Research interests

Mathematical Finance

The main part is the modelling of commodity price using stationary and non-stationary model. We believe that the commodity (stock as well) price movement follows a geometric Brownian motion model, but most of empirical data we have reject such model. This is due to the peaky behavior and the heavy tails. We try to fit the data with the general Levy model which is more efficient and promising.

On the other hand, we also price some of commodity derivatives such as forward, futures and option. The pricing normally use the spot-forward relationship as an indirect way of pricing. But, we could also use the HJM approach to have a direct price of derivatives.
 
Finance and Insurance

The development of insurance is much connected to the finance. The fund collected from the premium payment normally used for investment purpose. The investment is risky and full of uncertainty. We develop model for insurance (including weather insurance) based on the historical payoff and discounting with some risk-free interest rate. We also should analyze the profit and loss from any insurance contract and premium payment.

From the finance perspective, the investment must maximize the profit. On the other hand, by maximizing the profit will adjust the risk to the higher level. Risk is normally measured by standard deviation. For this reason, we should create an optimal porftolio and find the efficient frontier such that the profit and risk are considerable.

There is possibility to do research on these two channel. Potential candidate for postgraduate study should contact me in person if you have any further enquiries.