Dr Jo Kennedy is a Senior Lecturer in Statistics having joined the department in 1998. She previously held positions at the University of Oxford and Bristol. In recent years her research activities have focused on interest rate derivatives with particular attention to the modelling requirements of market practitioners. She is co-author with Phil Hunt of Financial Derivatives in Theory and Practice, John Wiley & Sons, 2000. She gained her PhD in probability theory at the University of Cambridge having completed her undergraduate degree and MSc degrees at the University of Sydney.

Contact her at J.E.Kennedy@warwick.ac.uk

Publications

Implied Interest Rate Pricing Models by PJ Hunt and JE Kennedy
Terminal Swap Rate Models by PJ Hunt, JE Kennedy and EM Scott
On Convexity Corrections by PJ Hunt and JE Kennedy
Markov-functional Interest Rate Models by PJ Hunt, JE Kennedy and A Pelsser
On Multi-currency interest rate Models by PJ Hunt and JE Kennedy