Past Ph.D. students

Chao Yang

Thesis: Multi-asset and Stochastic Volatility Option and Bond Pricing Models: Valuations and Calibrations

Sebastian H. Law

Thesis: On the Design, Modelling and Valuation of Commodity Derivatives

Sebastian is currently working as a post-doctoral student in collaboration with Peter Duck and Paul Johnson at the School of Mathematics in Manchester.

Liu Bo

John W. Heap

Thesis Enhanced Techniques for Complex Interest Rate Derivatives

After his Ph.D. John joined d-fine, a risk management consultancy; here he focuses on quantifying risks and creating solutions to convey these risks to business users (primarily banks and other financial institutions).
John has since moved to work for barrie & hibbert, a risk modelling firm.

Kristoffer J. Glover

Thesis The Analysis of PDEs Arising in Nonlinear and Non-standard Option Pricing

After completing his Ph.D. in September 2008, Kristoffer joined the School of Finance and Economics at The University of Technology, Sydney where he is currently a postdoctoral research fellow. His research interests include the analysis of nonlinear PDEs occurring in financial models (such as those arising from the study of option pricing in illiquid markets) and the application of optimal stopping and free-boundary theory to numerous areas of finance and economics. He holds a Ph.D. in Mathematical Finance and a Masters degree in Mathematics and Physics, both from The University of Manchester.

Ricardo Correia

Thesis: Real flexibility and financial structure: Integrated models of the firm under an agency conflicts framework

Ricardo is assistant professor in the Business department of Universidad Carlos III of Madrid since September 2008, where he currently lectures Financial Management.
He holds a degree in Management from Universidade Católica Portuguesa and a Ph.D. in Finance from the Manchester Business School (The University of Manchester). His research interests include real options, agency conflicts and corporate financing decisions.

Paul V. Johnson

Thesis: Improved Numerical Techniques for Occupation-Time Derivatives and Other Complex Financial Instruments

Since completing his Ph.D., Paul has been working with Professor Peter Duck and Professor Syd Howell to develop a new approach for modelling physical systems with uncertain price and uncertain physical flow. Recent research has been into the optimal charging and discharging of an energy storage device attached to a wind farm, with stochastic production and a stochastic buy/sell price.
Paul's other research interests include free boundary problems and occupation time derivatives. He holds a Ph.D. in Mathematical Finance, a M.Sc. in Fluid Dynamics and a B.Sc. in Mathematics from the University of Manchester.

Xiao Xiao

Thesis: Advanced Monte Carlo Techniques: An Approach for Foreign Exchange Derivative Pricing

Nicholas J. Sharp

Thesis: Advances in Mortgage Valuation: An Option-Theoretic Approach

Nick Sharp joined the RiskMetrics Group research team in September 2008 and is based in the Geneva office. The risk research group is responsible for specifying methodology, analytics, and publishing research. It supports the business from a research perspective and is a key resource for sales and client services. Prior to relocating to Geneva, Nick was a research fellow at Nottingham University Business School for two years. He holds a Ph.D. in Mathematical Finance and a B.Sc. in Mathematics, both from the University of Manchester. Nick is author of several articles in the mathematical finance field.

Xixi Gu (Clement)

Thesis: Valuing of Investments using Time-dependent Numerical Methods

Bryan Johnson

Thesis: New Pension Models using Fixed Income Products

Bryan currently works for JP Morgan in London.

Lingzhi Yu

Thesis: Corporate Bonds Valuation via Parasian Options with Endogenous Recovery Rate

Ari Andricopoulos

Thesis: Option pricing using Quadrature and other numerical methods

Martin Widdicks

Thesis: Examination, Extension and Creation of Methods for Pricing Options with Early Exercise Features

Martin Widdicks is a Senior Lecturer in Finance at Lancaster University, having previously worked at The University of Illinois at Urbana-Champaign and The University or Manchester. He is currently interested in Executive Stock Option pricing along with numerical methods and mathematical finance in general.