Our People

2012

11 June - 25 August

• Assistant Professor Reza Aghdam from the Department of Finance and Economics at King Fahd University of Petroleum and Minerals. His interests include energy economics and policy; micro- and macro-economics; international economics; productivity analysis and applied econometrics. Research has focued on contemporary electricity industry reforms, including institutional changes that have taken place in industry's organisation, market structure, regulatory framework, ownership and policy directions. Recent papers include a re-examination of the electricity-economy nexus, world wide electricity reform and implications for economic growth.

27 - 30 March

• Professor Sanjiv Das, Professor of Finance at Santa Clara University's Leavey School of Business. Prof Dad previously held faculty appointments at Harvard Business School and UC Berkeley. He also holds post-graduate degrees in finance and computer science. Before becoming an academic, he worked in the derivatives business in the Asia-Pacific region and was a vice president for Citibank Asia. He is a senior editor of The Journal of Investment Management and co-editor of The Journal of Derivatives.
  

  Research interests include:

• modelling of default risk
• machine learning
• social networks
• derivatives pricing models
• portfolio theory and venture capital

19 - 30 March

• Professor Rafal Weron, Professor of Economics at Wroclow University of Technology. Professor Weron, who specialises in risk management, forecasting, computational statistics and stochastic modelling, is associate editor of Computational Statistics, Journal of Energy Markets, Operations Research and Decisions, and Surveys in Mathematics and its Applications. His research focuses on developing risk management and forecasting tools for the energy industry and computational statistics as applied to finance and insurance. His other interests include stochastic modeling, time series, heavy tailed distributions, and computer simulations of highly volatile phenomena. He is periodically engaged as a consultant to energy and financial companies and teaches graduate level courses on energy and financial markets at Wroclaw University of Technology and NTNU (Trondheim).

December 2011:

• Dr Ping Chen from the Centre of Actuarial Studies at University of Melbourne.
• Alexander Merz from Georg-August Universitat, Gottingen.

13 - 18 December:

• Dr Guanghua (Andy) Lian, Lecturer in Mathematical Finance, School of Computing and Mathematics, Auckland University of Technology, New Zealand. Guanghua received his PhD in Mathematical Finance from the University of Wollongong in 2010, and masters degree in Finance from Huazhong University of Science and Technology, China. Before joining Auckland University of Technology, he was a postdoctoral researcher at the University of Adelaide. Guanghua's research interests focus on pricing volatility derivatives and modeling volatility surface, with several publications in Mathematical Finance and Journal of Futures Markets. In addition he is completing examinations as a Chartered Financial Analyst (CFA), and holds a Certificate of Quantitative Finance.

7 - 11 November:

• Dr Steve Su, Assistant Professor in Statistics, School of Mathematics and Statistics, University of Western Australia,Perth. He is an applied statistician with research interest in accounting, food forensics, finance, geology, engineering and medicine with over 25 publications in well regarded academic journals.  He is an associate editor in Journal of Mathematics and Computer Science, International Journal of Medical and Clinical Research, Journal of Medicinal Chemistry Letters and has won a number of external and internal grants. He will be collaborating with A/P Ken Siu on a portfolio optimisation project with representatives from industry during his visit to Macquarie University.
• Dr Jing Zhao, Lecturer in Finance, School of Economics and Finance, La Trobe University, Melbourne. She completed her PhD degree at the Chinese University of Hong Kong in 2010. Her research interests are in quantitative finance and risk management. Her articles have featured in academic journals such as Quantitative Finance, Journal of Futures Markets, Operations Research Letters, Computational Statistics and Data Analysis, SIAM Journal on Numerical Analysis.
• Dr John W Lau, Assistant Professor in Statistics, School of Mathematics and Statistics, University of Western Australia, Perth. Dr Lau is an expert in Bayesian nonparametric statistics approach and its applications in various disciplines. His interests include Bayesian non-parametric density and failure rate estimations as well as their financial and actuarial applications. He is also interested in option pricing and filtering problems. His main contributions in publications relate to these topics and most of his works are in top ranked journals.

2010

• 10.08.10-25.08.10 Rafal Weron, Professor of Economics at Wroclaw University of Technology (WUT), Poland. Rafal received his M.Sc. (1995) and Ph.D. (1999) degrees in applied mathematics from the WUT. His research focuses on risk management and forecasting in the power markets and computational statistics as applied to finance and insurance. Rafal is the co-author of three books and over 70 research articles, book chapters, and conference papers. His other interests include stochastic modeling, time series, heavy tailed distributions, and computer simulations of highly volatile phenomena.
• 26.08.10-08.09.10 Liqun Qi, Professor and Head of Department of Applied Mathematics at The Hong Kong Polytechnic University. Liqun is a well-acknowledged world leading authority in Optimisation and its Applications. He was rated as ISI Most Highly Cited Scientist in 1981-1999 (one of the only three in China and Hong Kong) for his research work, and is a Foreign Member of the Petrovskaya Academy of Science and Arts of Russia. He is also a panel member of the Hong Kong Research Grant Council and has held 15 editorial positions. He has won 39 competitive research grants, including 9 years in a row from the Research Grant Council of Hong Kong. His publications include 15 research monographs and 180 journal papers (many in A* and A journals according to the ERA journal rankings).
• 15.09.10-04.10.10 Christian Schlag, Professor of Finance at Goethe University Frankfurt. Christian received his doctorate in business administration from the University of Karlsruhe in 1994. Prior to joining the faculty of Goethe University Frankfurt in 1997, he held a position as a postdoctoral researcher at the University of Karlsruhe. He has held visiting appointments at Vanderbilt University and at the University of Melbourne. His current research focuses on asset pricing and asset allocation in continuous-time models and on the pricing and hedging of derivative securities.
• 23.11.10-06.12.10 Xiaoqiang Cai, Professor at the department of Systems Engineering and Engineering Management at the Chinese University of Hong Kong. He received his B.Eng. degree from the Harbin Shipbuilding Engineering Institute and his M.Eng. and D.Eng. degrees from Tsinghua University. He conducted postdoctoral research at The University of Cambridge and The Queen's University of Belfast. He was Lecturer of Applied Mathematics at The University of Western Australia. He had been the Chairman of the Department of Systems Engineering and Engineering Management during 1996-2003, and Professor since October 2000. His research concentrates on scheduling models and algorithms, logistics management, network optimization, and portfolio optimization. He has published extensively in leading journals in these areas, such as Operations Research, Management Science, Naval Research Logistics, IIE Transactions, and IEEE Transactions.
• 10.12.10-20.12.10 Dilip Madan, Professor of Finance at the Robert H. Smith School of Business, specializing in Mathematical Finance at the University of Maryland. He currently serves as a consultant to Morgan Stanley, Caspian Capital LLC, and Bloomberg and has previously served as consultant to Wachovia Securities and the FDIC. He is a recipient of the 2006 Humboldt award in Mathematics, founding member and past president of the Bachelier Finance Society, managing editor of Mathematical Finance and associate editor for the Journal of Credit Risk and Quantitative Finance. His work is dedicated to improving the quality of financial valuation models, enhancing the performance of investment strategies, and advancing the understanding and operation of efficient risk allocation in modern economies. Recent major contributions have appeared in Mathematical Finance, Finance and Stochastics, Quantitative Finance, and Journal of Computational Finance, among others.