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

Group Members

• Leung Chan
• William Dunsmuir
• Spiridon Penev
• Donna Salopek

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.