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
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 supervised or co-supervised 11 PhD students, four masters research students, and nine honours students to completion. In 2009 I received a Dean's Commendation for Contributions to Teaching.
My Qualifications
- PhD Finance, University of Alberta
- PhD Mathematics, University of Alberta
- MSc, Simon Fraser University
- BSc, Simon Fraser University
My Engagement
Memberships
- Member of the Q-Group (Australia)
My Teaching
- FINS3635 Options, Futures and Risk Management
- FINS3636 Interest Rate Risk Management
- FINS5535 Derivatives and Risk Management Techniques
- FINS5536 Fixed Income Securities and Interest Rate Derivatives
- FINS5591 Continuous-Time Finance