Dr Liya Shen
-
Email
lshenb@essex.ac.uk -
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
Application of wavelet method
Derivative securities
Teaching and supervision
Current teaching responsibilities
-
Quantitative Foundations of Finance (BE312)
-
Asset Pricing (BE352)
Previous supervision
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 24/7/2019
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 12/10/2016
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 29/6/2016
Publications
Journal articles (5)
Chen, L., Shen, L. and Zhou, Z., (2023). Understand Funding Liquidity and Market Liquidity in a Regime-switching Model. International Journal of Finance and Economics. 28 (1), 589-605
Liu, X., Cao, Y., Ma, C. and Shen, L., (2019). Wavelet-based option pricing: An empirical study. European Journal of Operational Research. 272 (3), 1132-1142
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
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
