Research Seminars 2009-2010

Construction of Multivariate Distributions: Some Recent Results

Jose Maria Sarabia University Cantabria, Santander, Spain Jose Maria Sarabia is Professor of Quantitative Methods in Business and Economics in the Department of Economics at the University of Cantabria, Santander, Spain. His research interests include: Multivariate Analysis, Distribution Theory, Extreme Value Theory, Economic Inequality and Actuarial Statistics. He has published papers in several important Journals including: Journal of the American StatisticalContinue reading

How Important is the Term Structure in Implied Volatility Surface Modeling? Evidence from Foreign Exchange Options

George Chalamandaris Athens University George Chalamandaris is a Lecturer of Finance at the Athens University of Economics and Business at the Department of Accounting and Finance. He graduated from the National Technical University of Athens and continued his studies at Imperial College in London where he also completed his PhD in Quantitative Finance. He has worked in Natwest Markets and RoyalContinue reading

Participation and Continuous Workout Mortgages

Rafal Wojakowski Lancaster University Rafal Wojakowski is Lecturer in Finance at Lancaster University. He has PhD in Finance from HEC Paris, MRes in Economics and MEng in Theoretical Physics. His research interests include mortgage finance, risk management, derivatives, corporate finance and incomplete markets. He published in journals such as the Journal of Banking and Finance, Journal of Economic Dynamics and Control,Continue reading

Real Options and Game Theoretical Approaches to Valuations of Real Assets: Multiple Equilibria and The Implications of Different Tie-Breaking Rules

Gianluca Marcato Reading University Gianluca Marcato is Reader (Associate Professor) in Real Estate Finance and Director of the Master in Real Estate Finance and Investment at the University of Reading, where he is also Senior Research Associate at the ICMA Centre. Previously he worked at CASS Business School and Bocconi University. Starting from a background in corporate finance, he developed anContinue reading

The Dynamics of Hourly Electricity Prices

Stefan Trück Macquarie University, Sydney Stefan Trück is an Associate Professor in the Economics Department of Macquarie University Sydney. He has held positions at Queensland University of Technology and University of Karlsruhe in Germany where he received a PhD in Statistics. His research interests focus on risk management and financial econometrics including the fields of credit risk, operational risk, power marketsContinue reading

Pricing Models for Real Estate Derivatives

Radu Sebastian Tunaru City University, Cass Business School Radu Sebastian Tunaru has a background in Mathematics and Statistics (Diploma in Mathematics, 5 years full-time, PhD in Probability and Statistics, PhD in Statistical Modeling) and he has been specialising in Financial Engineering and Financial Mathematics since 1999. He worked as a Lecturer in Operations Research and Probability (1994-1996), Research Fellow in FinanceContinue reading

Risk Measurement for a Fund of Hedge Funds Portfolio including ‘Alpha’ Risk and Tail Risk

Apostolos Katsaris Caliburn Capital Partners Apostolos Katsaris joined Caliburn Capital Partners in 2005 where he is Partner & Head of Quantitative Analysis. Apostolos is responsible for leading the development of our quantitative analysis platform and is a member of the Risk Committee. Prior to joining Caliburn Capital, Apostolos worked as a consultant in the area of risk management for Schroder InvestmentContinue reading

Caught in the Housing Crash: Model Failure or Management Failure

Professor Gunter Löffler University of Ulm Gunter Löffler is Professor of Finance at the University of Ulm in Germany. Previously, he held positions at Goethe University Frankfurt and Commerzbank. His PhD in finance is from the University of Mannheim. Gunter’s current research interests are on credit risk and empirical finance. His papers have been published in journals such as the JournalContinue reading

Computing a Nearest Correlation Matrix with Factor Structure

Nick Higham University of Manchester Nick Higham is Richardson Professor of Applied Mathematics in the School of Mathematics, University of Manchester. His degrees (BA 1982, MSc 1983, PhD 1985) are from the University of Manchester, and he has held visiting positions at Cornell University and the Institute for Mathematics and its Applications, University of Minnesota. He is Director of Research withinContinue reading

Correlation vs. Causality in Stock Market Comovement

Enzo Weber University of Regensburg Enzo Weber is Professor of Economics at Universität Regensburg. He started his studies of economics in 2001 at Freie Universität Berlin. At the same place, he was teaching and research assistant at the institute of statistics and econometrics from 2004 until 2008. The dissertation, an empirical investigation into convergence, business cycles, economic growth and financial marketsContinue reading

An Investigation of Customer Flow in the Foreign Exchange Market

Mario Cerrato University of Glasgow Mario Cerrato is a Lecturer in Economics at the University of Glasgow (Department of Economics). His main research interests are in non-stationary panel data econometrics, forex market microstructure, financial derivatives and capital/liquidity management and the design of optimal securities.

How Important is the Term Structure in Implied Volatility Surface Modelling? Evidence from Foreign Exchange Options

George Chalamandaris Athens University of Economics and Business George Chalamandaris is a Lecturer of Finance at the Athens University of Economics and Business at the Department of Accounting and Finance. He graduated from the National Technical University of Athens and continued his studies at Imperial College in London where he also completed his PhD in Quantitative Finance. He has worked inContinue reading

Algorithmic Option Market Making

Hyungsok Ahn Independent Consultant Hyungsok Ahn is a vice president at Constellation Power Source. Separated from Goldman Sachs last year, Constellation Power Source is a leading power marketer in the USA. He is responsible for developing energy derivative pricing models and pricing exotic structure products such as various tolls and gas storage deals. Prior to this he worked as a quantitativeContinue reading

Islamic Real Estate Finance

Akm Ismail Management Consultant Akm Ismail is a Senior Real Estate Banker. He started his career with DBS Bank, Singapore where he worked for nine years and then moved on to Citibank. He worked there for the next eight years and has been involved in the structuring of debt, mezzanine and equity deals. Signature deals include Canary Wharf development in London,Continue reading

Stress Testing Credit Risk: The Great Depression Scenario

Simone Varotto ICMA Centre, University of Reading Simone Varotto joined the ICMA Centre in 2001 as a Lecturer in Finance having completed his PhD in Finance at Birkbeck College. Following his MSc in Finance in 1996, also from Birkbeck, he worked as an Economist at the Bank of England, until June 2000 as a member of the Research Group in the Regulatory PolicyContinue reading

The Market Price of of Risk of the Volaility Term Structure

George Dotsis University of Essex George Dotsis is a Lecturer in Finance at Essex Business School, University of Essex. He holds a BSc in Economics from Athens University of Economics and Business, an MSc in Mathematical Trading and Finance from Cass Business School and a PhD in Finance from Athens University of Economics and Business. His research interests are in theContinue reading

Trading Stock Options in late-seventeenth century London

Anne Murphy University of Hertfordshire Anne Murphy is a lecturer in early modern history at the University of Hertfordshire. She joined academia after spending twelve years in the City trading various currencies and instruments in the international foreign exchange and money markets. Her research interests derive from that background in finance, and concern the nature of Europe’s financial markets, the behaviourContinue reading

Hybrid Brownian Motion: a model for price feedback and volatility explosion

William Shaw Kings College London William Shaw received his doctorate in mathematics from the University of Oxford, following which he held post-doctoral positions at the University of Cambridge and M.I.T. He then worked as a consultant applied and financial mathematician before joining the Quantitative Analysis Group of Nomura International plc, where he was a specialist in computational finance and equity derivatives modelling. At the same time he heldContinue reading