The financial modelling and computation research team aims to bring together complementary expertise in financial mathematics, financial economics, computer science and data statistics to undertake multi-disciplinary research projects in quantitative finance and solve problems in business and the financial industry.
Areas of research expertise and interests include:
- Stochastic modelling in finance
- Stock derivatives evaluation
- Modelling and forecasting market volatility
- VIX index and VIX derivatives modelling
- Machine learning and deep learning for data calibration
- Portfolio optimisation
- Optimal timing for investment
- Electricity market data analytics
Research networks
- Genesis Energy, New Zealand
- Associate Professor Dan Su, School of Statistics, University of International Business and Economics, Beijing, China
- Professor Jeong-Hoon Kim, Department of Mathematics, Yonsei University, Republic of Korea
- Dr Xinfeng Ruan, Department of Accountancy and Finance, University of Otago, New Zealand
- Professor Jin E. Zhang, Department of Accountancy and Finance, University of Otago, New Zealand
- Associate Professor Hao Chang, School of Science, Tianjin Polytechnic University, China
- Professor Song-Ping Zhu, School of Mathematics and Applied Statistics, University of Wollongong, Australia
- Associate Professor Hui Zhao, School of Science, Tianjin University, China
- Professor Marc Paolella, Department of Banking and Finance, University of Zurich
Core members