Photo of David Newton

David Newton

Prof

  • WESSEX HOUSE 9.43

20022017

Personal profile

Research interests

I am currently particularly interested in 1) development of new techniques for valuing derivatives, an area where my research group members and I already have papers published and 2) development and empirical testing of structural bond default models, a related area involving the financial mathematics of option pricing. For a wider view of my research, please see the list of published papers, below.

Willing to supervise PhD

Haozhe Su, Hui Tian, Qi Hu, Yulin Wu

If you are interested in applying to research with me towards a PhD, you are welcome to e-mail me (or any of my doctoral students for their views). Past members of my research group: six are now associate or assistant professors in the UK (3), USA (1), China (1) and Australia (1), one has his own Fund in China, two work in Switzerland, one founded a business in the UK/USA, one is in Singapore, one in Portugal, most work in the City of London.

Fingerprint Fingerprint is based on mining the text of the person's scientific documents to create an index of weighted terms, which defines the key subjects of each individual researcher.

interest rate Social Sciences
indemnity Social Sciences
price Social Sciences
Singular perturbation Mathematics
American options Mathematics
insurance Social Sciences
Barrier options Mathematics
model Social Sciences

Network Recent external collaboration on country level. Dive into details by clicking on the dots.

Research Output 2002 2017

Option Pricing via QUAD: From Black-Scholes-Merton to Heston with Jumps

Su, H., Chen, D. & Newton, D. P. 2017 In : Journal of Derivatives. 24, 3, p. 9-27 19 p.

Research output: Contribution to journalArticle

Option pricing
Stochastic volatility
Jump
Monte Carlo simulation
Derivatives
2 Citations
Resources
Interaction
2 Citations

Involuntary Excess Reserves, the Reserve Requirements and Credit Rationing in China

Nguyen, V. H. T., Boateng, A. & Newton, D. 7 Jan 2015 In : Applied Economics. 47, 14, p. 1424-1437 15 p.

Research output: Contribution to journalArticle

Monetary policy
Credit
3 Citations

Advancing the Universality of Quadrature Methods to Any Underlying Process for Option Pricing

Chen, D., Härkönen, H. J. & Newton, D. P. 1 Dec 2014 In : Journal of Financial Economics. 114, 3, p. 600-612 13 p.

Research output: Contribution to journalArticle

Open Access
Option pricing
Web sites
Financial economics
Path dependency
Universality
2 Citations

Regime Dependent Liquidity Determinant of Credit Default Swap Spread Changes

Guo, B. & Newton, D. 17 Jun 2013 In : Journal Of Financial Research. 36, 2, p. 279-298 21 p.

Research output: Contribution to journalArticle

Liquidity
Interest rates
Structural model