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 - 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.