Wulin Suo

In Refereed Journals

Explaining Debt recovery Using an Endogenous Bankruptcy Model (with Wei Wang and Qi Zhang), Journal of Fixed Income, Vol 23, Number 2, Fall 2013, pp114-131

An Empirical Comparison of Option Pricing Models in Hedging Exotic Options (with Yunbi An) Financial Management, No 4, 2009, pp889-914

Assessing Credit Quality from the Equity Market: Can Structural Approach Forecast Credit Ratings? (with Yu Du),  Canadian Journal of Administrative Studies,  24 (2007-09)   pp. 212-228

The Compatibility of Market Models in Cap and Swaption Markets: Evidence from Their Dynamic Hedging Performance  (with Yunbi An), Journal of Futures Markets, 28 (2007), pp. 109-130

Volatility surfaces: theory, rules of thumb, and empirical evidence (with John Hull and Toby Daglish),  Quantitative Finance 7 (2007), pp.507-534

Are Strategic Alliance Always Value-Creating? A Real Option Analysis, Finance Letters, 3 (2005), pp.30-37 (with Lew Johnson)

A methodology for assessing model risk and its application to the implied volatility function model, Journal of Financial and Quantitative Analysis 37 (2002), pp297318 (with J. Hull)

Existence of singular optimal control laws for stochastic differential equations,  Stochastics 48 (1994), pp.249-272  (with U.G. Haussmann)

Singular stochastic controls I: Existence of optimal controls, SIAM J. Control and Optimization 33 (1995), pp.916-936 (with U.G. Haussmann)

Singular stochastic controls II: The dynamic programming principle and applications,  SIAM J. Control and Optimization 33 (1995), pp.937-959 (with U.G. Haussmann)

Optimal production planning in a stochastic manufacturing system with long-run average cost, Journal of Optimization Theory and Application, 92 (1997), pp.161-188 (with S.P.  Sethi, M.I. Taksar, and Q. Zhang)

Producing in a manufacturing system with minimum average cost, Nonlinear Analysis, Theory, Methods & Applications, 30 (1997), pp.4357-4363 (with S.P.  Sethi, M.I. Taksar, and Q. Zhang)

Optimal feedback production planning in a stochastic N-machine flow-shop with internal buffers,  Automatica, 33 (1997), pp.189-193 (with E. Presman, S.P. Sethi)

Optimal Production Planning in a Multi-Product Stochastic Manufacturing System with Long-Run Average Cost. Journal of Discrete Events and Dynamic Systems, 8 (1998), pp. 37-54 (with S.P. Sethi, M.I. Taksar, and H.Yan)

Optimal feedback production planning in a stochastic dynamic job-shop, Lectures in Applied Mathematics, 33 (1997), American Mathematical Society, pp.235-252 (with E. Presman, S.P. Sethi) 

In Refereed Book Chapters

Hedging Options With Transaction Costs, in “Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems (A volume in Honor of Suresh Sethi), International Series in Operation Research & Management Science, Vol 94, H. Yan, G. Yin and Q. Zhang (Eds), Springer-Verlag, Ney York, 2006

Working Papers 

Design of Contingent Convertibles and Their Price Sensitivities, 2015

An Analysis of Hedge Fund Returns (with Lew Johnson), 2006

Assessing Default Probabilities from Structural Credit Risk Models (with Wei Wang), 2005

An Empirical Study on Credit Rating Change Behavior (with Yu Du),  2004

Barrier Option Pricing (technical notes), August, 1997 

Work-In-Progress

Equilibrium asset pricing under Levy processes

Corporate governance and over-investment (with Lew Johnson)

Idiosyncratic risk and credit risk (with Qi Zhang)

Are the risks priced consistently in the equity market and debt market?  

Other Works

Translated “Options Futures, and Other Serivatives” (7^th and 8^th edition) by John C. Hull into Chinese (with Yong Wang), published in 2009, 2011，2014. 期权、期货及其它衍生产品 （译著， 第七版，第八版, 第九版。 机械工业出版社)（with Yong Wang)

Courses Taught

Undergraduate Level

• Investment and portfolio analysis
• Fixed income securities
• Introduction to financial theory

Master Level

• Investment theory
• Financial derivatives

PhD Level

• Financial economics
• Asset pricing and continuous-time finance

Graduate Student Supervision

Ph.D Thesis Committee Chair

• Zhang (Graduated，April 2013)
• Wei Wang (Graduated, 2006)
• Yunbi An (Graduated,  2005)
• Yu Du (Graduated, 2004)

M.A. / M.Sc Thesis Supervisor

• Ghufran Tarin (2013)
• Dong Shen (2013)
• Rahil Valiani (2013)
• Robert Hayes (2013)
• Abir Paula (2009) 
• Chong Lio (2009)
• Fangpeng Dong (2009)
• Di Ma (2007)
• Ramon William (2007)
• Weiwei Li (2007)
• Ewen Miller (2007)
• Genshen Yang (2007)
• Yi Luo (2006)
• Bin Hu (2006)
• Lili Xie (2006)
• Wei Yu (2006)
• Qi Zhang (2005)
• Jian Zhou (2004)
• Bin Chang (2002)
• Shiheng Wang (2002)
• Yu Dong (2001)

Visiting Positions

Visiting Lecturer
Rotman School of Management, University of Toronto
2007 – 2008

Interests

Asset pricing theory and continuous-time finance, Valuation and hedging of derivative securities, term structure of interest rate modeling, Application of asset pricing to executive compensations, Financial risk management, Credit risk and valuation of defaultable securities, Mathematical finance, computational finance

Conference/Seminar Presentations

Assessing Default Probabilities from Structural Credit Risk Models, 2007 Interdisciplinary Mathematical and Statistical Techniques, May 20-23, Shanghai, China

Assessing Credit Quality from the Equity Market: Is Structural Approach a Better Approach? 2007 China International Conference in Finance, July 9-12, Chengdu, China 

Assessing Default Probabilities from Structural Credit Risk Models, 2006 Financial Management Association,  October 11-14, Salt Lake City, Utah

Assessing Default Probabilities from Structural Credit Risk Models, 2006 Northern Finance Association, September 15-17, Montreal

Hedge Fund Performance, 2006 Northern Finance Association, September 15-17, Montreal

Assessing Default Probabilities from Structural Credit Risk Models, 2006 China International Conference in Finance, July 17-20, Xi’An, China

Stochastic Process in Finance, Invited speaker for Hebei Mathematics Society, July 29-30, ShiJiaZhang, China 

Estimating Default Probabilities, International Conference Honors Suresh P. Sethi, School of Management, University of Texas at Dallas, May 20-22, 2006

Assessing Credit Quality from Equity Markets , Stochastic Modeling Symposium, Canadian Institute of Actuaries,  Toronto, April 2006,

An Empirical Study on Credit Rating Change Behaviour, Northern Finance Association Annual Meeting, Vancouver, BC, September 2005.

An Empirical Study on Credit Rating Change Behaviour, McGill University,  April, 2005

The Performance of Option Pricing Models in Hedging Exotic Options, Financial Management Association Annual Meeting, New Orleans, October, 2004

Volatility Surfaces: Theory, Rules of Thumb, and Empirical Evidence, Asian Financial Management Association Annual Meeting, Taipei,  July, 2004

Assessing Credit Quality from Equity Markets: Is Structural Model a Better Approach? Second Annual Risk Management and Insurance Conference, Waterloo, June, 2004

The Empirical Performance of Options Pricing Models, Schulich School of Management, York University, November 2003

Volatility Surfaces: Theory, Rules of Thumb, and Empirical Evidence, Financial Management Association Annual Meeting, Denver, Colorado, October, 2003

The Empirical Performance of Options Pricing Models on Hedging Exotic Options, Quebec City, Northern Finance Assocation Annual Meeting, Banff, Alberta, September, 2003 (With Yunbi An)

Hedging Options With Transaction Costs, Northern Finance Assocation Annual Meeting, Banff, Alberta, September, 2002

Modelling Implied Black-Scholes Volatilities, Northern Finance Assocation Annual Meeting, Halifax, Nova Scotia, October, 2001.

• The paper won the “Best Derivative Paper” award at this conference

Pricing Errors in Implied Volatility Models, Northern Finance Assocation Annual Meeting, Waterloo, Ontario, September, 2000

Existence of Singular Optimal Control Laws, West Pacific Optimization Seminar, University of Washington, Seattle, WA, February 25, 1994

Singular Optimal Control for Stochastic Differential Equations, 33rd IEEE Conference on Decision and Control, Lake Buena Vista, FL, December 14, 1994

In Conference Proceedings

Singular optimal control for stochastic differential equations,  Proc. of the 33rd IEEE Conference on Decision and Control,  Lake Buena Vista, FL, December, 1994, pp.496-500

Minimum Average-cost production plan in a multi-product stochastic manufacturing system, Proceedings of the 5^th International Conference on Emerging Technologies and Factory Automation, Kauai, Nov. 18-21, 1996 (with S.P. Sethi, M.I. Taksar, and H. Yan)

Editorial Services

Ad Hoc Reviewer

Journal of Banking and Finance, Mathematical Finance, Canadian Journal of Administrative Sciences, Mathematical Analysis and Applications, Quantitative Finance, International Economic Journal, The European Physical Journal B, Siam Journal On Control and Optimization, Management Science, Journal of Business Finance and Accounting, Annual of Operation Research