Research Seminars 2010-2011

A Lintner Model Of Dividends And Managerial Rents

Bart Lambrecht Lancaster University Bart Lambrecht is a professor of finance at Lancaster University. His research is in the areas of corporate finance and household finance covering topics such as mergers and acquisitions, corporate bankruptcy, real options, corporate governance, capital structure, dividend policy, mortgage default and repossession. Bart Lambrecht has a BA in applied economics from the University of Antwerp (UFSIA). HeContinue reading

The economic value of volatility forecasts: A simplified approach

Nick Taylor Cardiff University Nick Taylor is Professor of Finance at Cardiff Business School, Cardiff University, having previously held positions at Manchester and Warwick University. Nick’s research interests include most areas of financial econometrics (particularly volatility modelling), and economic forecasting. His work has been published in leading international journals including the Journal of Banking and Finance, Journal of Money, Credit andContinue reading

Seasonality and the Valuation of Commodity Options

Marcel Prokopczuk ICMA Centre, Henley Business School Marcel Prokopczuk is a Lecturer in Finance at the ICMA Centre, Henley Business School, University of Reading. He holds an MSc in Business Engineering from the University of Karlsruhe and a PhD in Finance from the University of Mannheim. Marcel’s main research interests are Derivatives, Commodity Markets, and Risk Management. His research has beenContinue reading

Asymmetric Information and the Medium of Payment in US Takeover Bids

Dimitris Kyriazis University of Pireaus Dimitris Kyriazis is currently an Assistant Professor at the Department of Banking and Financial Management, University of Piraeus (Greece). He teaches Financial Management and Corporate and Business Strategy to undergraduate courses and Mergers and Acquisitions to both undergraduate and post-graduate courses. He holds a PhD in Economics from the City University, London. The topic of hisContinue reading

Systematic FX Trading Models

Jessica James Citibank Jessica James joined the Citibank FX Risk Advisory Group from Bank One, where she headed their Risk Advisory and Currency Overlay group in Europe. Her group was responsible for the design, marketing and maintenance of currency overlay strategies, and the provision of bespoke research to Bank clients, supporting internal marketing. At Citi, she is closely involved in bothContinue reading

How well do mutual funds invest in their own backyard?

Aneel Keswani City University London Aneel Keswani is a Reader in Finance at Cass Business School, City University London. Aneel’s main field of research is mutual funds. He has published papers on fund flows and performance persistence and his paper on smart money, published in the Journal of Finance, was discussed prominently across the leading European financial and business press. AneelContinue reading

Risk Appetite – Promoting Transparency and Good Governance

Deepa Govindarajan ICMA Centre, Henley Business School Deepa Govindarajan is a lecturer and Visiting Fellow at the ICMA Centre, Henley Business School, University of Reading. She lectures in the areas of banking compliance and the regulation of markets and traders. Her research interests cover senior management arrangements and governance within banks, qualitative decision-making in the management of risk, the socio-political contextContinue reading

Risk Analysis and Prediction of UK Electricity Price Distributions using Quantile Regression

Sjur Westgaard Norwegian University of Science and Technology Sjur Westgaard is an MSc and Phd in Industrial Economics from Norwegian University of Science and Technology and an MSc in Finance from Norwegian School of Business and Economics. He has worked as an investment portfolio manager for an insurance company, a project manager for a consultant company and as a credit analystContinue reading

Economics of Discrete Delta Replication of Options with Transaction Costs

Jacques Pézier ICMA Centre, Henley Business School Jacques Pézier is currently a Visiting Professor at the ICMA Centre, Henley Business School, University of Reading. His current research interests are in investment management (intelligent use of personal views, optimal design of structured products and portfolio insurance, performance criteria), risk management (optimal capital allocation, banking regulations) and financial engineering (efficient option replication). FromContinue reading

Outlier Detection in GARCH Models

Dr. Jurgen Doornik Oxford University Jurgen A Doornik is Research Fellow at Nuffield College, University of Oxford. He researches on computational econometrics and dynamic econometric modelling, as well as ARFIMA and GARCH models. He is the originator of the Ox language, and works with David Hendry on PcGive. He has (co-)authored eight books related to the software. He published papers in TheContinue reading

Hedging Barrier Options: Current Methods and Alternatives

Dr. Dominique Dupont Eurandom – Eindhoven University of Technology Dominique Dupont is currently a research fellow in the Financial Stochastics research project at Eurandom, a European research institute devoted to the study of stochastic phenomena and located on the campus of the Eindhoven University of Technology. His research focuses on hedging exotic derivatives in incomplete markets, with more specific focus onContinue reading

Contests Around a Circle

Stefan Szymanski Cass Business School Stefan Szymanski is a professor of economics at Cass Business School and Director of the Sports Business Network. His main research is on the economics business of sport, both professional and amateur. Research interest include the economics of team sports, competitive balance, the comparative economics of European and North American sports and the economics of majorContinue reading

A Dissection of Bookbuilt IPOs: Subscriptions, Underpricing, and Initial Returns

Arif Khurshed Manchester Business School Arif Khurshed completed his PhD at the ICMA Centre in the year 1999 and took up a post-doc position at Manchester School of Accounting and Finance. He later took up a lectureship in finance at the same school. Currently he is a senior lecturer at Manchester Business School, University of Manchester. Arif’s current research interests includeContinue reading

Disintegrating Risk Management

Andrea Gamba Warwick Business School Andrea Gamba is currently an Associate Professor of Finance at the Warwick Business School. He teaches and has taught graduate courses on corporate finance. Previously, he has been Visiting Professor at the School of Business, Finance Department, The George Washington University (Washington, DC); Associate Professor  of Mathematical Finance at the Department of Economics, University of VeronaContinue reading

Trading the Bond/CDS-Basis – The Case of Credit Risk and Liquidity

Monika Trapp University of Cologne Monika Trapp is an Assistant Professor of Finance at the University of Cologne (Germany). Previously, she was a Visiting Scholar at the Stern School of Business, New York University, and at the German Central Bank in Frankfurt. She studied Financial Mathematics at the University of Trier (Germany), the London School of Economics and Political Science (UK),Continue reading

Sources of Entropy in Dynamic Representative Agent Models

Mikhail Chernov London School of Economics Mikhail Chernov is a Professor of Finance at London School of Economics and a Research Affiliate at the Centre for Economic Policy Research (CEPR). He obtained his PhD from Pennsylvania State University, following which he was an Associate Professor of Finance at Columbia Business School and then an Associate Professor of Finance at London BusinessContinue reading

Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective’

Massimo Guidolin Manchester Business School Massimo Guidolin is a Professor of Finance at Manchester Business School, University of Manchester where he co-heads CAIR (Centre for the Analysis of Investment Risk). He was previously a Senior Economist and then an Asst. Vice-President with the research division of the Federal Reserve Bank of St. Louis, within the US Federal Reserve system, where heContinue reading