Faculty Profiles - WU Lixin | The Hong Kong University of Science and Technology

Lixin WU
吳立昕

PhD in Mathematics
University of California, Los Angeles, 1991

Professor
Department of Mathematics

Associate Director of MSc in Financial Mathematics

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

ORCID

0000-0003-1901-531X

Scopus ID

55714061900

Research Interest Publications Projects Teaching Assignment RPG Supervision Space used

Research Interest

Financial mathematics

Publications

All Years 38 2024 1 2023 0 2022 0 2021 2 2020 1 2019 1 2018 33

2024 1

Interest Rate Modeling: Theory and Practice, 3rd edition

Wu, Lixin
Book

2021 2

A note on the option price and "Mass at zero in the uncorrelated SABR model and implied volatility asymptotics"

Quantitative Finance, v. 21, (7), 26 March 2021, p. 1083-1086
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

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

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

Book 1

Interest Rate Modeling: Theory and Practice, 3rd edition

Wu, Lixin

Article 2

A note on the option price and "Mass at zero in the uncorrelated SABR model and implied volatility asymptotics"

Quantitative Finance, v. 21, (7), 26 March 2021, p. 1083-1086
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

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

Book 1

Interest Rate Modeling: Theory and Practice

Wu, Lixin

Conference paper 1

xVA: Definition, Evaluation and Risk Management

Conference proceedings of the 2018 Informs International Conference
Wu, Lixin; Zhang, Dawei

Article 1

FVA and CVA for Collateralized Trades with Re-hypothecation

Wilmott, v. 2016, (83), May 2016, p. 50-59
Li, Chunhong; Wu, Lixin

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

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

Article 1

Financial Tsunami and Financial Mathematics (in Chinese)

Mathematical Culture, Vol. 2, No.1, 2011, 36-45
Wu, Lixin

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

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

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

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

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

Conference paper 1

Understanding Credit Default Swaps

Quantitative Methods in Finance, 2006, Sydney
Wu, Lixin

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

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

Conference paper 1

LIBOR market model: from deterministic to stochastic volatilities

Quantitative methods in Finance, Cairns, Australia
Wu, Lixin; Zhang, Fan

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

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

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

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

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

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

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

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

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

Teaching Assignment

2024-25 Fall 2 2023-24 Summer 0 2023-24 Spring 3 2023-24 Winter 0 2023-24 Fall 3 2022-23 Summer 0

MATH2011	Introduction to Multivariable Calculus
MATH4511	Quantitative Methods for Fixed Income Derivatives

MAFS5040	Quantitative Methods for Fixed-Income Instruments
MAFS6100N	Independent Project
MATH2352	Differential Equations

MATH4511	Quantitative Methods for Fixed Income Derivatives
MATH5520	Interest Rate Models
MATH6911N	Reading Course: Post-LIBOR Interest Rate Modelling

No Teaching Assignments

Research Postgraduate (RPG) Supervision

From January 2021 to December 2024 (As of 21 November 2024)

All Supervisions Current RPGs Graduated RPGs

Current RPGs

Doctor of Philosophy

ZHENG, Lifang (co-supervision)
Mathematics
XIA, Wencan
Mathematics

Master of Philosophy

LIU, Zhetian
Mathematics

Graduated RPGs

Doctor of Philosophy

YU, Tingyu
Mathematics( Completed in 2022 )
DENG, Yizhe
Mathematics( Completed in 2021 )

Projects

From January 2022 to December 2024

All Projects 1

No Projects.
A Trading Bot By Ensemble Learning

一個集成學習的交易機器人 Participating

Innovation and Technology Fund
Project Team (HKUST)
CHEN Kani (Lead)

WU Lixin

YANG Can
2021 - 2024