Professor John Hatgioannides
Professor of Mathematical Finance and Financial Engineering; Director of MSc Mathematical Trading & Finance
Contact
- +44 (0)20 7040 8973
- [email protected]
Postal address
106 Bunhill Row
London
EC1Y 8TZ
United Kingdom
About
Overview
John Hatgioannides joined City University in 1996 and was instrumental in the launch by the City University Business School, subsequently became Bayes Business School (formerly Cass), and with the generous financial support of the Corporation of London, of the prestigious MSc in Mathematical Trading and Finance which he directs.
His teaching experience, research interests and professional expertise lie in the valuation and risk management of derivatives, credit risk modelling and management, yield curve modelling, trading strategies, financial engineering, energy markets and functioning of the global market economy and the Eurozone.
In 2006, he became one of the founders of the electronic scientific journal Quantitative and Qualitative Analysis in Social Sciences (QASS), www.qass.org.uk., in which he acts the Finance Editor.
In 2001 he was appointed as a Visiting Professor of Financial Engineering at the Athens University of Economics and Business (AUEB), Greecee, a post that he maintained up to 2009. In 2005 he was appointed as a Visiting Professor of Financial Engineering at the Athens Laboratory of Business Administation (ALBA), Greece, a post that runned up to 2010.
He is an active member of the International Association of Financial Engineers (IAFE) and the Futures and Options Association (FOA). He is a regular speaker at both academic and professional audiences, leader of a number of executive courses and has a long experience as a consultant to business organizations.
Qualifications
BSc Economics (Athens), MSc Economics (London) and PhD Finance (London).
Visiting appointments
- Visiting Professor of Financial Engineering, Athens Laboratory of Business Administration (ALBA), Greece, Jan 2005 – Sep 2010
- Visiting Professor of Financial Engineering, Athens University of Economics and Business (AUEB), Greece, Jan 2001 – Aug 2009
Memberships of professional organisations
- International Association of Financial Engineers (IAFE)
- International Association of Financial Engineers (IAFE)
- Futures and Options Association (FOA)
Languages
Greek, Modern (1453-).
Expertise
Primary topics
- Commodities
- Fund Management
- Risk Management
- Financial Econometrics
- Investment Management
- Macroeconomics
- Financial Engineering
- Futures & Options
- Economics
- Mathematical Finance
- Derivatives
- Fixed-Income Investments
- Capital Markets
- Risk Modelling
- Asset Valuation
Research
My research evolves around the LIBOR/SABR models and the pricing of interest rate-sensitive securities along with fixed income portfolio construction. Satistical arbitrage and the modelling of credit spreads and implied probabilities of default are also of interest. In parallel, I am working on the state of the global market economy and the economics of the Eurozone.
Research topics
The economics of the Eurozone
Warrant Economics and Call-Put Policy Options
Libor Market and SABR Models
Statistical Arbitrage Strategies
Fixed Income Portfolio Construction
Research students
Orestis Varmvakas
Attendance: Oct 2008 – present, full-time
Role: 1st Supervisor
Nickolaos Karouzakis
Attendance: Oct 2008 – present, full-time
Role: 1st Supervisor
Hugh Patience
Attendance: Oct 2008 – present, full-time
Role: 1st Supervisor
Attendance: Oct 2006 – Jun 2010, full-time
Role: 1st Supervisor
Attendance: Oct 2005 – Sep 2012, full-time
Role: 1st Supervisor
Attendance: Oct 2001 – Mar 2006, full-time
Role: 1st Supervisor
Attendance: Dec 2000 – May 2005, full-time
Role: 1st Supervisor
Attendance: Jan 2000 – Mar 2006, full-time
Role: 1st Supervisor
Attendance: May 1998 – May 2004, full-time
Role: 1st Supervisor
Attendance: Dec 1997 – Dec 2002, full-time
Role: 1st Supervisor
Attendance: Dec 1997 – Dec 2001, full-time
Role: 1st Supervisor
Attendance: Nov 1997 – May 2002, full-time
Role: 1st Supervisor
Attendance: Oct 1997 – May 2004, full-time
Role: 1st Supervisor
Publications
- Hatgioannides, J., Karanassou, M. and Sala, H. (2019). Should the Rich be Taxed More? The Fiscal Inequality Coefficient. Journal of Economic Issues, 53(3), pp. 879–887. doi:10.1080/00213624.2019.1646624.
Chapter
- Hatgioannides, Y.J., Karanasos, M., Karanassou, M., Koutroumpis, P. and Sala, H. (2017). The Greek Dra(ch)ma:5 Years of Austerity. The Three Economists' View and a Comment. In Bournakis, I., Christopoulos, D.K. and Tsoukis, C. (Eds.), Greece in the Maelstrom: On the Political Economy of the Crisis
Conference papers and proceedings (14)
- Hatgioannides, J. and Petropoulos, G. (2007). On Credit Spreads, Credit Spread Options and Implied Probabilities of Default. European Financial Management Association, 2007 Annual Meeting, June 27-30 Vienna, Austria.
- Hatgioannides, J. and Mesomeris, S. (2005). On the Predicatbility of Stock Indices in G7 Economies. Money, Macro and Finance 2005 Crete, Greece.
- Hatgioannides, J. and Marika Karanassou, M.K. (2004). A Yield Curve Model with Autoregressive and Random Walk Components. Multinational Finance Society Istanbul, Turkey.
- Hatgioannides, J. and Mesomeris, S. (2004). Profitability of Trading Rules: Evidence from Emerging Markets. Multinational Finance Society Istanbul, Turkey.
- Hatgioannides, J. and Mesomeris, S. (2003). On the Returns Generating Process and the Profitability of Technical Trading Rules in Emerging Markets. Australasian Finance Association Sydney, Australia.
- Hatgioannides, J., Karanassou, M. and Karanasos, M. (2004). Temporary and Transitory Components in a Continuous-Time Model of the Term Structure. World Scientific and Engineering Academy and Services (WSEAS) 2003, Vouliagmeni, Greece.
- Hatgioannides, J. (2004). The Term Structure of Interest Rates as a Gaussian Poisson Random Field. World Scentific and Engineering Academy and Services (WSEAS) 2003, Vouliagmeni, Greece.
- Barone-Adesi, G., Bermudez, A. and Hatgioannides, J. (2003). Two-factor convertible bonds valuation using the method of characteristics/finite elements. doi:10.1016/s0165-1889(02)00083-0
- Hatgioannides, J. and Mesomeris, S. (2002). Mean Reversion in Equity Prices: The International Evidence. Multinational Finance Society Paphos, Cyprus.
- Hatgioannides, J. (2002). Natural Gas and Electricity Derivatives. Quantitative Methods in Finance Cairns and Sydney, Australia.
- Bermudez, A. and Hatgioannides, J. (2002). Two-Factor Convertible Bonds Valuation Using the Method of Characteristics / Finite Elements. Bachelier Annual Congress Crete, Greece.
- Hatgioannides, J. (2001). A General Characteristics / Finite Element Approah for Solving Partial Differential Equations in Derivatives Pricing Models: The Case of Convertible Bonds. Annual SIAM-EMS Conference Berlin.
- Hatgioannides, J. (2001). Mean Reversion in Equity Prices: Evidence from International Stock Markets. Annual European Financial Management Conference Switzerland.
- Hatgioannides, J. (2000). Analytical Valuation of Asian Options Under a Jump-Diffusion Framework. Annual Conference in Quantitative Methods in Finance, QMF 2000 Sydney, Australia.
Journal articles (13)
- Karouzakis, N., Hatgioannides, J. and Andriosopoulos, K. (2018). Convexity adjustment for constant maturity swaps in a multi-curve framework. Annals of Operations Research, 266(1-2), pp. 159–181. doi:10.1007/s10479-017-2430-6.
- Hatgioannides, Y.J., Karanassou, M. and Sala, H. (2018). The Legacy of a Fractured Eurozone: The Greek Dra(ch)ma. Geoforum, 93, pp. 11–21. doi:10.1016/j.geoforum.2018.04.019.
- Hatgioannides, Y.J. and Karanassou, M. (2017). Warrant Economics, Call-Put Policy Options and the Great Recession. Review of Political Economy.
- Hatgioannides, J. and Liu, Y. (2010). A New Approach for the Dynamic Modelling of Credit Risk. Quantitative and Qualitative Analysis in Social Sciences (QASS), 4(2), pp. 29–48.
- Hatgioannides, J. and Petropoulos, G. (2009). A New Approach for an Integrated Credit and Market Risk Measurement of Interest Rate Swap Portfolios. Journal Of Financial Transformation, 25, pp. 107–112.
- Hatgioannides, J. and Mesomeris, S. (2007). On the returns generating process and the profitability of trading rules in emerging capital markets. Journal of International Money and Finance, 26(6), pp. 948–973. doi:10.1016/j.jimonfin.2007.05.005.
- Hatgioannides, J. and Bezerianos, G. (2006). Structural Models of Corporate Bond Pricing: A Comparative Analysis with Improvements. QASS, 6(1).
- Hatgioannides, J., Karanasos, M. and Karanassou, M. (2004). Permanent and Transitory Components in a Continuous-Time Model of the Term Structure. WSEAS Transactions on Business and Economics, 1(2).
- Hatgioannides, J. (2004). The Term Structure of Interest Rates as a Gaussian-Poisson Random Field. WSEAS Transactions on Business and Economics, 1(2), pp. 182–188.
- Hatgioannides, J. (2002). Modelling Credit Spreads. Derivatives Use, Trading and Regulation, 8, pp. 204–208.
- Hatgioannides, J. and Patience, H. (2002). On the Stochastic Evolution of Credit Spreads. Derivatives Use, Trading and Regulation, 8, pp. 241–254.
- Hatgioannides, Y.J. and Karouzakis, N. An International Examination of the Role of Default and Liquidity Risks in the Interbank Market. .
- Hatgioannides, Y.J., Karanassou, M. and Sala, H. Eurozone: A Neoliberal Project of Flawed Economics. .
Report
- Hatgioannides, J. and Karanassou, M. (2011). Warrant Economics, Call-Put Policy Options and the Fallacies of Economic Theory. Bonn, Germany: Institute for the Study of Labor.
Other (9)
- Hatgioannides, J. and Karouzakis, N. (2012). Pricing Interest Rate Derivatives using the Libor Market Model: Empirical Evidence using Libor and OIS Rates.
- Hatgioannides, J. and Hugh Patience, R.R. (2012). An Empirical Investigation of the Market Price of Volatility Risk in US $ IRS Swaptions under LMM-SABR Style Dynamics.
- Hatgioannides, J. and Vamvakas, O. (2012). Fixed Income Portfolio Construction: A Bayesian Approach for the Allocation of Risk Factors.
- Hatgioannides, J. and Mesomeris, S. (2011). Trading Dividend Initiations and Ommisions of UK Firms Using Statistical Arbitrage and the Implications for Market Efficiency.
- Hatgioannides, J. and Liu, Y. (2011). Dynamic Hedging Strategy for Portfolios of Credit Derivatives.
- Hatgioannides, J. and Mesomeris, S. (2008). On the Predictability of Stock Indices in G7 Economies.
- Hatgioannides, J. and Picone, D. (2007). Pricing and Rating CDOs of Equity Default Swaps with NGARCH-M Copulae.
- Hatgioannides, J. and Piccone, D. (2007). Structuring and rating cash-flow CDOs.
- Hatgioannides, J. and Petropoulos, G. (2007). On Credit Spreads, Credit Spread Options and Implied Probabilities of Default.
Education
Course Directorship
- 1996 - present, MSc Mathematical Trading & Finance, Director
Professional activities
Editorial activity
- Quantitative and Qualitative Analysis in Social Sciences (QASS), Editor, 2006 – present.
Events/conferences (17)
- Joint Annual Conference AHE, IIPPE, FAPE. (Conference) Paris, France (2012). Invited speaker.
Paper: Warrant Economics, Call-Put Policy Options and the Fallacies of Economic Theory
Author: Hatgioannides J
Co-authors: Marika Karanassou - EWGFM 50 years conference meeting. (Conference) Rome, Italy (2012).
Paper: Convexity Adjustment for Constant Maturity Swaps in a Multi-Curve Framework
Author: Hatgioannides J
Co-authors: Nikolaos Karouzakis - 2nd International Conference of the Financial Engineering and Banking Society. (Conference) London, England (2012).
Paper: Convexity Adjustment for Constant Maturity Swaps in a Multi-Curve Framework
Author: Hatgioannides J
Co-authors: Nikolaos Karouzakis - 4th International Conference in Applied Financial Economics, AFE / QASS 2007. (Conference) Samos, Greece (2007). Chair and Organising Committee.
- European Financial Management Association, 2007 Annual Meeting. (Conference) Vienna, Austria (2007).
Paper: On Credit Spreads, Credit Spread Options and Implied Probabilities of Default
Author: Hatgioannides J
Co-authors: George Petropoulos - Money, Macro and Finance 2005. (Conference) Crete, Greece (2005).
Paper: On the Predicatbility of Stock Indices in G7 Economies
Author: Hatgioannides J
Co-authors: Spyros Mesomeris - Multinational Finance Society. (Conference) Istanbul, Turkey (2004).
Paper: A Yield Curve Model with Autoregressive and Random Walk Components
Author: Hatgioannides J
Co-authors: Marika Karanassou, Menelaos Karanasos - Multinational Finance Society. (Conference) Istanbul, Turkey (2004).
Paper: Profitability of Trading Rules: Evidence from Emerging Markets
Author: Hatgioannides J
Co-authors: Spyros Mesomeris - World Scientific and Engineering Academy and Services (WSEAS). Vouliagmeni, Greece (2003).
Paper: Temporary and Transitory Components in a Continuous-Time Model of the Term Structure
Author: Hatgioannides J
Co-authors: M. Karanassou and M.Karanasos - World Scentific and Engineering Academy and Services (WSEAS). (Conference) Vouliagmeni, Greece (2003). Invited speaker.
Paper: The Term Structure of Interest Rates as a Gaussian Poisson Random Field
Author: Hatgioannides J - Australasian Finance Association. (Conference) Sydney, Australia (2003).
Paper: On the Returns Generating Process and the Profitability of Technical Trading Rules in Emerging Markets
Author: Hatgioannides J
Co-authors: Spyros Mesomeris - Multinational Finance Society. (Conference) Paphos, Cyprus (2002).
Paper: Mean Reversion in Equity Prices: The International Evidence
Author: Hatgioannides J
Co-authors: Spyros Mesomeris - Quantitative Methods in Finance. Cairns and Sydney, Australia (2002).
Paper: Natural Gas and Electricity Derivatives - Bachelier Annual Congress. Crete, Greece (2002).
Paper: Two-Factor Convertible Bonds Valuation Using the Method of Characteristics / Finite Elements
Co-authors: Ana Bermudez - Annual SIAM-EMS Conference. Berlin (2001).
Paper: A General Characteristics / Finite Element Approah for Solving Partial Differential Equations in Derivatives Pricing Models: The Case of Convertible Bonds - Annual European Financial Management Conference. Switzerland (2001).
Paper: Mean Reversion in Equity Prices: Evidence from International Stock Markets - Annual Conference in Quantitative Methods in Finance, QMF 2000. Sydney, Australia (2000).
Paper: Analytical Valuation of Asian Options Under a Jump-Diffusion Framework