Dr Luitgard A. M. Veraart

Associate Professor

Office: Columbia House, Room COL 4.11

Post:

Department of Mathematics
London School of Economics and Political Science
Houghton Street
London, WC2A 2AE
United Kingdom

Phone: +44 (0) 207 107 5062

Email: L.Veraart AT lse.ac.uk

Office hours: By email appointment.

Research Interests

Financial mathematics, particularly

A. Gandy & L.A.M. Veraart. A Bayesian Methodology for Systemic Risk Assessment in Financial Networks. Accepted for publication in Management Science 2016+. Preprint . pdf .
Implemented in the R-package systemicrisk, see http://cran.r-project.org/web/packages/systemicrisk

P.M. Barrieu & L.A.M. Veraart. Pricing q-forward Contracts: an Evaluation of Estimation Window and Pricing Method under Different Mortality Models. Scandinavian Actuarial Journal 2016(2): 146-166. 2016. Preprint pdf

L.A.M. Veraart. Book review of the book: Stochastic Finance: an Introduction with Market Examples by N. Privault. Appeared in (2015) Book Reviews, Journal of the American Statistical Association. 2015.

M.S. Dubois & L.A.M. Veraart. Optimal Diversification in the Presence of Parameter Uncertainty for a Risk Averse Investor. SIAM Journal on Financial Mathematics 6(1): 201-241, 2015. Preprint . pdf

A.E.D. Veraart & L.A.M. Veraart. Modelling Electricity Day-Ahead Prices by Multivariate Lévy Semistationary Processes. In: F. E. Benth, V. Kholodnyi, P. Laurence (Eds.), Quantitative Energy Finance, Springer. 2014. Preprint .

A.E.D. Veraart & L.A.M. Veraart. Risk Premiums in Energy Markets. Journal of Energy Markets 6(4): 91-132, 2013. Preprint .

L.C.G. Rogers & L.A.M. Veraart. Failure and Rescue in an Interbank Network. Management Science 59(4): 882-898. 2013. Preprint . pdf

A. Gandy & L.A.M. Veraart. The Effect of Estimation in High-dimensional Portfolios. Mathematical Finance 23(3): 531-559. 2013. Preprint . pdf

N. Bäuerle & S.P. Urban & L.A.M. Veraart. The Relaxed Investor with Partial Information. SIAM Journal on Financial Mathematics 3(1): 304-327. 2012. Preprint . pdf .

A.E.D. Veraart & L.A.M. Veraart. Stochastic Volatility and Stochastic Leverage. Annals of Finance 8(2): 205-233. 2012. pdf

N. Bäuerle & L.A.M. Veraart. Einblicke in die Finanzmathematik: Optionsbewertung und Portfolio-Optimierung. In: Wendland, K., Werner, A. (Eds.) Facettenreiche Mathematik - Einblicke in die moderne mathematische Forschung für alle, die mehr von Mathematik verstehen wollen. Vieweg-Teubner. ISBN: 978-3-8348-1414-2. 2011. publisher

L.A.M. Veraart. Optimal Investment in the Foreign Exchange Market with Proportional Transaction Costs. Quantitative Finance 11(4): 631-640. 2011. pdf

L.A.M. Veraart. Optimal Market Making in the Foreign Exchange Market. Applied Mathematical Finance 17(4): 359-372. 2010. pdf

L.C.G. Rogers & L.A.M. Veraart. A Stochastic Volatility Alternative to SABR. Journal of Applied Probability 45(4):1071-1085. 2008. pdf

R. Kiesel & L.A.M. Veraart. A Note on Survival Probability in CreditGrades. Journal of Credit Risk 4(2): 65-74. 2008. pdf

M. Kusnetsov & L.A.M. Veraart. Interbank Clearing in Financial Networks with Multiple Maturities. 2016. Preprint .

MA417 Computational Methods in Finance (Lent Term part only)| Moodle Page.

Since 08/2013 Associate Professor, Department of Mathematics, LSE
2010-2013 Lecturer in Mathematics, LSE
2008-2010 Assistant Professor in Financial Mathematics ('Juniorprofessor'), Karlsruhe Institute of Technology
2007-2008 Postdoctoral Research Associate, Bendheim Center for Finance, Princeton University
2007 Ph.D., University of Cambridge
2004 Diploma in Mathematics (Dipl. - Math.), University of Ulm
2004 Diploma in Mathematics and Economics (Dipl. - Math. oec.), University of Ulm
2003 Master of Philosophy in Statistical Science, University of Cambridge