Financial modelling and computation

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 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

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