· Multivariate Asset Price Dynamics with Stochastic Covariation, (With C. Ioannidis), Quantitative Finance (2011) Vol. 11 No. 1, pp. 125-134, 10.1080/14697680903419693

· Alternative CDO Pricing Models, (With G. Calice and J. Chen) (Work in Progress)

· Interest Rate Derivatives a Review, (With C. Ioannidis and R. H. Miao) in Handbook of Financial Engineering, Zopounidis, C., Doumpos, M. and Pardalos, P. M. Series: Springer Optimization and Its Applications, Vol. 18, ISBN: 978-0-387-76681-2

Financial Markets, Regulation and Microstructure

· Regulatory Changes, Market Integration and Spillover Effects in the Chinese A, B and Hong Kong Equity Markets, (With R. Buckland and J. Chen) (Pacific Basin Finance Journal, Basin Finance Journal, vol 19, no. 4, pp. 351-373)

· A Tale of Two Market Microstructures, with J. Chen and R. Buckland (Submitted to a journal)

· The Liquidity of the CDS Market on Chinese Corporate Debt, (With J. Chen) (Work in Progress, coming soon)

· Are There Benefits To Being Naked, With G. Calice and J. Chen (Forthcoming European Journal of Finance)

· Liquidity Spillovers Interactions in Credit Markets: An Analysis of The Eurozone Sovereign Debt Crisis, (With G. Calice and J. Chen) (Forthcoming Journal of Economic Behavior and Organisation)

1. Dataset

2. Internet Appendix Figures

· Credit Derivatives and the Default Risk of Large Complex Financial Institutions, (With G. Calice and C. Ioannidis, Article in press, Journal of Financial Services Research)

Information Security and Financial Security

· Information Security Trade-Offs and Optimal Patching Policies, (With D. Pym and C. Ioannidis) (European Journal of Operational Research, Volume 216, Issue 2, 16 January 2012, Pages 434-444)

· Investments and Trade-offs in the Economics of Information Security, (With D. Pym and C. Ioannidis) in Financial Cryptography (2009), International Financial Cryptography Association (IFCA), Springer Lecture Notes in Computer Science (LNCS)

· Fixed Costs, Investment Rigidities, and Risk Aversion in Information Security: A Utility-theoretic Approach. with C. Ioannidis and D. Pym To appear, Proc. WEIS 2011, Springer-Verlag George Mason University, Fairfax, Virginia, 14-15 June, 2011: WEIS 2011.

Grants and Awards

· Co-investigator:

o Technology Strategy Board Network Security Theme, Trust Economics. With Hewlett Packard, University of Bath, University of Newcastle, UCL and The National Grid

http://www.trust-economics.org/

http://www.innovateuk.org/_assets/pdf/TSB_DigitalBritainStrategy.pdf

“£4m investment in projects for ‘Trust Economics’” TSB Digital Britain Strategy 2009

· Principal investigator (Aberdeen):

o Technology Strategy Board Network Security Theme, Cloud Stewardship Economics. With Hewlett Packard and the University of Bath

£1.58 Million grant for research on the new frontiers and opportunities afforded by CLOUD based computing services

o With A. Patacconi and J. Swierzbinski

· Scientific Director:

o SECurity economics, FP7 Starting February 2012

o EUR 3.457 Million project on physical and ICT security.

· Principle Investigator (Aberdeen)

o SEASAR SJU Validation Team (led by Deep Blue Italy)

Presentations of my papers

· Credit Derivatives and the Default Risk of Large Complex Financial Institutions:

o French Finance Association International Meeting May 2010, St Malo

o Spanish Finance Association XVIII Finance Forum November 2009 IESE Madrid

o The Money and Finance Research Group (MoFiR) Conference on The Changing Geography of Money,

o Banking and Finance in a Post-Crisis World (Ancona);

o The 2010 Annual Meeting of the Midwest Finance Association (Las Vegas),

o The National Bank of Poland Conference on Heterogeneous Nations and Globalized Financial Markets:

o New Challenges for Central Banks (Warsaw),

· The CEPS/ECMI Workshop on European Capital Markets: Walking on Thin Ice / ECMI AGM (Brussels),

o The IJCB Spring Conference on The Theory and Practice of Macro-Prudential Regulation (Madrid),

o The Fifth International Conference on Central Banking, Regulation and Supervision after the Financial Crisis Finlawmetrics 2010 (Bocconi University, Milan),

o The 5th Annual Seminar on Banking, Financial Stability and Risk of the Banco Central do Brasil on The Financial Crisis of 2008,

o Credit Markets and Effects on Developed and Emerging Economies (Sao Paulo) and

o Seminar series at:

o Deutsche Bundesbank,

o Banque de France,

o Banca d’Italia,

o Swiss National Bank,

o Swedish Central Bank,

o Bank of Portugal,

o Federal Reserve, Atlanta Georgia (invited paper)

o Lancaster University,

o University of Reading

o University of Leicester.

· Regulatory Changes, Market Integration and Spillover Effects in the Chinese A, B and Hong Kong Equity Markets

o Shanghai Conference on Chinese Financial Markets July 2010

o French Finance Association International Meeting, May 2010, St Malo (Presented by R. Buckland)

o Finance and Corporate Governance Conference, April 2010 LaTrobe University, Melbourne, Australia (Presented by J. Chen)

· Liquidity Spillovers between CDS and Bond Markets during the Euro Sovereign Debt Crisis

o Manchester Business School

· Information Security Trade-Offs and Optimal Patching Policies

o Presented at the 2010 EWG-EPA Conference, in association with European Journal of Operational Research, July 2010 meeting, Crete

· Conferences Chaired, session chaired or organiser:

o Shanghai Conference on Chinese Financial Markets July 2010 (session chair)

o NISC 2010 St Andrews, co-sponsor with Hewlett Packard

o Trust Economics Workshop in association with WEIS 2009 (UCL)