|
|
|
Australian School of Business > Schools
|
|
Katja
Ignatieva
PhD Finance (2012), Goethe University, Frankfurt, Germany
PhD Finance (2013), Macquarie University, Sydney, Australia
MSc(R) Statistics, University of Glasgow, UK
MSc Mathematics, Humboldt University, Berlin, Germany
MSc Statistics, Free University and Humboldt University, Berlin, Germany
Lecturer
Co-op Program Coordinator
Katja joined the University of New South Wales in November 2011 as a lecturer at the School of Actuarial Studies, Australian School of Business. Prior to her appointment as a lecturer Katja was a PhD student in Finance at Macquarie University Sydney and Goethe University Frankfurt.
Publications
- Jan Baldeaux, Katja Ignatieva and Eckhard Platen. A Tractable Model for Indices Approximating the Growth Optimal Portfolio. Accepted for publication: Studies in Nonlinear Dynamics and Econometrics (SNDE)
- Katja Ignatieva and Eckhard Platen. Estimating the Diffusion Coefficient Function for a Diversified World Stock Index. Computational Statistic and Data Analysis (2012), Vol. 56, No. 6, pp. 1333–1349
- Katja Ignatieva, Eckhard Platen and Renata Rendek. Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversified World Stock Index. Journal of Statistical Theory and Practice (2011), Vol. 5, No. 3, pp. 425-452
- Katja Ignatieva and Eckhard Platen . Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae. Asia-Pacific Financial Markets (2010), Vol. 17, No. 3, pp. 261-302
Working papers
- Katja Ignatieva and Stefan Trueck. Modelling Spot Price Dependence in the Australian Electricity Markets with Applications to Risk Management
- Katja Ignatieva, Paulo Rodrigues and Norman Seeger. Empirical Analysis of Affine vs. Non-Affine Variance Specifications in Jump-Diffusion Models for Equity Indices
- David R. Gallagher, Katja Ignatieva and James McCulloch Competitive Market Structure and the Cross-Section of Australian Stock Returns
- Katja Ignatieva. A Nonparametric Model for Spot Price Dynamics and Pricing of Futures Contracts in Electricity Markets
- Man Chung Fung, Katja Ignatieva, Michael Sherris "Systematic Mortality Risk: An Analysis of Guaranteed Lifetime Withdrawal Benefits in Variable Annuities
Working papers on SSRN
Research interests
- Derivative pricing
- Empirical research in derivative markets
- Asset pricing
- Risk management
- Valuation of long dated insurance and pension contracts
Research grants
- 2013 Institute of Actuaries of Australia Research Grant ($15,000) with Jonathan Ziveyi and Michael Sherris
- 2013 UNSW Australian School of Business Special Research Grant ($10,000)
- 2012 UNSW Australian School of Business Special Research Grant ($10,000)
|
|
|
|
|
|
|
|
|