Kent Centre for Finance

Professor Radu Tunaru’s paper “AN IMPROVED METHOD FOR PRICING AND HEDGING AMERICAN OPTIONS” has been listed on SSRN’s top ten down load list for Econometric Modeling: Derivatives eJournal.

Professor Radu Tunaru has a new paper “Value at Risk and Expected Shortfall Improved Calculation Based on the Power Transformation Method” coming out in the Journal of Derivatives. The paper is co-authored jointly with Dr. Arturo Leccadito from the Department of Economics, Statistics and Finance at the University of Calabria, Italy and Dr. Pietro Toscano, senior investment risk manager in the Risk & Quantitative Analysis Group at BlackRock, USA.

Professor Radu Tunaru’s paper “DIVIDEND DERIVATIVES”, was recently listed on SSRN’s Top Ten download list for: CGN: Risk Management Practice (Topic), CGN: Risk Management, Including Hedging & Derivatives (Topic) and Corporate Governance Practice Series eJournal.

Click the following link(s) to view the Top Ten list for: CGN: Risk Management Practice (Topic) Top Ten, CGN: Risk Management, Including Hedging & Derivatives (Topic) Top Ten and Corporate Governance Practice Series eJournal Top Ten.

We are pleased to announce that the following students of MSc in Finance, Investment and Risk have been awarded scholarships by the CFA Institute.

• Omar Hifni
• Ramrajsingh Dyal
• Ping Hei Lam
• Latoya Shinel Boyea
• Akil Gary Isidore Cooper

Congratulation to all five graduates for their achievement.

Dr Huamao Wang presented a paper titled ‘Firm investment and capital structure with debt illiquidity risk’ at 3rd European Conference on Banking and the Economy hosted by University of Southampton on 8th October. This is a collaboration work joint with Professor Jinqiang Yang and Qing Xu (Shanghai University of Finance and Economics). The speakers include: Sheetal Chand (formerly IMF and Oslo), Lord Adair Turner (Chairman of the FSA 2008-2013), Professor John Kay (Financial Times), Professor Charles A. E. Goodhart (CBE, FBA, LSE), Sir John Gieve (Deputy Governor, Bank of England 2006-2009), and Ralf Barkey (CEO, Rhineland-Westphalia Association of Cooperatives). For more details, see http://www.southampton.ac.uk/cbfsd/ecobate2014/index.page?

Dr Oberoi was invited to the IFSID third conference on derivatives to dicuss the paper ‘The Effects of Asymmetric Volatility and Jumps on the Pricing of VIX Derivatives’ by Yang‐Ho Park, Federal Reserve Board

http://expertise.hec.ca/ifsid/en/events/ifsid-third-conference-on-derivatives/ http://expertise.hec.ca/ifsid/en/wp-content/uploads/2014/09/PROGRAM_2014_EN.pdf

Dr Ekaterini Panopoulou joined the Editorial Board of the Multinational Finance Journal (MFJ) as Associate Editor.  Her name was nominated based on her accomplishments by members of the Advisory Board of the Journal and/or the Board of Directors of the Multinational Finance Society.

Dr Ekaterini Panopoulou, Dr Silvia Stanescu and Dr Nikolaos Voukelatos in collaboration with Prof. Bertrand Candelon (IPAG Business School, Paris), Prof. Manthos Dellis (Surrey Business School, UK) and Prof. Christophe Hurlin (University of Orleans, France) received an ESRC Research Seminars Series Grant.  The Grant is intended to explore the financial landscape that has begun to emerge, especially in view of the recent financial crises having amply demonstrated that prevalent practices of measuring and managing risk were far from adequate. A series of six two-day workshops will be organized each one aiming at addressing  a particular aspect of the new financial reality. The first workshop will be held in January 2015 at KBS and will focus on “Measuring and Managing Systemic Risk”.

Dr Huamao Wang presented a paper titled Dynamic Asset Allocation with Reaction to the Fundamental at The 2014 FRAP Finance, Risk and Accounting Conference at Oriel College, University of Oxford during September 22-24. This is a collaboration work joint with Dr Seungmoon Choi (Seoul), Professor Yongcheol Shin (York) and Dr Michael Thornton (York).

Dr. Ekaterini Panopoulou presents the paper ” Identifying safe haven assets for equity investors through an analysis of the stability of shock transmission”, (co-authored with T. Flavin and C. Morley) at the Conference on Econometric Methods for Banking and Finance, organized by Maynooth University Dept of Economics, Finance and Accounting and the FMC2 (Financial Mathematics and Computation Research Cluster) and held in Maynooth, Ireland on 24 September 2014.