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