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Forward and future implied volatility
Glasserman, Paul; Wu, Qi - In: International journal of theoretical and applied finance 14 (2011) 3, pp. 407-432
Persistent link: https://www.econbiz.de/10009154904
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Persistence and procyclicality in margin requirements
Glasserman, Paul; Wu, Qi - In: Management science : journal of the Institute for … 64 (2018) 12, pp. 5705-5724
Persistent link: https://www.econbiz.de/10011964578
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Tail Risk Monotonicity Under Temporal Aggregation in GARCH(1,1) Models
Glasserman, Paul - 2020
The stationary distribution of a GARCH(1,1) process has a power law decay, under broadly applicable conditions. We study the change in the exponent of the tail decay under temporal aggregation of parameters, with the distribution of innovations held fixed. The parameter transformation we study...
Persistent link: https://www.econbiz.de/10012846179
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Series expansion of the SABR joint density
Wu, Qi - In: Mathematical finance : an international journal of … 22 (2012) 2, pp. 310-345
Persistent link: https://www.econbiz.de/10009613197
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Inventory management with stochastic lead times
Muthuraman, Kumar; Seshadri, Sridhar; Wu, Qi - In: Mathematics of operations research 40 (2015) 2, pp. 302-327
Persistent link: https://www.econbiz.de/10011282709
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Replenishment policies for multi-product stochastic inventory systems with correlated demand and joint-replenishment costs
Feng, Haolin; Wu, Qi; Muthuraman, Kumar; Deshpande, Vinayak - In: Production and operations management : an international … 24 (2015) 4, pp. 647-664
Persistent link: https://www.econbiz.de/10011282759
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Capturing deep tail risk via sequential learning of quantile dynamics
Wu, Qi; Yan, Xing - In: Journal of economic dynamics & control 109 (2019), pp. 1-17
Persistent link: https://www.econbiz.de/10012314027
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Dynamic CVaR portfolio construction with attention-powered generative factor learning
Sun, Chuting; Wu, Qi; Yan, Xing - In: Journal of economic dynamics & control 160 (2024), pp. 1-24
Persistent link: https://www.econbiz.de/10014532506
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The effects of stock-based incentives on inventory management
Wu, Qi; Lai, Guoming - In: Management science : journal of the Institute for … 68 (2022) 7, pp. 5068-5086
Persistent link: https://www.econbiz.de/10013369273
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On the interplay of production flexibility, capital structure, and investment timing
Lai, Guoming; Ritchken, Peter H.; Wu, Qi - In: Manufacturing & service operations management : M & SOM 25 (2023) 6, pp. 2106-2121
Persistent link: https://www.econbiz.de/10014437618