Finance and Risk Analysis

The Finance and Risk Analysis group develops innovative statistical methodsĀ for modelling financial risk.

Group Members

Research Interests

The research interests of the Finance and Risk Analysis group cover a number of different interrelated areas:

  • Pricing and hedging of financial derivatives
  • Stochastic implied volatility models
  • Default risk modelling
  • Modelling of credit migrations
  • Valuation of credit derivatives
  • Asset price dynamics

Affiliated External Group Members

  • Richard Gerlach - Assoc Prof, Econometrics, University of Sydney.
  • Ido Nevat - Research Scientist, Department of Electrical Engineering, UNSW.
  • Gareth Peters - Lecturer, University College London.
  • Pavel Shevchenko - Principal Research Scientist, Team Leader of Quantitative Risk Management, CSIRO - Mathematical and Information Sciences.