![Nneka Umeorah](https://profiles-cardiff.imgix.net/attachments/214?w=200&h=200&auto=format&crop=faces&fit=crop&q=90")
Dr Nneka Umeorah
Lecturer
- UmeorahN@caerdydd.ac.uk
- +44 29208 76160
- Abacws, Ystafell 4.52, Ffordd Senghennydd, Cathays, Caerdydd, CF24 4AG
Trosolwyg
I am a Lecturer in Financial Mathematics. Prior to my appointment at Cardiff University, I was a Post-Doctoral Fellow at the University of Johannesburg, Auckland Park, South Africa.
Cyhoeddiad
2023
- Nwankwo, C., Umeorah, N., Ware, T. and Dai, W. 2023. Deep learning and American options via free boundary framework. Computational Economics (10.1007/s10614-023-10459-3)
- Umeorah, N., Mashele, P., Agbaeze, O. and Mba, J. C. 2023. Barrier options and Greeks: Modeling with neural networks. Axioms 12(4), article number: 384. (10.3390/axioms12040384)
2022
- Umeorah, N. and Mba, J. C. 2022. Approximation of single-barrier options partial differential equations using feed?forward neural network. Applied Stochastic Models in Business and Industry 38(6), pp. 1079-1098. (10.1002/asmb.2711)
2021
- Umeorah, N., Mashele, P. and Ehrhardt, M. 2021. Pricing basket default swaps using quasi-analytic techniques. Decisions in Economics and Finance 44(1), pp. 241–267. (10.1007/s10203-020-00310-x)
2020
- Umeorah, N., Ehrhardt, M. and Mashele, P. 2020. Valuation of basket credit default swaps under stochastic default intensity models. Advances in Applied Mathematics and Mechanics 12(5), pp. 1301-1326. (10.4208/aamm.oa-2019-0141)
- Umeorah, N., Mashele, P. and Ehrhardt, M. 2020. Elliptical and Archimedean copula models: an application to the price estimation of portfolio credit derivatives. Journal of Credit Risk 17(1), pp. 1-29. (10.21314/JCR.2020.263)
2019
- Umeorah, N. and Mashele, P. 2019. A Crank-Nicolson finite difference approach on the numerical estimation of rebate barrier option prices. Cogent Economics & Finance 7(1), article number: 1598835. (10.1080/23322039.2019.1598835)
2018
- Umeorah, N. and Mashele, P. 2018. A comparative study on barrier option pricing using antithetic and quasi Monte-Carlo simulations. Journal of Mathematics and Statistics 14(1), pp. 94-106. (10.3844/jmssp.2018.94.106)
Articles
- Nwankwo, C., Umeorah, N., Ware, T. and Dai, W. 2023. Deep learning and American options via free boundary framework. Computational Economics (10.1007/s10614-023-10459-3)
- Umeorah, N., Mashele, P., Agbaeze, O. and Mba, J. C. 2023. Barrier options and Greeks: Modeling with neural networks. Axioms 12(4), article number: 384. (10.3390/axioms12040384)
- Umeorah, N. and Mba, J. C. 2022. Approximation of single-barrier options partial differential equations using feed?forward neural network. Applied Stochastic Models in Business and Industry 38(6), pp. 1079-1098. (10.1002/asmb.2711)
- Umeorah, N., Mashele, P. and Ehrhardt, M. 2021. Pricing basket default swaps using quasi-analytic techniques. Decisions in Economics and Finance 44(1), pp. 241–267. (10.1007/s10203-020-00310-x)
- Umeorah, N., Ehrhardt, M. and Mashele, P. 2020. Valuation of basket credit default swaps under stochastic default intensity models. Advances in Applied Mathematics and Mechanics 12(5), pp. 1301-1326. (10.4208/aamm.oa-2019-0141)
- Umeorah, N., Mashele, P. and Ehrhardt, M. 2020. Elliptical and Archimedean copula models: an application to the price estimation of portfolio credit derivatives. Journal of Credit Risk 17(1), pp. 1-29. (10.21314/JCR.2020.263)
- Umeorah, N. and Mashele, P. 2019. A Crank-Nicolson finite difference approach on the numerical estimation of rebate barrier option prices. Cogent Economics & Finance 7(1), article number: 1598835. (10.1080/23322039.2019.1598835)
- Umeorah, N. and Mashele, P. 2018. A comparative study on barrier option pricing using antithetic and quasi Monte-Carlo simulations. Journal of Mathematics and Statistics 14(1), pp. 94-106. (10.3844/jmssp.2018.94.106)
Ymchwil
My research interest is in computational and mathematical finance. Some of my projects have been on pricing financial derivatives such as options and basket credit default swaps using diverse numerical, statistical, and computational methods. I am also interested in hedging and calibrating exotic financial derivatives, as well as analysing the corresponding financial data. Recently, I am using Machine Learning to explore the pricing of crypto options and other exotic derivatives.
Addysgu
Finance I: Financial Markets and Corporate Financial Management
Finance II: Investment Management
Bywgraffiad
Qualifications
- 06/2020: PhD (Risk Analysis -- Financial Mathematics), North-West University, Potchefstroom, South Africa
- 05/2017: MSc (Risk Analysis -- Financial Mathematics), North-West University, Potchefstroom, South Africa
- 06/2015: MSc (Mathematical Sciences), University of the Western Cape, Cape Town, South Africa
- 01/2013: BSc Mathematics, University of Nigeria, Nsukka, Nigeria
Anrhydeddau a dyfarniadau
- 03/2021: University of Johannesburg Global Excellence Stature (GES 4.0) Post-doctoral Fellowship
- 04/2018: DAAD Short Term Research Scholarship in Germany
- 02/2017: DAAD In-Region PhD Scholarship in Sub-Saharan Africa in association with AIMS
- 06/2015: Post AIMS (African Institute for Mathematical Sciences) MSc Research Grant
- 08/2014: African Institute for Mathematical Sciences (Full MSc Scholarship)
Safleoedd academaidd blaenorol
- 02/2022 - present: Lecturer (Cardiff University, Cardiff, United Kingdom)
- 03/2021 - 01/2022: Postdoctoral Researcher (University of Johannesburg, South Africa)
- 07/2020 - 12/2020: Research Assistant (North-West University, Potchefstroom, South Africa)
- 04/2018 - 09/2018: Research Visitor (Bergische Universität, Wuppertal, Germany)