Dr Emese Lazar
Lecturer in Finance
T: +44 (0)118 378 6768
Specialisms: Financial Econometrics, Market Risk, Volatility Modelling
Biography
Emese received a PhD in Finance from the ICMA Centre, The University of Reading in 2006. Previously she obtained an MSc in Financial Engineering and Quantitative Analysis with a distinction from the ICMA Centre. She graduated from the Academy of Economic Studies in Bucharest, with a BSc in Finance and Banking. Also, she holds a BSc in Computer Science obtained from the University of Bucharest, Faculty of Mathematics. Her research interests include: volatility and correlation models and their application in pricing structured products and risk management. Emese presently teaches Market Risk, Derivative Securities, Derivatives Pricing and Mathematical and Numerical Methods.
Publications
Modelling Regime Specific Stock Volatility Behaviour
(with Carol Alexander)
Oxford Bulletin of Economics and Statistics (2009), vol. 71 (6), pp. 761 - 797
Option Valuation with Normal Mixture GARCH Models
(with Alex Badescu and Reg Kulperger)
Studies in Nonlinear Dynamics & Econometrics (2008), vol. 12 (2) article 5
Normal Mixture GARCH (,1): Applications to Exchange Rate Modelling
(with Carol Alexander)
Journal of Applied Econometrics (2006), vol. 21, pp. 307-336
Time Aggregation of Normal Mixture GARCH Models
(with Carol Alexander)
Proceedings of the second international IASTED conference on Financial Engineering and Applications, MIT (2004), pp. 210 - 215
Working Papers
Continuous Markov Switching GARCH
(with Carol Alexander)
ICMA Centre Discussion Papers in Finance 2008-01
On the continuous Limit of GARCH
(with Carol Alexander)
ICMA Centre Discussion Papers in Finance 2005-13
