Researcher

My Expertise

Quantitative finance; derivative securities; fixed income securities and interest rate derivatives; financial applications of Stochastic Calculus.

Biography

I am a Senior Lecturer in the School of Banking and Finance, University of New South Wales, with a PhD in mathematics (probability theory) and a PhD in Finance.  My research is in the area of continuous-time financial modelling, with applications to portfolio optimisation, modelling insider information, and derivatives pricing, including the pricing of options on equities, commodities, interest rates, as well as credit derivatives.  I have...view more

Location

UNSW Business School - Ref E12
Level 3, Room 367

Contact

+61 2 9385 5851
+61 2 9055 1884