Mill Hill Lane
Durham, Durham DH1 3LB
United Kingdom
Durham Business School
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distance to default, credit derivatives, credit default swap index, financial stability
Blockchain, Byzantine Fault Tolerance, Distributed Payment Transaction Network, Smart Contract, Derivative Contracts as Programs
Banks, Distance to Default, Credit Derivatives, Mutlivariate Volatility
credit derivatives, liquidity, sovereign bonds, credit spreads
Credit Default Swaps, Liquidity, Sovereign Bonds, Credit Spreads
Higher Moments, Asset Allocation, Portfolio Selection, Utility Theory
Option pricing, Markov chain, Non-linear programming, Stochastic Discount Factor
Disruptive Innovation, Combinatorial Innovation, Smart Contracts and crypto currencies, Theory of the firm
Microstructure, Informed Trading, PIN, LIBOR Manipulation, Market Manipulation, Financial Economics, Law and Economics, Eurodollar
Capital Structure Arbitrage, Credit Default Swaps, Portfolio Management
Stochastic Volatility, Multivariate Pricing Models, Hedging
Chinese Equity Markets, Segmentation, Co-integration, Spill-over
Realized Covariance, Microstructure, Wishart Distribution
Cyber Security, Dynamic Programming, Malware Production, Risk Management
Autoregressive Jump Models, GARCH, Volatility, Option Pricing
Asset Pricing, Risk Neutral Moments, Correlation Risk, Higher-Order CAPM, Higher Moments and Co-Moments
Hidden Order, Microstructure, Term-Structure
Microstructure, Informed Trading, PIN, VPIN, LIBOR Manipulation, Eurodollar, Market Manipulation, Financial Economics, Law and Economics
Systemic Risk, Correlation Risk, CLASS Model, Contingent Pricing
distance of default, credit derivatives, credit default swap index, financial stability
OTC FX Options, Calibration, Volatility Surface, Implied Volatility
Higher Moments, Asset Allocation, Portfolio Management, Co-movement
Microstructure, Time Varying Vector Autoregression, Informed Trading
Marketmicrostructure, Informed Trading, PIN, LIBOR Manipulation, Eurodollar, Market Manipulation, Financial Economics, Law and Economics
Risk Analysis, Game Theory, Cyber Security, Interdependence
Smart Contracts, Derivatives Pricing, Infrastructure Risk.
Secrecy, information security, organization design, trust, innovation, appropriability mechanisms