Financial Modelling and Computational Finance: Particularly interested in the pricing of various financial derivatives such as options and convertible bonds. Developing new analytical and numerical solutions.
* Computational finance
* Statistical decision theory
* Time series / cointegration
* Statistical quality control
# The theory of Inference on stochastic processes
# The quasi-likelihood method and its applications
# The theory of stochastic analysis and its applications in finance
# Time series analysis
# Long-memory processes
# Cointegration analysis and its applications
# GARCH models and GARCH-X models
# Mathematics Finance
# Bioinformatics
# Confidential data
# Survey methodology
* Long run equilibrium dynamics in financial asset pricing series
* Statistical arbitrage modelling in derivatives markets
* Hedge fund dynamics
* Neural networks in financial forecasting
* Pricing of American Options and moving boundary value problems
* Computational finance
* Convertible bonds and Asian Options
* Partial differential equations governing prices of financial derivatives such as bonds and options
* Stochastic differential equations for underlying variables such as interest rates and stocks
* Behavioural finance
* Empirical data analysis
* Inference in stochastic processes
* Time series analysis
* Co-integration analysis and applications
* Long memory processes
* GARCH models and inference on herteriscdestic models
* Quasi-likelihood method and its applications
* Sample survey analysis
* Inferences on stochastic processes
improving the Modelling of the Distributional Properties of Financial Time Series
Optimal Data Mining Approach to Time Series Analysis
