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David Newton



Accepting PhD Students

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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.

  • 1 Similar Profiles
valuation Earth & Environmental Sciences
interest rate Social Sciences
indemnity Social Sciences
pricing Social Sciences
insurance Social Sciences
occupation Earth & Environmental Sciences
assets Social Sciences
Option pricing Business & Economics

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Research Output 2002 2017

1 Citations (Scopus)

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
10 Citations (Scopus)

The impact of State Ownership, Formal Institutions and Resource Seeking on Acquirers' Return of Chinese M&A

Du, M., Boateng, A. & Newton, D., Jul 2016, In : Review of Quantitative Finance and Accounting. 47, 1, p. 159-178

Research output: Contribution to journalArticle

Formal institutions
State ownership
Long-term returns
2 Citations (Scopus)

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

Credit rationing
Reserve requirements
Credit supply
5 Citations (Scopus)

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
Early exercise
3 Citations (Scopus)

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

Credit default swap (CDS) spreads
Structural model