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Modelling Short-Term and Long-Term Smile Effects

Event information
Date 28 May 2003
Time 13:00-14:00 BST
Venue ICMA Centre, Room G03/04
Event types:
Research Seminars

Prior to this post, she held positions in both academia and financial institutions at: Gemente Universiteit in Amsterdam; UBS Phillips and Drew; The University of Sussex; Algorithmics Inc. and Nikko Global Holdings. Carol was a lecturer in Mathematics and Economics for 13 years at Sussex University. From 1996 to 1998 she also worked part-time in the industry, as Academic Director of Algorithmics, a large international enterprise-wide risk management software company. Following this, she worked briefly as full-time Director of Nikko Global Holdings, before returning to Academia. Carol has a PhD in Algebraic Number Theory and a first class BSc in Mathematics with Experimental Psychology from Sussex University and an MSc in Econometrics and Mathematical Economics from the London School of Economics. She holds an honorary professorship at the Academy of Economic Studies in Bucharest. She is Chair of the Academic Advisory Council of the Professional Risk Management International Association and Co-Editor of the acclaimed Professional Risk Manager's Handbook. Carol has published numerous papers in international academic and professional journals. Her current research interests are in continuous and discrete time volatility and correlation analysis, hedge funds, multifactor pricing models and operational risk. She has edited several books, and is author of the best selling text book Market Models: A Guide to Financial Data Analysis. Since 1990 the professional side of Carol's career has focussed on developing mathematical models for risk management and investment analysis. Her new textbook on Market Risk Analysis will be published by Wileys in 2007. Most of her consultancy work involves the design of software for risk management, portfolio optimization and trading. See consultancy pages for further information.