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Position/Role: Senior Lecturer
Schools/Unit: Banking and Finance
Contact Details:
Qualifications:
- BSc Simon Fraser
- MSc Simon Fraser
- PhD (Maths) Alberta
- PhD (Finance) Alberta
Research Areas:
- Quantitative finance
- Derivative securities
- Fixed income securities and interest rate derivatives
- Financial applications of Stochastic Calculus :
Professional Activities:
- Member of the Q-Group (Australia)
Courses Taught:
- FINS 3636
- FINS 5535
- FINS 5536
- MFIN 6204
Supervisions:
PhD Supervisions
- Julia Henker, “A Behavioural Finance Perspective on Trade Imbalance and Stock Prices,” with Terry Walter; Completed 2006.
- Peter O’Brien, “Term Structure Modelling and the Dynamics of Australian Interest Rates,” Completed 2007.
- Michael Lee, “Pricing and Hedging Derivative Securities in a Regime-Switching Model with State-Dependent Jumps,” with Ah Boon Sim; Completed 2008.
- Bruce Arnold, “Ratings Transitions and Total Return on Defaultable Obligations,” Completed 2008.
- Peipei Wang, “Analysis and Pricing of Credit Default Swap Spreads,” with Ram Bhar; submitted, 2009.
Phil / MCom Hons Supervisions
- Cameron Gleeson, “Pricing and Hedging S&P 500 Index Options: A Comparison of Affine Jump Diffusion Models,” 2005.
- Yan (Jackie) Liu, “An Analysis of Jumps and Jump Risk of Australasian Stock Market Indices From a Portfolio Management Perspective,” with Toan Pham; 2005.
- Brendan Lee, “Incorporating Discontinuities in Value-at-Risk via the Poisson Jump Diffusion Model and Variance Gamma Model,”2008.
Undergraduate Honours Supervisions
- Solene Arcus, “Jumps in the Australian Interest Rate Process and the Implications for Bond Option Pricing,” 1999.
- John Ho, “Real Options in Australian Gold Mines and Companies,” with Kingsley Fong; 1999.
- Evan Metcalfe, “To Examine Whether a Generalised Constant Elasticity of Variance Model can Explain the Volatility Smile Observed in SYP500 Index Options,” 1999.
- Amy Thorburn, “S&P500 Jumps and Option Hedges,” 2000.
- Eric Lam, “Hidden Markov Models and Volatility Forecasts,” 2000.
- Winnie Leung, “An Examination of Australian Equity Using Gaussian and Jump Distributions, and Their Effects on Value-at-Risk and Conditional Value-at-Risk Estimates,” 2000.
- Jasmine Burgess, “Assessing Diffusion Mispecifications in Credit Risk Models to Accurately Mark-to-Market Default Risk,” 2001.
- Udara Peiris, “A Markov Chain Modulated Short-Term Interest Rate Model,” 2004; with Ram Bhar.
- James Prior, “Pricing Risky Debt Using Constant Elasticity of Variance Effects,” 2005
Publications:
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