Reader of Finance/Director of the Financial Options Research Centre

BSc Mathematics (Warwick), DIC (Imperial College), MSc Mathematics (Oxford), PhD Theoretical Physics (Imperial College)

Research Interests

Interest rate modelling and hedging
Financial options
Computational finance

Office Hours

Wednesday 2-4pm

Expertise

Previously Director of the Centre for Computational Finance at Cass Business School, City University. Teaching and research experience outside the UK, including USA, Denmark, Italy and Switzerland. Industrial experience prior to academic career.

Teaching

TBC

Selected publications

NJ Webber and Morini, "An EZI method to reduce the rank of a correlation matrix", Applied Mathematical Finance (2005), (forthcoming).

NJ Webber and Ribeiro, "Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes", Applied Mathematical Finance (2005), (forthcoming).

NJ Webber and E. Kellezi, "Valuing Bermudan options when asset returns are Levy processes", Quantitative Finance , 4 87-100 (2004).

NJ Webber and J. James, "A Chaotic Model for Interest Rates", Quantitative Finance, 3 8-11 (2003).

NJ Webber and G. Kuan, "Valuing Barrier Options in One-factor Interest Rate Models", Journal of Derivatives, 10 33-50 (2003).

NJ Webber and C. Ribeiro, "Valuing Path Dependent Options in the Variance-Gamma Model by Monte Carlo with a Gamma bridge", Journal of Computational Finance, 7 (2003).

L. McCarthy and NJ Webber, "An Icosahedral Lattice Method for Three Factor Models", Journal of Computational Finance, 5 1-36 (2001).

Curriculum Vitae

Nick Webber
Room B2.23
Warwick Business School
University of Warwick
Coventry
CV4 7AL

T: + 44 (0) 24 765 22701
F: + 44 (0) 24 765 23779
Nick.Webber@wbs.ac.uk