Nick Webber
- Reader in Finance
Biography
Previously Director of the Centre for Computational Finance at Cass Business School, City University. Director of the Financial Options Research Centre, WBS. Teaching and research experience outside the UK, including USA, Denmark, Italy and Switzerland. Industrial experience prior to academic career.
Research interests
Interest rate modelling and hedging; financial options; computational finance.
Selected research projects
- FELLOWSHIP AGREEMENT: Foreign and Colonial Asset Management plc: Foreign and Colonial Management, March 2005 - February 2006.
Only selected externally-funded projects are listed here.
Teaching activity this year
Masters Portfolio
- IB94M0 Credit and Risk Management module leader
- IB9AL0 Financial Engineering and Structured Products module leader
- IB9N70 C++ Modelling in Asset Pricing module leader
Warwick MBA
- IB835G Energy Trading and Risk Management module leader
Publications
Books
- Implementing models of financial derivatives: object oriented applications with VBA. Hoboken, N.J: Wiley, 2011.
- Valuing derivative securities in OOP C++ PUP, 2011 (Unpublished).
Journal articles
- Interest rate models on Lie groups. Quantitative Finance (2010) (Published).
- An EZI method to reduce the rank of a correlation matrix. Applied Mathematical Finance (2005).
Book chapters
- Simulation Methods with Lévy Processes. Exotic Options and Advanced Levy Models. Ed. Kyprianou, A.E., Schoutens, W. and Wilmott, P. Wiley, 2005. 29-50.