Dr Jo Kennedy
Dr Jo Kennedy is an Associate Professor in Statistics having joined the department in 1998. She previously held positions at the University of Oxford and Bristol. In recent years her research activities have focused on interest rate derivatives with particular attention to the modelling requirements of market practitioners. She is co-author with Phil Hunt of Financial Derivatives in Theory and Practice, John Wiley & Sons, 2nd edition 2004. She gained her PhD in probability theory at the University of Cambridge having completed her undergraduate degree and MSc degrees at the University of Sydney.
Contact her at J.E.Kennedy@warwick.ac.uk
Markov Functional Models
Recent Publications
Gogala, J and Kennedy J (2020) A Cross-currency Markov-functional model with FX volatility skew, (working paper)
Kennedy, J (2019) Pricing collateralized derivatives with an arbitrary numeraire, Mathematical Finance. (In Press)
Gogala, J and Kennedy, J (2019) One-dimensional Markov-functional models driven by a non-Gaussian driver, Journal of Computational Finance, Vol. 23, Issue 3 (pp 1-39).[]
Gogala, J and Kennedy, J (2017) , Int. J. Theor. Appl. Finan. Volume 20, No. 02.[]
Kaisajuntti, L and Kennedy, J (2014) , Quantitative Finance,Vol. 14, Issue 3 (pp 457-480).[]
Kennedy J and Pham D (2014) , Applied Mathematical Finance, Vol 21, Issue 5 (pp 451-481).
Kennedy, J and Pham, D (2013) , Int. J. Theor. Appl. Finan. Volume 16, No. 05.[]
Kaisajuntti, L and Kennedy, J (2013) An n-dimensional Markov-functional Interest Rate Model, Journal of Computational Finance, Volume 17, Issue 1.[]
Kennedy J, Mitra S, Pham D (2012) , Applied Mathematical Finance, Vol 19, Issue 6 (pp 553-586).
Hunt PJ and Kennedy JE (2009) The Longstaff-Schwartz Algorithm and Effective Model Dimensionality in 鈥淢odelling Interest Rates: Advances for Derivative Pricing鈥�, edited by F Mercurio, Risk Books, (pp131-144). ISBN 9781906348137
Room 3.06, MSB
Department of Statistics
神马福利影片
CV4 7AL, UK