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
- Rational asset pricing
- Modelling and forecasting market volatility
- Financial derivatives: pricing and risk management
- Machine learning and deep learning for data calibration
- Portfolio optimisation
- Optimal timing for investment
- Electricity market data analytics
- Fintech and digital economy
Research networks
- Genesis Energy, New Zealand
- Te Mātaioho Limited
- Professor Zhi Liu, Department of Mathematics, University of Macau, Macau SAR, China
- Associate Professor Haichou Li, College of Mathematics and Informatics, South China Agricultural University, China
- 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
- Senior Associate Professor Xinfeng Ruan, Department of Finance, University of Otago, New Zealand Xi’an Jiaotong-Liverpool University, China
- Professor Jin E. Zhang, Department of Accountancy and Finance, University of Otago, New Zealand
- Professor Hao Chang, School of Science, Tianjin Polytechnic University, China
- Professor Song-Ping Zhu, School of Mathematics and Applied Statistics, University of Wollongong, Australia
- Professor Hui Zhao, Nankai-Taikang College of Insurance and Actuarial Science, Nankai University, China
Core members