Prof. WU, Qi 吳 琦 教授


Assistant Professor
Ph.D (Columbia University)
MSc (Peking University)
BS (Wuhan University)

Research Interests :
 * Financial Engineering
 * Fixed Income Derivative
 * PDE & Applied Analysis

Office :  Room 507, William M.W. Mong
             Engineering Building
Tel      :  (852) 3943-8310
Email  :


Dr. Wu's research centers around mathematical modeling of fixed income derivatives and macro understanding of fixed income market, including interest rates, credit and foreign exchange. His teaching addresses modeling, pricing and risk management of derivative securities. Prior to joining CUHK, Dr. Wu was first a research associate with Lehman Brothers Quantitative Credit Research in London, then an Associate Director with UBS Investment Bank on the nonlinear interest rate and structured rates desk, and most recently an interest rate modelling quant at the Depository Trust & Clearing Corporation in New York. Dr. Wu holds a Ph.D. in Applied Mathematics from Columbia University, a M.S. in Electrical Engineering from Peking University, and a B.S. in Electrical Engineering from Wuhan University. He publishes at Mathematical Finance and International Journal of Applied and Theoretical finance. He presented at Quant Congress USA and SIAM Conference on Financial Mathematics and Engineering.



Selected Publications

Glasserman, P. and Wu, Q., “Forward and Future Implied Volatility”, International Journal of Theoretical and Applied Finance; 14, 407-432, 2011

Wu, Q., “Series Expansion of the SABR Joint Density”, Mathematical Finance; 22, 310-345, 2012


Conferences & Talks

Quant Congress USA, New York, NY, Jul, 2013

Modeling High Frequency Data in Finance, Stevens Institute of Technology, Hoboken, NJ, Jul, 2011

Quant Congress USA, New York, NY, Jul, 2010

SIAM Conference on Financial Mathematics & Engineering, Chair of CPI: Volatility & Trading, NJ, Nov, 2008