Professor Ghulam Sorwar
Professor of Finance
Professor Sorwar specialises in quantitative finance. In particular his research focuses on derivatives pricing and financial risk management.
Risk Regulation & Compliance
Modelling, valuing and empirically testing derivative security prices
Modern risk management methods
Mergers and acquisition
CDS spreads and the financial crisis
I am currently supervising students in: Value-at-Risk, Islamic Finance, International Finance and Asset Liability Management. I would welcome applications from PhD students in the general area of: Risk Management, Islamic Finance, Financial time series and options pricing.
Qualifications and Memberships
BSc (University College London)
MSc (City University)
PhD (City University)
Publications since 2008:
Sorwar, G.; Mozumder, S.; Dowd, Emeritus Professor, K.(2013)., "Skewness Models for Option Pricing and Option Portfolio Approximation", Review of Quantitative Finance and Accounting, Vol.40, pp. 273-292.
Sorwar, G.(2012)., "Estimating single factor jump diffusion interest rate models", Applied Financial Economics, Vol.21 (22), pp. 1679-1689.
Sorwar, G.; Barone-Adesi, G.(2011)., "Valuation of Two-Factor Interest Rate Contingent Claims using Green's Theorem, Applied Mathematical Finance", Applied Mathematical Finance, pp. 277-289.
Sorwar, G.; Barone-Adesi, G.(2010)., "Value at Risk under Jump GARCH processes", Review of Banking and Finance, Vol.2, pp. 27-36.
Sorwar, G.; Dowd, K.(2010)., "Estimating Financial Risk Measures for Options", Journal of Banking and Finance, Vol.34, pp. 1982-1992.
Sorwar, G.; Mozumder, S.(2010)., "Implied Bond and Derivative Prices based on Non-Linear Stochastic Interest Rate Models", Journal of Applied Mathemathics, Vol.1, pp. 37-43.
Sorwar, G.; Sudarsanam, S.(2010)., "Determinants of Takeover Premium in Cash-financed Takeover Offers: An Option Pricing Approach", Journal of Business, Finance & Accounting, Vol.37 (5-6), pp. 687-714.
Sorwar, G.; Dowd, K.; Cotter, J.(2008)., "Spectral Risk Measure: Properties and Limitations", Journal of Financial Services Research, Vol.34, pp. 71-75.