A

Alexander, Carol and Rauch, Johannes (2021) A general property for time aggregation. European Journal of Operational Research, 291 (2). pp. 536-548. ISSN 0377-2217

Alsolami, Majdi (2018) Mathematical modelling of mid-term options price of Ijārah Sukūk. Doctoral thesis (PhD), University of Sussex.

B

Bagntasarian, Anachit (2018) The impact of CEO compensation, analysts’ characteristics, earnings management and country governability on analysts’ earnings forecasts. Doctoral thesis (PhD), University of Sussex.

Buckley, Christopher L, Chang, Sub Kim, McGregor, Simon and Seth, Anil K (2017) The free energy principle for action and perception: A mathematical review. Journal of Mathematical Psychology, 81. pp. 55-79. ISSN 0022-2496

C

Cantia, Catalin and Tunaru, Radu (2017) A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches. Insurance: Mathematics and Economics, 72. pp. 21-35. ISSN 0167-6687

Coulon, Michael, Khazaei, Javad and Powell, Warren (2015) SMART-SREC: a stochastic model of the New Jersey solar renewable energy certificate market. Journal of Environmental Economics and Management, 73. pp. 13-31. ISSN 0095-0696

D

Dubinsky, Andrew, Johannes, Michael, Kaeck, Andreas and Seeger, Norman J (2019) Option pricing of earnings announcement risks. Review of Financial Studies, 32 (2). pp. 646-687. ISSN 0893-9454

E

Eom, Cheoljun, Kaizoji, Taisei, Park, Jong Won and Scalas, Enrico (2018) Realized FX volatility: statistical properties and applications. Future Research Korean Journal of Futures and Options, 26 (1). pp. 1-25. ISSN 1229-988x

F

Fabozzi, Frank J, Paletta, Tommaso, Stanescu, Silvia and Tunaru, Radu (2016) An improved method for pricing and hedging long dated American options. European Journal of Operational Research, 254 (2). pp. 656-666. ISSN 0377-2217

Fabozzi, Frank J, Paletta, Tommaso and Tunaru, Radu (2017) An improved least squares Monte Carlo valuation method based on heteroscedasticity. European Journal of Operational Research, 263 (2). pp. 698-706. ISSN 0377-2217

Fabozzi, Frank J, Shiller, Robert J and Tunaru, Radu S (2012) A pricing framework for real-estate derivatives. European Financial Management, 18 (5). pp. 762-789. ISSN 1354-7798

H

Han, Yang (2019) New methods for multivariate distribution forecasting. Doctoral thesis (PhD), University of Sussex.

Heuer, Christof (2014) High-order compact finite difference schemes for parabolic partial differential equations with mixed derivative terms and applications in computational finance. Doctoral thesis (PhD), University of Sussex.

K

Kaeck, Andreas, Rodrigues, Paulo and Seeger, Norman (2017) Equity index variance: evidence from flexible parametric jump–diffusion models. Journal of Banking and Finance, 83. pp. 85-103. ISSN 0378-4266

Kaeck, Andreas and Seeger, Norman J (2019) VIX derivatives, hedging and vol-of-vol risk. European Journal of Operational Research, 283 (2). pp. 767-782. ISSN 0377-2217

Khazaei, Javad, Coulon, Michael and Powell, Warren B. (2017) ADAPT: a price-stabilizing compliance policy for renewable energy certificates: the case of SREC markets. Operations Research, 65 (6). pp. 1429-1445. ISSN 0030-364X

L

Li, Hao (2020) Chinese financial market: stock valuation from a data analysis perspective and option valuation using truncated binomial trees. Doctoral thesis (PhD), University of Sussex.

M

Miles, James (2019) Numerical and optimal control methods for partial differential equations arising in computational finance. Doctoral thesis (PhD), University of Sussex.

O

Oshungade, Stephen Ayodele (2015) The relationship between gross domestic product (GDP), inflation, import and export from a statistical point of view. Doctoral thesis (PhD), University of Sussex.

P

Ponta, Linda, Trinh, Mailan, Raberto, Marco, Scalas, Enrico and Cincotti, Silvano (2019) Modeling non-stationarities in high-frequency financial time series. Physica A: Statistical Mechanics and its Applications, 521. pp. 173-196. ISSN 0378-4371

R

Ross, Aleksandra (2021) Mathematical modelling and analysis: adoption of Blockchain-based technologies, and coupled oscillators with distributed delays. Doctoral thesis (PhD), University of Sussex.

S

Scalas, Enrico, Rapallo, Fabio and Radivojević, Tijana (2017) Low-traffic limit and first-passage times for a simple model of the continuous double auction. Physica A: Statistical Mechanics and its Applications, 485. pp. 61-72. ISSN 0378-4371

Stefanescu, Catalina, Tunaru, Radu and Turnbull, Stuart (2009) The credit rating process and estimation of transition probabilities: a Bayesian approach. Journal of Empirical Finance, 16 (2). pp. 216-234. ISSN 0927-5398

T

Tunaru, Radu (2015) Model risk in financial markets: from financial engineering to risk management. World Scientific Publishing Company. ISBN 9789814663403

Y

Yan, Xiufeng (2021) Returns, volatility and durations of high frequency financial data. Doctoral thesis (PhD), University of Sussex.

Z

Zhang, Linghua (2016) Option volatility study from a data analysis perspective. Masters thesis (MPhil), University of Sussex.