Candidates applying for this project will be considered for a University studentship, which will cover UK/EU tuition fees, a training support grant of £1,000 per annum and a tax-free maintenance allowance at the UKRI Doctoral Stipend rate (£15,009 in 2019-20) for a period of up to 4 years. Limited funding opportunities for outstanding Overseas candidates may be available. Some School of Management studentships require recipients to contribute annually up to a maximum of 133 hours of seminar-based teaching and assessment in years 2, 3 and 4 of study (students will not be expected to give lectures).
Andricopoulos, A., Widdicks, M., Duck, P.W. and Newton, D. P. (2003). Universal Option Variation Using Quadrature, Journal of Financial Economics, Vol.67 (3), pp.447-471 and Corrigendum, Journal of Financial Economics 73, 603 (2004).
Andricopoulos, A., Widdicks, M., Newton, D. P. and Duck, P.W. (2007). Extending Quadrature Methods to Value Multi-Asset and Complex Path Dependent Options, Journal of Financial Economics, Vol.83(2), pp. 471-499.
Chen, D., Harkonen, H. and Newton, D. P. (2014). Advancing the Universality of Quadrature Methods to Any Underlying Process for Option Pricing, Journal of Financial Economics, 114 (3), 600-612.
Su, H., Chen, D. and Newton, D. P. (2017). Option Pricing via QUAD: From Plain Vanilla to Heston with Jumps, Journal of Derivatives, Vol. 24, No. 3: pp. 9-27.
Su, H. and Newton, D. P. (2019). Widening the Range of Underlyings for Derivatives Pricing with QUAD by using Finite Difference to Calculate Transition Densities - demonstrated for the No-Arbitrage SABR Model. Presented at the 32nd Australasian Finance and Banking Conference, December 2019.
Su, H. and Newton, D. P. (2020). Completing the Universality of Quadrature Methods for Option Pricing via Artificial Intelligence. Work in progress.
FTE Category A staff submitted: 64.90
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