Personal profile
Author IDs
Scopus Author ID: 8404716900
Impact
Biography
Andrew Carverhill was awarded a PhD in Mathematics in 1983, and after working as a research fellow and assistant professor in Mathematics, he switched to Finance in 1987, working as a research fellow at the Financial Option Research centre, Warwick Univesity, England. In 1991 he moved to the Hong Kong University of Science and Technology, then to Hong Kong University in 2001, and then to City University in 2013. His research interests cover derivatives pricing, term structure of interest rates, econometrics and corporate finance.
Research Interests/Areas
Option pricing, term structure of interest rates, econometrics, corporate finance
Teaching
Teaching areas
- option pricing, fixed income securities, corporate risk management, financial management
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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SDG 10 Reduced Inequalities
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Collaborations from the last five years
Research output
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A Bayesian analysis of time-varying jump risk in S&P 500 returns and options
Carverhill, A. & Luo, D., Jun 2023, In: Journal of Financial Markets. 64, 100786.Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
4 Link opens in a new tab Citations (Scopus) -
Pricing and integration of credit default swap index tranches
Carverhill, A. & Luo, D., Apr 2020, In: Journal of Futures Markets. 40, 4, p. 503–526Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
2 Link opens in a new tab Citations (Scopus) -
Corporate liquidity and capital structure
Anderson, R. W. & Carverhill, A., Mar 2012, In: Review of Financial Studies. 25, 3, p. 797-837Research output: Journal Publications and Reviews › RGC 62 - Review of books or of software (or similar publications/items) › peer-review
60 Link opens in a new tab Citations (Scopus) -
Indonesia's stock market: Evolving role, growing efficiency
Kung, J. J., Carverhill, A. P. & Mcleod, R. H., Dec 2010, In: Bulletin of Indonesian Economic Studies. 46, 3, p. 329-346Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
7 Link opens in a new tab Citations (Scopus) -
An efficient ex-ante criterion for ranking investment strategies
Kung, J. J. & Carverhill, A. P., 1 Apr 2009, In: Applied Mathematics and Computation. 210, 1, p. 258-268Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review