Green finance and Green Bond Modelling
In this project you will explore the development of the green finance industry, with particular focus on green bonds. The selected sub-projects include primary market and secondary market modelling of green bond issuance, pricing, spread models and securitisation. In addition, the firm valuation modelling with regard to ESG, CSR and green bond issuance will be […]
Dynamic Futures Contract Modelling and Term Structures
In this project you will explore development multi-factor financial models for commodity futures term structures. It will require developing pricing and state space model regression calibration methods to study dynamics of futures curves with regard to a range of endogenous and exogenous physical and financial variables. This will then work as input to development of […]
Adaptive Monte Carlo Methods for Stochastic Differential Equations
Capturing rare events is crucial for accurate risk assessment and its successful management. An example in finance is computing the probability of a large, but rare, loss from a financial portfolio. Approximating expectations involving such rare events is difficult because, when using Monte Carlo, many of the generated samples do not contribute to the final […]