
Nonlinear Analysis: Theory, Methods & Applications, v. 47, (7), August 2001, p. 4591-4602
Yu, Hong; Kwok, Yue Kuen; Wu, Li Xin Article

2000 1

Effects of callable feature on early exercise policy
Review of Derivatives Research, v. 4, (2), 2000, p. 189-211
Kwok, Yue Kuen; Wu, Li Xin Article

1999 1

Pricing Parisian-Style Options with a Lattice Method
International Journal of Theoretical and Applied Finance, vol. 2, no. 1, January 1999, pp. 1-16
Avellaneda, Marco; Wu, Lixin Article

1998 1

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

1996 1

DuFort-Frankel-type methods for linear and nonlinear Schrodinger equations
SIAM journal on numerical analysis, v. 33, (4), 1996, AUG, p. 1526-1533
Wu, Lixin Article

1995 1

The Semigroup Stability of the Difference Approximations for Initial-Boundary Value Problems
Mathematics of Computation, v. 64, (209), 1995, p. 71-88
Wu, Li Xin Article

1994 1

STABLE DIFFERENCE APPROXIMATIONS FOR PARABOLIC EQUATIONS
Mathematical and computer modelling, v. 20, (10-11), 1994, NOV-DEC, p. 123-143
KREISS, HO; Wu, Li Xin Article


Expand All Collapse All


Article 2

A note on the option price and "Mass at zero in the uncorrelated SABR model and implied volatility asymptotics"
Quantitative Finance, 26 March 2021
Choi, Jaehyuk; Wu, Lixin
The Equivalent Constant-Elasticity-of-Variance (CEV) Volatility of the Stochastic-Alpha-Beta-Rho (SABR) Model
Journal of Economic Dynamics and Control, v. 128, July 2021, article number 104143
Choi, Jaehyuk; Wu, Lixin


Expand All Collapse All


Article 1

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


Expand All Collapse All


Book 1

Interest Rate Modeling: Theory and Practice
Interest Rate Modeling: Theory and Practice / by Wu, Lixin. Boca Raton: CRC Press, 2nd ed., 2019. Book series: Chapman and Hall/CRC Financial Mathematics Series.
Wu, Lixin


Expand All Collapse All


Conference paper 1

xVA: Definition, Evaluation and Risk Management
Conference proceedings of the 2018 Informs International Conference
Wu, Lixin; Zhang, Dawei


Expand All Collapse All


Article 1

FVA and CVA for Collateralized Trades with Re-hypothecation
Wilmott, v. 2016, (83), May 2016, p. 50-59
Li, Chunhong; Wu, Lixin


Expand All Collapse All


Article 2

CVA and FVA to derivatives trades collateralized by cash
International Journal of Theoretical and Applied Finance, v. 18, (5), August 2015, article number 1550035
Wu, Lixin
FVA and CVA under margining
Studies in Economics and Finance, v. 32, (3), August 2015, p. 298-321
Wu, Li Xin; Li, Chonhong


Expand All Collapse All


Article 1

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

Book chapter 1

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


Expand All Collapse All


Article 1

Financial Tsunami and Financial Mathematics (in Chinese)
Mathematical Culture, Vol. 2, No.1, 2011, 36-45
Wu, Lixin


Expand All Collapse All


Conference paper 2

Inflation Derivatives Modeling: Past and Present
Annual Conference in Financial Mathematics, Hong Kong University, 10-11/12/2101, 2010
Wu, Lixin
Market Model" vs. "Foreign Currency Analogy
International Conference on Applied Statistics and Financial Mathematics, The Hong Kong Polytechnic University, 16 - 18 December 2010
Wu, Lixin


Expand All Collapse All


Article 1

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

Book 1

Interest Rate Modeling: Theory and Practice
Interest Rate Modeling: Theory and Practice / Lixin Wu. Boca Raton: Chapman Hall/CRC Press, c2009
Wu, Lixin

Book chapter 1

On the Calibration of the Market Model with a Square-Root Volatility
Modelling Interest Rates: Advances in Derivatives Pricing / Edited by Fabio Mercurio. London: Risk Books, c2009, Chapter 4
Wu, Lixin

Conference paper 1

Optimal Calibration of the LIBOR Market Model
Workshop on Financial Mathematics, National University of Singapore, Singapore
Wu, Lixin


Expand All Collapse All


Article 1

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

Book chapter 2

Arbitrage Pricing of Credit Derivatives
Credit Risk: Models, Derivatives and Management / Edited by Niklas Wagner. Boca Raton: CRC Press, c2008, p.427-456
Ho, Siu Lum; Wu, Lixin
Nonparametric Calibration of Derivatives Models
Encyclopedia of Quantitative Risk Analysis and Assessment / Vol. 3 / Edited by Edward L. Melnick, Brian S. Everitt. Hoboken, N.J.: Wiley, c2008
Wu, Lixin; Ho, Siu Lum


Expand All Collapse All


Article 2

Libor market model with stochastic volatility
Journal of industrial and management optimization, v. 2, (2), 2006, MAY, p. 199-227
Wu, Lixin; Zhang, Fan
To recover or not to recover: That is not the question
The ICFAI Journal of Derivatives Markets, Vol. III No.3, pp59-75
Wu, Lixin


Expand All Collapse All


Conference paper 1

Understanding Credit Default Swaps
Quantitative Methods in Finance, 2006, Sydney
Wu, Lixin


Expand All Collapse All


Article 1

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

Conference paper 1

Market Model with Stochastic Volatility: Pricing and Calibration
The 3rd Congress of Bachelier Financial Society, July 21 - 25
Wu, Lixin; Zhang, Fan


Expand All Collapse All


Article 3

Fast at-the-money calibration of the LIBOR market model through Lagrange multipliers
Journal of Computational Finance, Vol. 6, No. 2, 39-77
Wu, Lixin
Optimal low-rank approximation to a correlation matrix
Linear algebra and its applications, v. 364, 2003, MAY 1, p. 161-187
Zhang, ZY; Wu, Li Xin
Options with multiple reset rights
International Journal of Theoretical and Applied Finance, v. 6, (6), 2003, p. 637-653
Dai, Min; Kwok, Yue Kuen; Wu, Li Xin


Expand All Collapse All


Conference paper 1

LIBOR market model: from deterministic to stochastic volatilities
Quantitative methods in Finance, Cairns, Australia
Wu, Lixin; Zhang, Fan


Expand All Collapse All


Article 2

Credit contagion: pricing cross country risk in the Brady debt markets
Int'l J. of Theoret. and Appl. Fin., 4(6), 921-939
Avellaneda, Marco; Wu, Lixin
Early exercise policies of American floating strike and fixed strike lookback options
Nonlinear Analysis: Theory, Methods & Applications, v. 47, (7), August 2001, p. 4591-4602
Yu, Hong; Kwok, Yue Kuen; Wu, Li Xin


Expand All Collapse All


Article 1

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


Expand All Collapse All


Article 1

Pricing Parisian-Style Options with a Lattice Method
International Journal of Theoretical and Applied Finance, vol. 2, no. 1, January 1999, pp. 1-16
Avellaneda, Marco; Wu, Lixin


Expand All Collapse All


Article 1

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


Expand All Collapse All


Article 1

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


Expand All Collapse All


Article 1

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


Expand All Collapse All


Article 1

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


Expand All Collapse All


2016 1

FVA and CVA for Collateralized Trades with Re-hypothecation
Wilmott, v. 2016, (83), May 2016, p. 50-59
Li, Chunhong; Wu, Lixin Article

2015 2

CVA and FVA to derivatives trades collateralized by cash
International Journal of Theoretical and Applied Finance, v. 18, (5), August 2015, article number 1550035
Wu, Lixin Article
FVA and CVA under margining
Studies in Economics and Finance, v. 32, (3), August 2015, p. 298-321
Wu, Li Xin; Li, Chonhong Article

2012 2

Microfluidic Mixers for Studying Protein Folding
Journal of Visualized Experiments (JoVE), (62), April 2012
Waldauer, Steven A.; Wu, Ling; Yao, Shuhuai; Bakajin, Olgica; Lapidus, Lisa J. Article
A New Paradigm for Inflation Derivatives Modeling
Derivative in pricing and Modeling / Edited by Jonathan A. Batten, Niklas Wagner. Bingley, U.K. : Emerald, 2012, p.305-330
Wu, Li Xin Book chapter

2011 1

Financial Tsunami and Financial Mathematics (in Chinese)
Mathematical Culture, Vol. 2, No.1, 2011, 36-45
Wu, Lixin Article

2010 2

Inflation Derivatives Modeling: Past and Present
Annual Conference in Financial Mathematics, Hong Kong University, 10-11/12/2101, 2010
Wu, Lixin Conference paper
Market Model" vs. "Foreign Currency Analogy
International Conference on Applied Statistics and Financial Mathematics, The Hong Kong Polytechnic University, 16 - 18 December 2010
Wu, Lixin Conference paper

2009 4

Pricing jump risk with utility indifference
Quantitative finance, v. 9, (2), 2009, p. 177-186
Wu, Lixin; Dai, Min Article
Interest Rate Modeling: Theory and Practice
Interest Rate Modeling: Theory and Practice / Lixin Wu. Boca Raton: Chapman Hall/CRC Press, c2009
Wu, Lixin Book
On the Calibration of the Market Model with a Square-Root Volatility
Modelling Interest Rates: Advances in Derivatives Pricing / Edited by Fabio Mercurio. London: Risk Books, c2009, Chapter 4
Wu, Lixin Book chapter
Optimal Calibration of the LIBOR Market Model
Workshop on Financial Mathematics, National University of Singapore, Singapore
Wu, Lixin Conference paper

2008 3

Fast swaption pricing under the market model with a square-root volatility process
Quantitative finance, v. 8, (2), 2008, p. 163-180
Wu, Lixin; Zhang, Fan Article
Arbitrage Pricing of Credit Derivatives
Credit Risk: Models, Derivatives and Management / Edited by Niklas Wagner. Boca Raton: CRC Press, c2008, p.427-456
Ho, Siu Lum; Wu, Lixin Book chapter
Nonparametric Calibration of Derivatives Models
Encyclopedia of Quantitative Risk Analysis and Assessment / Vol. 3 / Edited by Edward L. Melnick, Brian S. Everitt. Hoboken, N.J.: Wiley, c2008
Wu, Lixin; Ho, Siu Lum Book chapter

2006 2

Libor market model with stochastic volatility
Journal of industrial and management optimization, v. 2, (2), 2006, MAY, p. 199-227
Wu, Lixin; Zhang, Fan Article
To recover or not to recover: That is not the question
The ICFAI Journal of Derivatives Markets, Vol. III No.3, pp59-75
Wu, Lixin Article

2005 1

Understanding Credit Default Swaps
Quantitative Methods in Finance, 2006, Sydney
Wu, Lixin Conference paper

2004 2

Optimal shouting policies of options with strike reset right
Mathematical finance, v. 14, (3), 2004, JUL, p. 383-401
Dai, Min; Kwok, Yue Kuen; Wu, Li Xin Article
Market Model with Stochastic Volatility: Pricing and Calibration
The 3rd Congress of Bachelier Financial Society, July 21 - 25
Wu, Lixin; Zhang, Fan Conference paper

2003 3

Fast at-the-money calibration of the LIBOR market model through Lagrange multipliers
Journal of Computational Finance, Vol. 6, No. 2, 39-77
Wu, Lixin Article
Optimal low-rank approximation to a correlation matrix
Linear algebra and its applications, v. 364, 2003, MAY 1, p. 161-187
Zhang, ZY; Wu, Li Xin Article
Options with multiple reset rights
International Journal of Theoretical and Applied Finance, v. 6, (6), 2003, p. 637-653
Dai, Min; Kwok, Yue Kuen; Wu, Li Xin Article

2002 1

LIBOR market model: from deterministic to stochastic volatilities
Quantitative methods in Finance, Cairns, Australia
Wu, Lixin; Zhang, Fan Conference paper

2001 2

Credit contagion: pricing cross country risk in the Brady debt markets
Int'l J. of Theoret. and Appl. Fin., 4(6), 921-939
Avellaneda, Marco; Wu, Lixin Article
Early exercise policies of American floating strike and fixed strike lookback options
Nonlinear Analysis: Theory, Methods & Applications, v. 47, (7), August 2001, p. 4591-4602
Yu, Hong; Kwok, Yue Kuen; Wu, Li Xin Article

2000 1

Effects of callable feature on early exercise policy
Review of Derivatives Research, v. 4, (2), 2000, p. 189-211
Kwok, Yue Kuen; Wu, Li Xin Article

1999 1

Pricing Parisian-Style Options with a Lattice Method
International Journal of Theoretical and Applied Finance, vol. 2, no. 1, January 1999, pp. 1-16
Avellaneda, Marco; Wu, Lixin Article

1998 1

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

1996 1

DuFort-Frankel-type methods for linear and nonlinear Schrodinger equations
SIAM journal on numerical analysis, v. 33, (4), 1996, AUG, p. 1526-1533
Wu, Lixin Article

1995 1

The Semigroup Stability of the Difference Approximations for Initial-Boundary Value Problems
Mathematics of Computation, v. 64, (209), 1995, p. 71-88
Wu, Li Xin Article

1994 1

STABLE DIFFERENCE APPROXIMATIONS FOR PARABOLIC EQUATIONS
Mathematical and computer modelling, v. 20, (10-11), 1994, NOV-DEC, p. 123-143
KREISS, HO; Wu, Li Xin Article


No Publications


No Publications






Teaching Assignment

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2021-22 Winter 0 2021-22 Fall 3 2020-21 Summer 0 2020-21 Spring 3 2020-21 Winter 0 2020-21 Fall 2

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MATH4511 Quantitative Methods for Fixed Income Derivatives
MATH4999 Independent Capstone Project
MATH6510A Advanced Modeling Interest-rate, Credit and Inflation Derivative


MAFS5040 Quantitative Methods for Fixed-Income Instruments
MATH2121 Linear Algebra
MATH6913J Reading Course: Data Science Methods in Quantitative Investment


MATH2111 Matrix Algebra and Applications
MATH4511 Quantitative Methods for Fixed Income Derivatives


No Teaching Assignments


No Teaching Assignments


No Teaching Assignments






Research Postgraduate (RPG) Supervision From January 2019 to December 2022 (As of 30 January 2022)

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All Supervisions Current RPGs Graduated RPGs

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Current RPGs

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Doctor of Philosophy YU, Tingyu
Mathematics( 2018 - )

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Graduated RPGs

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Doctor of Philosophy DENG, Yizhe
Mathematics( Completed in 2021 )

TANG, Haoyun
Mathematics( Completed in 2019 )









ProjectsFrom January 2020 to December 2022

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All Projects 2 Leading Projects 1 Participating Projects 1

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A Trading Bot By Ensemble Learning


一个集成学习的交易机器人 Participating


Innovation and Technology Fund


Project Team (HKUST)
CHEN Kani (Lead)
CAI Ning
WU Lixin
YANG Can


2021 -




Dual-Curve Term Structure Models for Post-Crisis Interest-Rate Derivatives


后金融危机时代的双期限结构利率衍生工具定价模型 Leading


RGC - General Research Fund


Project Team (HKUST)
WU Lixin (Lead)


2017 - 2020