University of Essex

Academic Staff

Dr Liya Shen

Staff positionLecturer in Finance
Telephone01206 874679
RoomEBS 3.55

BSc (East China University of Science and Technology), MSc (Essex), PhD (Essex)

Research interests
  • Option pricing
  • Application of wavelet method
  • Derivative securities
  • Hedge fund performance
  • Fund Management


  • "Revealing the Implied Risk-neutral MGF from options: The Wavelet Method”, 2009, Journal of Economic Dynamics and Control, 33 (3), 692-709 (with E. Haven, X. Liu, and C. Ma).
  • "De-noising Option Prices with the Wavelet Method”, 2012, European Journal of Operational Research, 222 (2012) 104–112 (with E. Haven, X. Liu).

Working papers:

  • "An empirical investigation of option pricing models” ( with X. Liu)
  • "Looking at the volatility smile from a new perspective” (with E. Haven)
  • "A wavelet based study of Levy jumps in an equilibrium option pricing model” (with J. Chen)
  • “Revealing the Implied Risk-Neutral MGF with the Wavelet Method”, 12TH International Conference on Computing in Economics and Finance (22-24 June 2006, Cyprus).
  • “De-noising Option Prices with the Wavelet Method”, International Workshop on Computational and Financial Econometrics (20-22 April 2007, Geneva).

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