Research Student Profiles
"The social and organisational shaping of financial valuation practices: a study of the interest rate derivatives market"
My research focuses on the sociological and technological dynamics that shape the development of financial models and valuation practices, particularly in the OTC derivatives markets.
For my PhD thesis, I am studying the community of "quants'' and financial engineers who value interest-rate derivative contracts, the largest group of over-the-counter products in existence. This community comprises a motley group of physicists, mathematicians, and traders working in both academia and financial institutions who are responsible for developing models and evaluation practices for valuing a wide range of financial contracts whose value depends on changes in market interest rates. I'm principally interested in the social and technological dynamics underlying the development, selection, and use of valuation practices in this field. For instance, I'm interested in:
Research Fellow (0.5 FTE), SPRU at the University of Sussex: Investigating the development of mathematical models and valuation practices used to manage counterparty credit risk within banks from the mid-1990s until the present day.
'The Formula That Killed Wall Street?' The Gaussian Copula and the Material Cultures of Modelling. Donald MacKenzie and Taylor Spears, June 2012
This page was published on 6 February 2013