Staff
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Alexandra Dias
Alexandra works in the area of quantitative finance, in particular in applications to risk management. Her main interests are problems involving the modelling and estimation of several finance variables simultaneously. Especially she focuses on the analysis of dependence structures with copulas, extreme events with extreme value theory, structural changes and nonlinear relationships in finance. She has been working in models for multivariate foreign exchange rates, multivariate estimation of portfolio large losses, changes in FX rates dependence structure and more recently in the modelling of nonlinear time dependence in equity markets.
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Anthony Neuberger
Anthony is interested in robust derivative pricing models and hedging methods. He works on the bounds on the prices of American and other exotic options that are enforced by hedging strategies that are robust to model error. Another strand of his research is on model free interpretations of implied volatility and volatility skew. He is also interested in corporate hedging and risk management more generally, as well as the use of derivatives in investment management. |
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Paul Schneider - Director of FORC
Paul is interested in the intersection between traditional pricing theory and continuous-time econometrics. He focuses in particular on time-series consistency of option pricing models and parametric inference for multivariate models. Paul is currently working on the empirics of model-free estimates of the covariance between index returns and implied variance, and on developing nonlinear as well as matrix-valued variance drivers.
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Nick Webber
Nick works mainly in computational finance and derivatives pricing. His main research interests include interest rate modelling, lattice methods, modelling with Lévy processes and with copulas, and Monte Carlo methods applied to derivatives valuation. He is currently particularly interested in developing fast simulation methods for exotics in multi-factor models. |
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Research Students
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Miao Chen. Research Topic: Stochastic Volatility Model with Jumps: Model Improvement and Application in Option Pricing and Value-at-Risk.
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Associate Fellows
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Gianluca Fusai, Università del Piemonte Orientale
Gianluca Fusai is Associate Professor in Financial Mathematics at the Università del Piemonte Orientale, in the Department SEMEQ, Faculty of Economics. He holds a Ph.D. in Finance from the University of Warwick, an M.Sc. in Statistics and Operational Research at University of Essex. His main research interests are pricing and risk management of derivatives contracts and portfolio management issues.
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George Skiadopoulos, University of Piraeus
George Skiadopoulos is Assistant Professor at the University of Piraeus in the Department of Banking and Financial Management. He is also an Associate Research Fellow at the Financial Options Research Centre (FORC) of Warwick Business School, University of Warwick. He graduated from the Department of Economics of the Athens University of Economics and Business (AUEB) having a first class degree and the best grade in his series. He holds a Ph.D. in Financial Derivatives from the University of Warwick, and an M.S.c. in Mathematical Economics and Econometrics from the London School of Economics.
Homepage
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