Wulin Suo

Working Papers

1. "Valuation Adjustment in Derivatives Pricing: A Survey of xVA Theory, Computation, and Practice" (with Yong Wang), 2026. [Download | 中文版]
2. "All You Need to Know About Snowball Products: Pricing, Risk Decomposition, and the Effects of Design" (2026). [Download]
3. "Predicting Exotic Option Prices from Implied Volatility Surface: A Machine Learning Approach to Quantifying the Information Gap" (2026). [Download]
4. "Barrier Option Pricing" (technical notes), August 1997. Available upon request.

Work in Progress

1. Accumulator-type derivatives: a complete risk analysis.
2. Building the Black-Scholes volatility surface through machine learning.

Books & Book Chapters

1. AI in Finance: Finance for Engineers, Scientists, and Data Scientists (draft). Comments and suggestions are welcome. [Download]
2. Derivatives: Contracts, Models, and Markets (draft). Comments and suggestions are welcome. [Part VII]
3. "Hedging Options With Transaction Costs," in Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems (H. Yan, G. Yin & Q. Zhang, Eds.), Springer-Verlag, 2006.

Refereed Journal Publications

1. "Explaining Debt Recovery Using an Endogenous Bankruptcy Model" (with Wei Wang and Qi Zhang), Journal of Fixed Income, Vol. 23, No. 2, Fall 2013, pp. 114–131.
2. "An Empirical Comparison of Option Pricing Models in Hedging Exotic Options" (with Yunbi An), Financial Management, No. 4, 2009, pp. 889–914.
3. "Assessing Credit Quality from the Equity Market: Can Structural Approach Forecast Credit Ratings?" (with Yu Du), Canadian Journal of Administrative Sciences, 24 (2007), pp. 212–228.
4. "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.
5. "Volatility Surfaces: Theory, Rules of Thumb, and Empirical Evidence" (with John Hull and Toby Daglish), Quantitative Finance, 7 (2007), pp. 507–534.
6. "Are Strategic Alliances Always Value-Creating? A Real Option Analysis" (with Lew Johnson), Finance Letters, 3 (2005), pp. 30–37.
7. "A Methodology for Assessing Model Risk and Its Application to the Implied Volatility Function Model" (with John Hull), Journal of Financial and Quantitative Analysis, 37 (2002), pp. 297–318.
8. "Optimal Production Planning in a Multi-Product Stochastic Manufacturing System with Long-Run Average Cost" (with S.P. Sethi, M.I. Taksar, and H. Yan), Journal of Discrete Event Dynamic Systems, 8 (1998), pp. 37–54.
9. "Optimal Production Planning in a Stochastic Manufacturing System with Long-Run Average Cost" (with S.P. Sethi, M.I. Taksar, and Q. Zhang), Journal of Optimization Theory and Applications, 92 (1997), pp. 161–188.
10. "Producing in a Manufacturing System with Minimum Average Cost" (with S.P. Sethi, M.I. Taksar, and Q. Zhang), Nonlinear Analysis, Theory, Methods & Applications, 30 (1997), pp. 4357–4363.
11. "Optimal Feedback Production Planning in a Stochastic N-Machine Flow-Shop with Internal Buffers" (with E. Presman and S.P. Sethi), Automatica, 33 (1997), pp. 189–193.
12. "Singular Stochastic Controls I: Existence of Optimal Controls" (with U.G. Haussmann), SIAM Journal on Control and Optimization, 33 (1995), pp. 916–936.
13. "Singular Stochastic Controls II: The Dynamic Programming Principle and Applications" (with U.G. Haussmann), SIAM Journal on Control and Optimization, 33 (1995), pp. 937–959.
14. "Existence of Singular Optimal Control Laws for Stochastic Differential Equations" (with U.G. Haussmann), Stochastics, 48 (1994), pp. 249–272.

Conference Proceedings

1. "Singular Optimal Control for Stochastic Differential Equations," Proceedings of the 33rd IEEE Conference on Decision and Control, Lake Buena Vista, FL, December 1994, pp. 496–500.
2. "Minimum Average-Cost Production Plan in a Multi-Product Stochastic Manufacturing System" (with S.P. Sethi, M.I. Taksar, and H. Yan), Proceedings of the 5th International Conference on Emerging Technologies and Factory Automation, Kauai, November 1996.
3. "Optimal Feedback Production Planning in a Stochastic Dynamic Job-Shop" (with E. Presman and S.P. Sethi), Lectures in Applied Mathematics, Vol. 33, American Mathematical Society, 1997, pp. 235–252.

Other Works

1. Translated Options, Futures, and Other Derivatives by John C. Hull into Chinese (with Yong Wang) — 7th, 8th, 9th, 10th, and 11th editions (机械工业出版社), published 2009, 2011, 2014, 2018, 2021.

1. 这里会陆续记录一些关于金融、研究方法、技术实践与日常思考的短文与随笔。