University of Bath School of Management University of Bath School of Management

Professor David P. Newton

Portrait of David Newton
Contact

telephone +44 (0) 1225 386890
email Email

Publications

Leading Refereed Journal Papers
Books

Related links

Doctoral students

BSc, PhD, MBA

Job Title:

Professor of Accounting and Finance

Division:

Accounting, Finance and Law

Key Research Interests:

Option pricing and mathematical finance. Financial instruments and markets.

Research Interests

I am currently particularly interested in 1) development of new techniques for valuing derivatives, an area where my research group members and I already have papers published and 2) development and empirical testing of structural bond default models, a related area involving the financial mathematics of option pricing. For a wider view of my research, please see the list of published papers, below.

PhD Supervision

Haozhe Su, Hui Tian, Qi Hu, Yulin Wu

If you are interested in applying to research with me towards a PhD, you are welcome to e-mail me (or any of my doctoral students for their views). Past members of my research group: six are now associate or assistant professors in the UK (3), USA (1), China (1) and Australia (1), one has his own Fund in China, two work in Switzerland, one founded a business in the UK/USA, one is in Singapore, one in Portugal, most work in the City of London.

Publications

Jump to:
Leading Refereed Journals Papers | Books

Leading Refereed Journal Papers

Newton, D. P.; Su, H.; Chen, D. (2017). Option Pricing via QUAD: From Black-Scholes-Merton to Heston with Jumps. Journal of Derivatives Vol. 24(3). pp. 9-27.

Newton, D.P.; Boateng, A; Du, M (2016). The impact of State Ownership, Formal Institutions and Resource Seeking on Acquirers' Return of Chinese M&A. Review of Quantitative Finance and Accounting Vol. 47(1), pp. 159-178.

Newton, D P.; Boateng, A.; Nguyen, V. (2015). Involuntary Excess Reserves, the Reserve Requirements and Credit Rationing in China. Applied Economics, Vol.47 (14), pp. 1-14.

Newton, D.P.; Chen, D.; Harkonen, H. (2014). Advancing the Universality of Quadrature Methods to Any Underlying Process for Option Pricing. Journal of Financial Economics Vol. 114(3), pp. 600-612.

Newton, D.P.; Guo,B. (2013). Regime Dependent Liquidity Determinant of Credit Default Swap Spread Changes. Journal of Financial Research, Vol.36 (2), pp. 279-298.

Newton, D P.; Duck, P.; Johnson, P,; Sharp, N. (2011). A Bridge Betwen American and European Options: The Ameripean Delayed-Exercise Model. SIAM Journal on Financial Mathematics, Vol.2 (1), pp. 965-988.

Newton, D. P.; Duck, P.; Glover, K. (2010). On nonlinear models of markets with finite liquidity: some cautionary notes. SIAM Journal on Applied Mathematics Vol. 70, pp. 3252-3271.

Newton, D. P.; Duck, P.; Widdicks, M.; Yang, C. (2009). Singular perturbation techniques applied to multi-asset option pricing. Mathematical Finance Vol. 19, pp. 457-486.

Newton, D. P.; Duck, P.; Johnson, P.; Sharp, N (2009). A New Prepayment Model (with Default) - An Occupation - Time Derivative Approach. Journal of Real Estate Finance and Economics Vol. 39, pp. 118-145.

► older publications

Newton, D.P.; Duck, P.; Sharp, N. (2008). An Improved Fixed-Rare Mortgage Valuation Methodology With Interacting Prepayment and Default Options. Journal of Real Estate Finance and Economics Vol. 36, pp. 307-342.

Newton, D.P.; Andricopoulos, A.; Duck, P.; Widdicks, M. (2007). Extending Quadrature Methods to Value Multi-Asset and Complex Path Dependent Options. Journal of Financial Economics Vol. 83 (2), pp. 471-499.

Newton, D. P.; Andricopoulos, A.; Duck, P.; Widdicks, M. (2005). The Black-Scholes Equation Revisited: Asymptotic Expressions and Singular Perturbations. Mathematical Finance Vol. 15(2), pp. 373-391.

Newton, D. P.; Duck, P.; Leung, Y.; Widdicks, M. (2005). Enhancing the Accuracy of Pricing American and Bermudan Options. Journal of Derivatives Vol. 12(4), pp. 1222-1234.

Newton, D. P.; Andricopoulos, A.; Duck, P.; Widdicks, M. (2004). Curtailing the Range for Lattice and Grid Methods. Journal of Derivatives Vol. 12(4), pp. 55-61.

Newton, D. P.; Paxson, D.; Widdicks, M. (2004). Real R & D Options. International Journal of Management Reviews Vol. 6(2), pp. 113-130.

Newton, D. P.; Andricopoulos, A.; Duck, P.; Widdicks, M. (2003). Universal Option Variation Using Quadrature Methods. Journal of Financial Economics Vol. 67(3), pp. 447-471.

Newton, D. P.; Azevedo-Pereira, J.; Paxson, D. (2003). Fixed Rate Endowment Mortgage and Mortgage Indemnity Valuation. Journal of Real Estate Finance and Economics Vol. 26(2), pp. 197-221.

Newton, D. P.; Andricopoulos, A.; Duck, P.; Widdicks, M. (2002). On the Enhanced Convergence of Standard Lattice Methods for Option Pricing. Journal of Futures Markets Vol. 22(4), pp. 315-338.

Newton, D. P.; Azevedo-Pereira, J.; Paxson, D. (2002). UK Fixed Rate Repayment Mortgage and Mortgage Indemnity Valuation. Real Estate Economics Vol. 30(2), pp. 185-211.

Newton, D. P.; Doctor, R.; Pearson, A. (2001). Managing Uncertainty in Research and Development. Technovation Vol. 21(2), pp. 79-90.

Newton, D. P.; Azevedo-Pereira, J.; Paxson, D. (2000). Numerical Solution of a Two State Variable Contingent Claims Mortgage Valuation Model. Portuguese Review of Financial Markets Vol. 3(1), pp. 35-65.

Newton, D. P.; Wood, D. (1999). Asset Liability and Value at Risk Perspectives on Capital Adequacy. ASCI Journal of Management Vol. 29(1), pp. 9-22.

Newton, D.P.; Paxson, D.A.; Pearson, A. W. (1996). Real R&D Options. R&D Decisions: Strategy, Policy and Innovations, ed. A. Belcher et al pp. 273-282, Routledge - refereed conference papers.

Newton, D. P.; Pearson, A. W. (1994). Application of Option Pricing Theory to R&D. R&D Management 24, pp. 83-89.

Books

Newton, D., Howell, S., Stark, A., Paxson, D.A., Cavus, M., Azevedo-Pereira, J. A and Patel, K. 2001. Real Options, Evaluation Corporate Investment Opportunities in a Dynamic World. Financial Times Prentice Hall

Newton, D., Howell, S., Stark, A., Paxson, D. A. and Cavus, M. 2000. Real Options, An Introduction for Executives. Executive Briefings, Financial Times Prentice Hall Also as an "E-book" 2002, as "Real Options: How to Use Real Options to Evaluate Investment and Financial Decisions (FT Management Briefings)," and translated into Chinese in the "Top CFO" series, 2005.