Ph. D, Peking University, 1999
M. S., Peking University, 1990
B. S., Peking University, 1984

Financial Statistics, Actuarial Sciences.  (MathSciNet)

1. Application of Levy process in finance

2. Model selection and application in finance

3. Stochastic modelling of Asset and liability management in Life insurance

4. Stochastic Mortality model

1. Yijian Chuan, Chaoyi Zhao, Zhenrui He and Lan Wu (2021) The success of AdaBoost and its application in portfolio management, International Journal of Financial Engineering, Vol.08, No. 02, 2142001

2. Jingxue Fu, Lan Wu (2021) Regime-switching herd behavior: Novel evidence from the Chinese A-share market, Finance Research Letters, 39, 101652

3. Jingxue Fu & Lan Wu (2020) Consistent estimation of the number of regimes in Markov-switching autoregressive models, Communications in Statistics - Theory and Methods, DOI: 10.1080/03610926.2020.1777304

4. Lan Wu, Xin Zang & Hongxin Zhao (2020) Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein–Uhlenbeck process, Quantitative Finance, Volume 20(8), 1285-1306

5. Shiyu Han, Lan Wu and Yuan Cheng (2018) Equity market impact modeling: an empirical analysis for the Chinese market, Journal of Risk, Volume 20, Issue 6,75-97