|Date||23rd October 2001|
|Time||1:00pm - 2:00pm|
|Venue||ICMA Centre, Room G03/04|
Before this Nick was based at Warwick Business School. Nick took a PhD in Theoretical Physics from Imperial College, London. He worked in industry, in computing and industrial modelling, before turning to research. His chief current research interests are in interest rate modelling and computational finance. He has a recent book, Interest Rate Modelling, co-authored with Jessica James. In computational finance he has developed lattice methods suitable for two and three factor models, and fast methods for one factor models. He is currently working on credit models and on numerical methods for Levy processes.