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Financial Regulations (3 ROs); Forecasting (4 ROs); Optimisation (3 ROs); Hedging (1 RO); Trading (2 ROs)
Dissertations I currently supervise or have supervised: Blockchain Technology in the Financial Industry, Trading Strategies with Neural Networks, Big Data Analytics and Fraud Detection
It discusses how the quantitative finance job description evolved to a more data science driven job for which IT skills are essential.
It discusses the opportunities for central banks and market makers.
These articles discuss 24 recent Blockchain topics and future trends in the technology.
Latest Research
Over-the-Counter (OTC) derivatives are often applied in finance to hedge a firms risk exposure. With the standardisation of OTC contracts and the increasing transaction costs for non-standardised OTC derivatives, we aim to find a cost efficient hedging approach to secure the investment in several underlying. Existing literature demonstrates the superiority of global quadratic hedging with GARCH process. We extend the relevant literature by proposing a global Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) hedging approach with DCC process to secure several underlying with one index put option.
How to optimally manage the profitability and risk of a trading desk under consideration of regulatory market risk requirements? We propose an innovative optimisation approach with Unconditional Coverage constraint and heuristic optimisation. Read our research paper on Minimizing Basel III Capital Requirements with Unconditional Coverage Constraint
Can metaheuristic algorithms improve the minimum capital requirements for market risk of your trading desk? We research this question using a Threshold Accepting and Trust-Region local search algorithm. Read more on Improving Portfolio Risk Profile with Threshold Accepting
Do advanced Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) estimation methods reduce the daily VaR violations and thus, the multiplication factor for the calculation of minimum capital requirement for market risk? We provide empirical evidence that supports this hypothesis. Read more on Reducing Basel III Capital Requirements with Dynamic Conditional Correlation and Monte Carlo Simulation
How to build financial models for portfolio mangement, derivatives pricing and corporate finance using VBA? Get some basics in Financial Modeling
This is a thought experiment on how the effect of time dilation would impact option valuation. Want to read more on Option Valuation under the Effect of Time Dilation?