Nottingham University Business School
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Professor David Newton

BSc, PhD, MBA
Professor of Finance

Division: Industrial Economics and Finance
E-mail: David.Newton@nottingham.ac.uk
Tel: +44 (0) 115 8467414
Location: C03 (North Building, Jubilee Campus)

Nottingham University Business School
CEO, Guangdong Nottingham Advanced Finance Institute May 2014 - Oct 2014
Academic Lead, Guangdong Province early 2013 - April 2014
Head of the Accounting & Finance Division Feb 2010 -Feb 2012
Co-Director, School of Mathematics
MSc Numerical Techniques for Finance Oct 2007 -present
Divisional Director of Research Oct 2005 - Feb 2010
Chair in Accounting & Finance Feb. 2005 - present

Manchester Business School
Director, Executive MBA Programme 2002-2005
Senior Lecturer in Managerial Finance Oct. 2003 - Jan. 2005
Lecturer in Managerial Finance Oct. 1993 - Sept. 2003
Co-ordinator, Management Accounting,
MBS Worldwide 1991-2005
E.S.R.C. Teaching Fellow Oct. 1990 - Sept. 1993
MBA Student (full scholarship) Oct. 1988 - Sept. 1990

External Examiner
Mathematical Finance masters programme at Cambridge Judge Business School, from its initiation
MBA programme at Cranfield School of Management
MSc Computational Finance, University College London, from its initiation
Masters programmes, the Open University
Undergraduate programmes, Birmingham Business School
PhD viva voce examiner: Birmingham, Cambridge, London, Reading (Henley), Warwick, and others
Aggregation interrogation: ISEG Lisbon.
Chair appointment committees: UEA, Sheffield.

Visiting Fellowships
Manchester Business School (teaching) 2005-2010, 2010-2015.
Cambridge Judge Business School (research) 2013

Warwick University
Lecturer in Physical Chemistry October 1985-Summer 1988
Glasgow University
Lecturer in Theoretical Chemistry October 1984-September 1985
Bristol University
Postdoctoral RF, Physical Chemistry August 1982-September 1984
Cambridge University
Pembroke College Cambridge From 1980
Postdoctoral RF, Physical Chemistry March 1979-August 1982

Research Interests
Derivatives - option pricing, financial engineering and mathematical finance.
Financial instruments and markets.

Invited seminars in 2015:-
University of Bath School of Management, March.
School of Finance, Renmin University, Beijing, April.
School of Economics and Management, Chongqing University, April.
Chinese Finance Research Institute, Southwestern University of Finance and Economics, Chengdu, April.
Shanghai Institute of Futures and Derivatives (Shanghai Futures Exchange), May.
London Mathematical Finance Seminar Series, June.
Luxembourg School of Finance, September.

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).

Administrative Roles
Co-course Director on the MSc in Numerical Techniques in Finance with School of Mathematics
I also set up the joint mathematics/finance masters and undergraduate programmes with the Business School and the School of Mathematics. I am Co-Director, School of Mathematics MSc Numerical Techniques for Finance, jointly with Professor Michael Tretyakov.


Undergraduate

Financial Management

External Exminerships & Validations
   MSc Computational Finance, University College London
   Visiting Fellow: Manchester Business School, Cambridge Judge Business School
   Linked with the Centre for Global Finance on our Ningbo Campus
   External Examiner, MBA Programme, Cranfield School of Management
   External Examiner, Masters of Finance, Judge Business School, Cambridge
Current Research Activities
Derivatives - option pricing, financial engineering and mathematical finance.
Financial instruments and markets.

Past members of my research group at Nottingham & Manchester:
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 has his own hedge fund with colleagues, the other is with MSCI Barra in Geneva - the majority work in the City of London (JP Morgan, Nomura, HSBC, Barclays, etc.)
I am currently supervising the following Research Students:

Han Zhang
Haozhe Su
Hui Tian
Kai Xing
Qi Hu
Sadegh Javaheriafif
Xiyang Wang
Yulin Wu
Zhongxiang Xu
The following lists my publications from 2005 to the present day.

Journal Articles

Newton, D. P.; Boateng, A.; Du, A.(2015)., "The Impact of State Ownership, Formal Institutions and Resource Seeking on Acquirers' Returns of Chinese M&A", Review of Quantitative Finance and Accounting, pp. 1-20.

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 Option Valuation Using Quadrature Methods", Journal of Financial Economics, Vol.114 (3), pp. 600-612.

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

Newton, D. P.; Johnson, P.; Sharp, N.; Duck, P.(2011)., "A bridge between 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 (8), 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.; Johnson, P.; Sharp N, . Duck, P.(2009)., "A new prepayment model (with default): an occupation-time derivative approach", Journal of Real Estate Finance and Economics, Vol.39 (2), pp. 118-145.

Newton, D. P.; Sharp, N.; Duck, P.(2008)., "An Improved Fixed-Rate 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.



Books

Howell, S.; Stark, A.; Newton, D. P.; Paxson, D.; Cavus, M.(2005), Real Options, An Introduction For Executives, translated into Chinese in the "Top CFO" series".



Conferences

Guo, B.; Newton, D. P., 2011, "Regime Dependent Liquidity Determinant of Credit Default Swap Spread Changes", at 24th Australasian Fiannce & Banking Conference 2011, December, Sydney, Australia.

Johnson, P.; Sharp, N.; Duck, P.; Newton, D. P., 2007, "Enhanced Finite-Difference Techniques for Early-Exercise Options on Single and Multiple Underlyings", at The 20th Australasian Finance & Banking Conference 2007, December, Sydney, Australia.

Sharp, N.; Newton, D. P.; Duck, P.; Johnson, P., 2007, "A New Prepayment Model An Occupation-Time Derivative Approach", at Radon Workshop on Financial and Actuarial Mathematics for Young Researchers, Linz, Austria, May.

Sharp, N.; Newton, D. P.; Duck, P., 2006, "An Improved Fixed-Rate Mortgage Valuation Methodology With Interacting Prepayment and Default Options", at The Bachelier Finance Society, Fourth World Congress, August, Tokyo.

 

 

Nottingham University Business School

Jubilee Campus
Nottingham
NG8 1BB

telephone: +44 (0) 115 846 6602
fax: +44 (0) 115 846 6667
email: business-enquiries@nottingham.ac.uk