People

Dr Liya Shen

Lecturer
EBS - Finance
Dr Liya Shen
  • Email

  • Telephone

    +44 (0) 1206 874679

  • Location

    EBS.3.55, Colchester Campus

  • Academic support hours

    You can find details of Academic Support hours on the EBS UG and PG information page on Moodle or by calling EBS Student Services on 01206873911

Profile

Biography

I welcome inquiries from potential PhD students on a variety of topics, including but not exclusively • Asset pricing • Derivative securities • Application of wavelet methods

Qualifications

  • BSc (East China University of Science and Technology)

  • MSc (Essex)

  • PhD (Essex)

Research and professional activities

Research interests

Option pricing

Open to supervise

Application of wavelet method

Open to supervise

Derivative securities

Open to supervise

Conferences and presentations

De-noising Option Prices with the Wavelet Method, International Workshop on Computational and Financial Econometrics (20-22 April 2007, Geneva).

2007

Revealing the Implied Risk-Neutral MGF with the Wavelet Method, 12TH International Conference on Computing in Economics and Finance (22-24 June 2006, Cyprus).

Cyprus, 2006

Teaching and supervision

Current teaching responsibilities

  • Quantitative Foundations of Finance (BE312)

  • Asset Pricing (BE352)

Previous supervision

Xinyang Luan
Xinyang Luan
Thesis title: Essays on International Stock and Bond Returns
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 12/10/2016
Melek Akpak Aygul
Melek Akpak Aygul
Thesis title: An Examination of Commodity Derivative Markets: Efficiency, Volatility and Diversification Benefits
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 29/6/2016

Publications

Journal articles (4)

Liu, X., Cao, Y., Ma, C. and Shen, L., Wavelet-based option pricing: An empirical study. European Journal of Operational Research

Chen, J., Shen, L., Wang, X. and Zuo, H., (2015). The role of variance risk premium in predicting excess stock market return: out-of-sample evidences. Applied Economics Letters. 22 (17), 1-7

Haven, E., Liu, X. and Shen, L., (2012). De-noising option prices with the wavelet method. European Journal of Operational Research. 222 (1), 104-112

Haven, E., Liu, X., Ma, C. and Shen, L., (2009). Revealing the implied risk-neutral MGF from options: The wavelet method. Journal of Economic Dynamics and Control. 33 (3), 692-709

Reports and Papers (2)

Liu, X. and Shen, L., (2017). Wavelet-based option pricing: An empirical study

Shen, L. and Haven, E., (2006). Using wavelets to approximate the risk-neutral MGF for options

Contact

lshenb@essex.ac.uk
+44 (0) 1206 874679

Location:

EBS.3.55, Colchester Campus

Academic support hours:

You can find details of Academic Support hours on the EBS UG and PG information page on Moodle or by calling EBS Student Services on 01206873911