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Dr Nick Webber

Job: Principal Lecturer

Faculty: Business and Law

School/department: Leicester Business School

Address: De Montfort University, The Gateway, Leicester, LE1 9BH

T: +44 (0)116 207 8209

E: nwebber@dmu.ac.uk

W: www.dmu.ac.uk/bal

 

Personal profile

Dr Nick Webber's research lies in computational finance and mathematical finance. Nick develops and investigates numerical methods as they are applied to value vanilla and exotic options under various underlying stochastic processes.

Publications and outputs 

Click here to view a full listing of Nick Webber's publications and outputs.|

Key research outputs

Implementing Models of Derivative Securities in VBA|”, Wiley, Feb. 2011, (696p, ISBN 978-0-470-71220-7).

“Interest rate models on Lie groups”, Park. Chun; Han and Webber, Quantitative Finance, Vol. 11, No. 4, April 2011, 559–572.

“An EZI method to reduce the rank of a correlation matrix”, Morini and Webber, Applied Mathematical Finance, 13(4), 2006, 309-331.

“Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes”, Ribeiro and Webber, Applied Mathematical Finance, 13(4), 2006, 333-35.

“Valuing Barrier Options in One-factor Interest Rate Models”, Kuan and Webber, Journal of Derivatives, 10(4), 2003, 33-5.

Areas of teaching

Finance courses: executive, MBA, undergraduate, masters and doctoral level;

Mathematical finance and probability courses: masters and doctoral level;

Computing and numerical methods course in VBA and C++: executive, masters and doctoral level.

Qualifications

1985 Imperial College, University of London   DIC, Ph.D. in Theoretical Physics

1977 University of Oxford M.Sc. Mathematics;

1976 University of Warwick B.Sc (Hons), First Class, Mathematics.

 

Nick WebberWebber_Implementing_jkt_2: Cover, Implementing Models of Financial Derivatives

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