Email: portico-services@ucl.ac.uk
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- Lecturer (Teaching)
- SSEES
- UCL SLASH
My research interests lie in asset pricing, portfolio management, tail risk
and incomplete markets with extensions to violations of normality, asymmetric
information and extreme event risk. My current research focuses on how jumps in
asset prices affect managerial decisions in funds, proper modelling of heavy
tails (stochastic jump-diffusion, Poisson and Hawkes processes) and
applications in specific markets and puzzles. Further extensions include the
effects of jumps in CDS markets and systemic risk, expansions in incomplete
markets and portfolio selection under uncertainty. I am also greatly interested
in both the theoretical and applied aspect, as well as micro- and macroeconomic
applications of the above. The quantitative methods of choice are Bayesian
analysis (MCMC, particle filtering) and GARCH variations (GARCH, TARCH,
GARCH-DCC).
Apart from Finance, I maintain a long and established interest in Micro- and
Macroeconomics, Political Economy, History of Economic Thought, Growth and
Development, and I welcome ideas from those areas.
Microeconomics, Macroeconomics, Corporate Finance, Asset Pricing, Thomson
Reuters Eikon tutorials, Game Theory, Mathematics and Statistics, Econometrics
2019 | ATQ03 - Recognised by the HEA as a Fellow | University College London |