Alfonso Dufour
Associate Professor
Alfonso holds a Laurea in Economia e Commercio (cum laude) from the University of Venice, Italy and an MA and a PhD in Economics, both from the University of California, San Diego. His research interest spans issues in financial econometrics, market design and structure, empirical market microstructure. He has written articles about forecasting models for transaction prices; measures of market liquidity; and methods for comparing and contrasting alternative market structures. Currently, he is studying the effects of market fragmentation on the quality of European markets. His paper ‘Time and the price impact of a Trade’ (with Robert F. Engle) was short-listed for the Smith-Breedon best paper prize in the Journal of Finance for 2001. He is Course Convenor of the Derivative Securities – Pricing and Trading module on the BSc programme and of the Trading and Exchanges module on the MSc programme.
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Areas of expertise: Financial Econometrics / Market Microstructure / Regulation
Steve Cassidy
Associate Professor
I’m an Associate Professor in the Computing Department at Macquarie University, affiliated with the Centre for Language Technology. I’m also Associate Dean, Learning and Teaching in the Faculty of Science.
Until the end of 2001 I was with the Speech Hearing and Language Research Centre which is part of the Linguistics Department here. My research interests are in linguistic annotation, XML, speech technology systems and acoustic phonetics (here’s my CV).
I’m now living with my family in Sydney, Australia. I was born in Sheffield, England and I’ve lived at various times in Edinburgh, Cambridge and Wellington, New Zealand.
When I’m not being an academic, I’m riding my bike, fiddling with electronics or just busying myself with my family.
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Areas of expertise: Neural Networks / Speech Processing
Peter Buchen
Associate Professor
Peter Buchen began his teaching and research interest in Financial Mathematics in the latter half of the 1990’s. This resulted in a comprehensive teaching program in the subject within the School of Mathematics and Statistics, covering units in Intermediate, Senior and Honours years. A/Professor Buchen has supervised over 30 Honours projects and around 15 MSc and PhD theses.
He was the foundation president of the Sydney Financial Mathematics Workshop (SFMW), a loose federation of academics and practitioners united by their interest in quantitative finance.
A/Professor Buchen also served for many years on the management committee of Q-Group Australia, a professional organization for quantitative analysts.
Recent research has focussed on mathematical methods for valuing exotic options. This has led to the evolution of innovative techniques to price most of the better known exotics including: binaries, compounds, choosers, shout options, reset options, rainbow options, barriers, ladders, lookbacks and Asian options.
These methods have proven to be equally at-home pricing the more way-out exotics including: extreme spread options, double barriers, look-barriers and a variety of multi-asset/multi-period derivatives as well.
A/Professor Buchen is currently writing a book entitled Introduction to Exotic Option Pricing to be published by Chapman & Hall in their Financial Mathematics series, some time in 2009.
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Areas of expertise: Options pricing