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Topics

  • Applications of stochastic processes and filtering in financial modelling, especially credit risk and interest rate models;
  • Financial modelling using neural networks
  • Optimization problems in power systems.

Research supervision

I have supervised 11 PhD students and 3 MPhil students to successful completion. Recently finishing students are

  • Dr Zryan Sadik, Asset price and volatiltiy forecasting using news sentiment (2018).
  • Dr Seham Allahyani, Contributions to filtering under randomly delayed observations and additive-multiplicative noise (2018).
  • Dr Suren Islyaev, Stochastic models with random parameters in finance (2015).