University of Essex

Academic Staff

Dr Liya Shen

Staff positionLecturer in Finance
Emaillshenb@essex.ac.uk
Telephone01206 874679
RoomEBS 3.55
Office hoursYou can find details of Academic office hours on the EBS UG and PG information page on Moodle or by calling EBS Student Services on 01206873911
Websitehttps://www.essex.ac.uk/admin/staff/add_staff.aspx?ID=1035
Qualifications

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
Publications

Publications:

  • "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)
Conferences/presentations
  • “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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