I am Professor of Finance specialising in quantitative finance. Before joining Keele I was a Lecturer at University of Stirling and University of Wales, Cardiff, Associate Professor at University of Nottingham and a Professor Finance at University of Salford.
I studied for my undergraduate degree at University College London and for my PhD at City University Business School now known as Cass Business School. Prior to joining academia, I worked as a Senior Investment Analyst at Abbey Life Investment Services.
Research and scholarship
My current research interests include:
- Modelling negative yields and the terms structure of interest rates
- Robustness of option pricing models
- Estimation of market risk under extreme market conditions
- Vine copula to estimate market risk
- Impact of political connections on firm activity
- Comparing the performance of Islamic banks with conventional banks
I would welcome applications from students in the general areas of risk management, time series analysis, option pricing and yield curve modelling.
I have taught extensively both at home and abroad. At home I have taught for a wide range of universities including, City University, University of Stirling, University of Wales, Cardiff, University of Nottingham, University of Nottingham Malaysia, University of Southampton, Kingston University and University of Salford. I have taught from first year undergraduates at one end to PhD students at the other. I have taught to small classes of three or four to classes of two hundred or more. I am able to teach across all areas of Finance from the very basic first year Finance modules to the advanced PhD Mathematical Finance module. I have over twenty years of executive teaching experience. I have taught to executives in the City of London, Luxembourg, Dubai, Malaysia and Singapore. I have taught a wide range of subjects at executive level including Islamic Finance, Derivatives, Risk Management, Time Series, Econometrics and Term Structure models.
I have completed one year Team Mastery programme to become a qualified coach. This course involved indepth study of modern coaching techniques and their application in a team based entrepreneurial setting. In this setting, all learning is experiential and student led with the traditional lectures abandoned and student form themselves into teams to start a company. In the process of developing a viable company students meet the learning outcomes of the modules and hence of the course. As part of the one year programme, I visited different institutions in the UK and Europe including Finland and Switzerland to learn how modern coaching techniques are applied differently in different institutions to meet the same outcome.
Engagement & Impact
- City University, London 2005 - 2008
- Glasgow Caledonia University, Glasgow 2006 - 2011
- University of Wales, 2007 - 2012
- Kingston University, 2008 - 2011
- University of Durham, 2013 - 2017
- Bangor University, 2014 - 2018
- University of Southampton, 2020 - 2024
I have made numerous media appearances on BBC and ITV.
Recent Journal Refereeing, Grant Assessments & Conference Committees
- Journal of Economic Behavior and Organization
- Applied Financial Economics
- Review of Quantitative Finance and Accounting
- International Journal of Finance and Economics
- ESRC Open Call Grant
- 2016 Social Business Conference, Paris, France
- 2017 9th Foundation of Islamic Finance Conference, University of Lancaster, UK
Programme Validation Boards
- University of Wales,(2009)
- Bangor University, (2014)
- Kingston University, (2019)
- European Financial Management Association, 2000, Athens, Greece, participation in conference
- European Financial Management Association, 2001, Lugano, Switzerland, participation in conference
- Multinational Finance Conference,2002, Limassol, Cyprus, participation in conference
- European Financial Management Association, 2002, London, England, participation in conference
- Global Finance Conference, 2003, Frankfurt, Germany, participation in conference
- Multinational Finance Conference, 2004, Istanbul, Turkey, participation in conference
- Real Options Conference, 2004, Montreal, Canada, participation in conference,
- Computational Statistics and Data Analysis Conference, 2005, Limassol, Cyprus, participation in conference
- Multinational Finance Conference, 2005, Athens, Greece, participation in conference
- Computation and Economics in Finance, 2005, Washington, USA, participation in conference
- Computational Statistics and Data Analysis Conference, 2007, Geneva, Switzerland, participation in conference
- Sixth International Scientific School, “Modelling and Analysis of Safety and Risk in Complex Systems”, 2007, St. Petersburg, Russia, participation in conference
- 15th Conference on Pacific Basin Finance, Economics, Accounting and Management, 2007, Ho Chi Minh City, Vietnam, Participation in conference
- Conference on Advanced Mathematical Methods in Finance, 2007, Vienna, Austria, participation in conference
- Asian Finance Association/Nippon Finance Association, 2008, Yokohama, Japan, participation in conference
- Global Finance Conference, 2009, Honolulu, Hawaii, USA, participation in conference
- Multinational Finance Conference,2010, Barcelona, Spain, participation in conference
- 18th Conference on Pacific Basin Finance, Economics, Accounting and Management, 2010, Beijing, China, participation in conference
- 20th European Financial Management Association, 2011, Braga, Portugal, participation in conference
- 2011 Financial Management Association, Denver, USA, participation in conference
- 2013 Global Financial Crisis: European Financial Markets and Institution, University of Southampton, UK, participation in conference
- 2013 Conference on Banking, Finance, Money and Institutions: The Post Crisis Era, University of Surrey, UK, participation in conference
- 2015 World Finance Conference, Buenos Aires, Argentina, participation in conference
- 2016 Social Business Conference, Paris, France, participation in conference
- 2017 9th Foundation of Islamic Finance Conference, University of Lancaster, UK, participation in conference
Full Publications Listshow
Revisiting variance gamma pricing: An application to S&P500 index options. International Journal of Financial Engineering, 1550022, vol. 02(02). doi>2015.
Estimating single factor jump diffusion interest rate models. Applied Financial Economics, 1679-1689, vol. 21(22). doi>2011.
Valuation of Two-Factor Interest Rate Contingent Claims Using Green's Theorem. Applied Mathematical Finance, 277-289, vol. 18(4). doi>2011.
Implied Bond and Derivative Prices Based on Non-Linear Stochastic Interest Rate Models. Applied Mathematics, 37-43, vol. 01(01). doi>2010.
Valuation of derivatives based on single-factor interest rate models. Global Finance Journal, 251-269, vol. 18(2). doi>2007.
Implied derivative security prices based two-factor interest model: a UK application. Applied Financial Economics, 739-744, vol. 15(10). doi>2005.
Derivative prices from interest rate models: results for Canada, Hong Kong, and United States. International Review of Financial Analysis, 428-438, vol. 14(4). doi>2005.
Implied option prices from the continuous time CKLS interest rate model: an application to the UK. Applied Financial Economics, 191-197, vol. 13(3). doi>2003.
Pricing UK and US securities within the CKLS model Further results. International Review of Financial Analysis, 235-245, vol. 8(3). doi>1999.
Multiday expected shortfall under generalized t distributions: evidence from global stock market. Review of Quantitative Finance and Accounting, 803-825, vol. 55(3). doi>2020.