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  :  qwu@se.cuhk.edu.hk
 

Biography

Prof. Wu’s research centers around mathematical modeling for financial engineering and quantitative investment. Prior to joining CUHK, Prof. Wu was first a summer associate with Lehman Brothers Quantitative Credit Research in London fixed income, then an associate director with UBS North America interest rate exotic option trading, and most recently a senior quantitative analyst and team lead of interest rate modeling at the Depository Trust & Clearing Corporation reporting New York Federal Reserve. Prof. 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, SIAM Conference on Financial Mathematics and Engineering, and INFORMS annual meeting.
 

 

Selected Publications

“Saddle Point Expansion for Portfolio VaR and the Tail Diversification Effect”, with A. Lesniewski and H. Sun, submitted. 
 
“A Dual-curve Short Rate Model with Multi-factor Stochastic Volatility: I. Asymptotic Analysis”, with A. Lesniewski and H. Sun, submitted.
 
“Forward and Future Implied Volatility”, with P. Glasserman, International Journal of Theoretical and Applied Finance; 14, 407-432, 2011
 
“Series Expansion of the SABR Joint Density”, Mathematical Finance, 22, 310-345, 2012

 

Conferences & Talks

The 8th International Congress on Industrial and Applied Mathematics, Beijing, Speaker, 2015-Aug.
 
The 3rd Asian Quantitative Finance Conference, Hong Kong, Speaker, 2015-Jul.
 
SIAM Conference on Financial Mathematics & Engineering, Chicago, Speaker, 2014-Nov.
 
Quant Congress USA, New York, Speaker, 2014-Jul. 
 
INFORMS Annual Meeting, Minneapolis, Speaker, 2013-Oct.
 
Quant Congress USA, Speaker, New York, 2013-Jul.
 
Modeling High Frequency Data in Finance, Stevens Institute of Technology, New Jersey, Speaker, 2011-Jul.
 
Quant Congress USA, New York, Speaker, 2010-Jul.
 
SIAM Conference on Financial Mathematics & Engineering, New Jersey, Chair of CPI: Volatility & Trading, NJ, Nov., 2008