Quantitative finance is a very broad field which is continually expanding as new mathematical and statistical models are developed for analysing the “big” data sets that are increasingly available in financial markets.
The department’s research in quantitative finance currently focuses on all types of financial markets, especially stock markets and complex equity derivatives. But we also apply mathematical and statistical models to exchange rates, energy and renewables and crypto assets. The group is unified by the techniques applied which are highly quantitative, because most of our faculty have a strong mathematical or statistical background.
Our research spans a variety of theoretical and applied topics in financial econometrics, derivatives pricing and hedging and asset pricing as well as financial market microstructure, investment decisions and other problems related to portfolio optimization.
- Asset pricing models
- Derivatives pricing, hedging and trading
- Risk analysis and financial econometrics (theory and applied)
Alexander, C., Coulon, M., Han, Y. and Meng, X. Evaluating the discrimination ability of proper multi-variate scoring rules. Annals of Operations Research (2022) Open Access.
Alexander, C., Meng, X. and Wei, W. Targetting Kollo skewness with random orthogonal matrix simulation. European Journal of Operational Research, 299 (2022): 362 – 376.
Alexander, H.Y. and Meng, X. Static and Dynamic Models for Multivariate Distribution Forecasts. International Journal of Forecasting, (2022): Forthcoming.
Alexander, C., Chen, X. and Ward, C. Risk-adjusted valuation for real option decisions. Journal of Economic Behaviour and Organisation 191 (2021): 1046-1064.
Alexander, C., and Lazar, E. The continuous limit of weak GARCH. Econometric Reviews 40.2 (2021): 197-216.
Alexander, C., Lazar, E., and Stanescu, S. Analytic moments for GJR-GARCH (1, 1) processes. International Journal of Forecasting 37.1 (2021): 105-124.
Alexander, C., and Rauch, J. A general property for time aggregation. European Journal of Operational Research 291.2 (2021): 536-548.
Alexander, C., and Chen, X. Model risk in real option valuation. Annals of Operations Research 299.1-2 (2021):1025-1056.
Bevilacqua, M., and Tunaru, R. The SKEW index: Extracting what has been left. Journal of Financial Stability 53 (2021): 100816.
Duygun, M., Tunaru, R., and Vioto, D. Herding by corporates in the US and the Eurozone through different market conditions. Journal of International Money and Finance 110 (2021): 102311.
Kaeck A., van Kervel V. and Seeger N.J. Price impact versus bid–ask spreads in the index option market. Journal of Financial Markets, (2021) https://doi.org/10.1016/j.finmar.2021.100675
Zaremba, A., Kizys, R., Tzouvanas, P., Aharon, D. Y., and Demir, E. The quest for multidimensional financial immunity to the COVID-19 pandemic: Evidence from international stock markets. Journal of International Financial Markets, Institutions and Money, 71 (2021), 101284.
Farkas, W., Fringuellotti, F., and Tunaru, R. A cost-benefit analysis of capital requirements adjusted for model risk. Journal of Corporate Finance, 65 (2020): 101753.
Fabozzi, F. J., Shiller, R. J. and Tunaru, R. A 30-Year Perspective on Property Derivatives: What Can Be Done to Tame Property Price Risk? Journal of Economic Perspectives 34.4 (2020): 121-45.
Kaeck A. and Seeger N.J. VIX derivatives, hedging and vol-of-vol risk. European Journal of Operational Research, 283.2 (2020): 767-782.
Meng, X. and Taylor, J.W. Estimating Value-at-Risk and Expected Shortfall using the Intraday Low and Range Data. European Journal of Operational Research, 280.1 (2020): 191-202.
Alexander, C., Kaeck, A. and Sumawong, A. A parsimonious parametric model for generating margin requirements for futures. European Journal of Operational Research, 273.1 (2019): 31-43.
Zhang, X., Zhang, Q., Chen, D. and Jun, G. Financial integration, investor protection and imbalanced optimistically biased information timeliness in emerging markets. International Review of Financial Analysis, 64 (2019): 38-56.
Al Nasseri, A. and Menla A.F. What does investors’ online divergence of opinion tell us about stock returns and trading volume? Journal of Business Research, 86, (2018): 166-178.
Caporale, G.M., Helmi, M.H., Catik, A.N., Menla A.F and Akdeniz, C. Monetary policy rules in emerging countries: is there an augmented nonlinear Taylor rule? Economic Modelling (2018).
Dubinsky, A., Johannes, M., Kaeck, A. and Seeger, N.J. Option pricing of earnings announcement risks. Review of Financial Studies, (2018): 646-687.
Eraslan, S. and Menla, A.F. Oil price shocks and stock return volatility: new evidence based on volatility impulse response analysis. Economics Letters, 172 (2018): 59-62.
Kaeck, A. Variance-of-variance risk premium. Review of Finance, 22.4 (2018): 1549-1579.
Kaeck, A., Rodrigues, P. and Seeger, N.J. Model complexity and out-of-sample performance: evidence from S&P 500 index returns. Journal of Economic Dynamics and Control, 90 (2018): 1-29.
Meng, X. and Taylor, J.W. An Approximate Long-Memory Range-Based Approach for Value at Risk Estimation. International Journal of Forecasting, 34.3 (2018): 377-388.