Xuran Lyu

I am a Master’s student in Economics at Duke University. My research interests lie at the intersection of stochastic analysis, quantitative finance, and mathematical methods for derivative pricing.

My current work focuses on rough volatility models — specifically, numerical methods for the rough Heston model via the fractional Riccati equation, and statistical inference for rough volatility using high-frequency option data. I am also broadly interested in Fourier methods for option pricing under Lévy processes (Carr–Madan FFT, Lewis contour integrals), Hilbert space methods in stochastic analysis, and time series econometrics.

I hold a strong background in pure mathematics, including real and functional analysis, Fourier analysis, measure theory, and complex analysis. Outside of research, I have been building a portfolio of quantitative finance projects spanning volatility risk premium strategies, attention-gated momentum signals, and pairs trading with regime classification.

Feel free to reach out if you’d like to discuss research or collaboration.