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

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
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Location

UNSW Business School - Ref E12
Level 3, Room 367

Contact

+61 2 9385 5851
+61 2 9055 1884