Finance and Risk Analysis

The Finance and Risk Analysis group develops innovative statistical methods 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 - Professor, The University of Sydney Business School, University of Sydney.
  • Ido Nevat - Team Leader, Data Analytics Expert, TUMCREATE.
  • Gareth Peters - Professor, Heriot Watt University.
  • Pavel Shevchenko - Professor, Department of Actuarial Studies and Business Analytics, Macquarie University.