Research output per year
Research output per year
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 doctoral students
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.
Expertise related to UN Sustainable Development Goals
In 2015, UN member states agreed to 17 global Sustainable Development Goals (SDGs) to end poverty, protect the planet and ensure prosperity for all. This person’s work contributes towards the following SDG(s):
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Collaborations and top research areas from the last five years
Recent external collaboration on country/territory level. Dive into details by clicking on the dots or
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Deep Learning of Transition Probability Densities for Stochastic Asset Models with Applications in Option Pricing
Su, H., Tretyakov, M. V. & Newton, D. P., 27 Jun 2024, (E-pub ahead of print) In: Management Science.Research output: Contribution to journal › Article › peer-review
Open Access -
Firm ESG Reputation Risk and Debt Choice
Newton, D. P., Ongena, S., Xie, R. & Zhao, B., 30 Sept 2024, In: European Financial Management. 30, 4, p. 2071-2094 24 p.Research output: Contribution to journal › Article › peer-review
Open Access5 Citations (SciVal) -
On the (almost) stochastic dominance of cryptocurrency factor portfolios and implications for cryptocurrency asset pricing
Han, W., Newton, D., Platanakis, E., Sutcliffe, C. & Ye, X., 30 Jun 2024, In: European Financial Management. 30, 3, p. 1125-1164 40 p.Research output: Contribution to journal › Article › peer-review
Open Access -
Predicting expected idiosyncratic volatility: Empirical evidence from ARFIMA, HAR, and EGARCH models
Xiao, C., Huang, W. & Newton, D. P., 31 Oct 2024, In: Review of Quantitative Finance and Accounting. 63, 3, p. 979-1006 28 p.Research output: Contribution to journal › Article › peer-review
Open Access -
Research Unbundling and Market Liquidity: Evidence from MiFID II
Fu, A., Jenkinson, T., Newton, D. & Xie, R., 30 Sept 2024, In: European Financial Management. 30, 4, p. 1759-1786Research output: Contribution to journal › Article › peer-review
Open Access2 Citations (SciVal)