Photo of David Newton
  • WESSEX HOUSE 9.43

Accepting PhD Students

20022020

Research output per year

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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.

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Research Output

Tail-Heaviness, Asymmetry, and Profitability Forecasting by Quantile Regression

Newton, D., Tian, H. & Yim, A., 7 May 2020, (Accepted/In press) In : Management Science.

Research output: Contribution to journalArticle

Universal Arbitrage-free Estimation of State Price Density

Newton, D. & Hu, Q., 27 May 2020, (Accepted/In press) In : Journal of Derivatives.

Research output: Contribution to journalArticle

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

  • 2 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

  • 13 Citations (Scopus)

    Thesis

    An Examination of corporate structure and performance

    Author: Tian, H., 22 Dec 2018

    Supervisor: Newton, D. (Supervisor)

    Student thesis: Doctoral ThesisPhD

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    Chief Academic Officers (Vice Chancellors) Compensations and Universities Performance

    Author: Patsika, V., 1 Apr 2020

    Supervisor: Newton, D. (Supervisor)

    Student thesis: Doctoral ThesisPhD

    Executive Compensation, Tournament Incentives, and Employment Agreements around IPOs

    Author: Loukopoulos, G., 30 Oct 2019

    Supervisor: Newton, D. (Supervisor) & Gounopoulos, D. (Supervisor)

    Student thesis: Doctoral ThesisPhD

    File

    Machine Learning and Forward Looking Information in Option Prices

    Author: Hu, Q., 22 Nov 2018

    Supervisor: Newton, D. (Supervisor) & Zalewska, A. (Supervisor)

    Student thesis: Doctoral ThesisPhD

    File

    THE IMPACTS OF CREDIT DEFAULT SWAPS ON DEBT PRICING, CORPORATE INVESTMENT AND DIVIDEND POLICY

    Author: Wu, Y., 2 Nov 2018

    Supervisor: Newton, D. (Supervisor)

    Student thesis: Doctoral ThesisPhD

    File