Financial Modelling
(J van der Hoek, E Syahril with R Elliott and M Lewis)
Research interests of the group in the area of financial modelling include:
- White noise analysis [fractional Brownian motion, interest rate models, Levy processes]
- Indifference pricing [real options, derivatives on non-traded securities]
- Corporate finance [real options, dividend discount models, transfer pricing, WACC]
- Carbon finance
- Electricity financial modelling
- American option pricing
- Approximations and numerical analysis
- Implied volatility modelling
- Islamic finance
- Commodity pricing models
- Financial trading schemes
Publications
RJ Elliot, J van der Hoek, Duality Methods, Chapter 9 in Rene Carmona [editor], Indifference pricing, pages 321-386, Princeton University Press, 2009
RJ Elliot, J van der Hoek, Ito formulas for fractional Brownian motion, in Advances in Mathematical Finance / Michael C. Fu, Dilip B Madan, Robert A. Jarrow, Ju-yi J. Yen and Robert J. Elliott (eds.), Part 1 pp.59-81, Springer, 2007
J van der Hoek and RJ Elliot, Binomial Models in Finance, Springer, 2006