## Professor David P. Newton

### BSc, PhD, MBA

##### Job Title:

Professor of Accounting and Finance

##### Division:

##### 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.