![Nneka Umeorah](https://profiles-cardiff.imgix.net/attachments/214?w=200&h=200&auto=format&crop=faces&fit=crop&q=90")
Trosolwyg
Mae Nneka Umeorah yn Ddarlithydd sy'n arbenigo mewn Mathemateg Ariannol. Mae ei hymchwil yn canolbwyntio ar gyllid mathemategol, prisio deilliadau, rheoli risg, a chymhwyso dysgu peirianyddol mewn cyd-destunau ariannol. Mae hi'n cyd-drefnu'r grŵp ymchwil tebygolrwydd, ystadegau, gweithrediadau ymchwil a dysgu peirianyddol ym Mhrifysgol Caerdydd. Cyn ymuno â Chaerdydd, roedd hi'n gymrawd ôl-ddoethurol ym Mhrifysgol Johannesburg, Parc Auckland, De Affrica, lle derbyniodd wobr 4.0 UJ Global Excellence and Stature (GES) 4.0 am ymchwil a gynhaliwyd ym myd y Pedwerydd Chwyldro Diwydiannol (4IR). Mae Nneka hefyd yn cael ei gydnabod fel ymchwilydd talent byd-eang, a gymeradwywyd gan Gymdeithas Frenhinol y DU.
Cyhoeddiad
2024
- Pindza, E., Mba, J. C., Mwambi, S. and Umeorah, N. 2024. Neural network for valuing Bitcoin options under jump-diffusion and market sentiment model. Computational Economics (10.1007/s10614-024-10792-1)
- Nwankwo, C., Umeorah, N., Ware, T. and Dai, W. 2024. Deep learning and American options via free boundary framework. Computational Economics 64, pp. 979-1022. (10.1007/s10614-023-10459-3)
2023
- Umeorah, N., Mashele, P., Agbaeze, O. and Mba, J. C. 2023. Barrier options and Greeks: Modeling with neural networks. Axioms 12(4), article number: 384. (10.3390/axioms12040384)
2022
- Umeorah, N. and Mba, J. C. 2022. Approximation of single-barrier options partial differential equations using feed?forward neural network. Applied Stochastic Models in Business and Industry 38(6), pp. 1079-1098. (10.1002/asmb.2711)
2021
- Umeorah, N., Mashele, P. and Ehrhardt, M. 2021. Pricing basket default swaps using quasi-analytic techniques. Decisions in Economics and Finance 44(1), pp. 241–267. (10.1007/s10203-020-00310-x)
2020
- Umeorah, N., Ehrhardt, M. and Mashele, P. 2020. Valuation of basket credit default swaps under stochastic default intensity models. Advances in Applied Mathematics and Mechanics 12(5), pp. 1301-1326. (10.4208/aamm.oa-2019-0141)
- Umeorah, N., Mashele, P. and Ehrhardt, M. 2020. Elliptical and Archimedean copula models: an application to the price estimation of portfolio credit derivatives. Journal of Credit Risk 17(1), pp. 1-29. (10.21314/JCR.2020.263)
2019
- Umeorah, N. and Mashele, P. 2019. A Crank-Nicolson finite difference approach on the numerical estimation of rebate barrier option prices. Cogent Economics & Finance 7(1), article number: 1598835. (10.1080/23322039.2019.1598835)
2018
- Umeorah, N. and Mashele, P. 2018. A comparative study on barrier option pricing using antithetic and quasi Monte-Carlo simulations. Journal of Mathematics and Statistics 14(1), pp. 94-106. (10.3844/jmssp.2018.94.106)
Articles
- Pindza, E., Mba, J. C., Mwambi, S. and Umeorah, N. 2024. Neural network for valuing Bitcoin options under jump-diffusion and market sentiment model. Computational Economics (10.1007/s10614-024-10792-1)
- Nwankwo, C., Umeorah, N., Ware, T. and Dai, W. 2024. Deep learning and American options via free boundary framework. Computational Economics 64, pp. 979-1022. (10.1007/s10614-023-10459-3)
- Umeorah, N., Mashele, P., Agbaeze, O. and Mba, J. C. 2023. Barrier options and Greeks: Modeling with neural networks. Axioms 12(4), article number: 384. (10.3390/axioms12040384)
- Umeorah, N. and Mba, J. C. 2022. Approximation of single-barrier options partial differential equations using feed?forward neural network. Applied Stochastic Models in Business and Industry 38(6), pp. 1079-1098. (10.1002/asmb.2711)
- Umeorah, N., Mashele, P. and Ehrhardt, M. 2021. Pricing basket default swaps using quasi-analytic techniques. Decisions in Economics and Finance 44(1), pp. 241–267. (10.1007/s10203-020-00310-x)
- Umeorah, N., Ehrhardt, M. and Mashele, P. 2020. Valuation of basket credit default swaps under stochastic default intensity models. Advances in Applied Mathematics and Mechanics 12(5), pp. 1301-1326. (10.4208/aamm.oa-2019-0141)
- Umeorah, N., Mashele, P. and Ehrhardt, M. 2020. Elliptical and Archimedean copula models: an application to the price estimation of portfolio credit derivatives. Journal of Credit Risk 17(1), pp. 1-29. (10.21314/JCR.2020.263)
- Umeorah, N. and Mashele, P. 2019. A Crank-Nicolson finite difference approach on the numerical estimation of rebate barrier option prices. Cogent Economics & Finance 7(1), article number: 1598835. (10.1080/23322039.2019.1598835)
- Umeorah, N. and Mashele, P. 2018. A comparative study on barrier option pricing using antithetic and quasi Monte-Carlo simulations. Journal of Mathematics and Statistics 14(1), pp. 94-106. (10.3844/jmssp.2018.94.106)
Ymchwil
Mae fy niddordeb ymchwil mewn cyllid cyfrifiannol a mathemategol. Mae rhai o fy mhrosiectau wedi bod ar brisio deilliadau ariannol megis opsiynau a chyfnewidiadau diofyn credyd basged gan ddefnyddio dulliau rhifiadol, ystadegol a chyfrifiannol amrywiol. Mae gen i ddiddordeb hefyd mewn hedging a graddnodi deilliadau ariannol egsotig, yn ogystal â dadansoddi'r data ariannol cyfatebol. Yn ddiweddar, rwy'n defnyddio Machine Learning i archwilio prisio opsiynau crypto a deilliadau egsotig eraill.
Ymweliadau Ymchwil:
- 07/2022 - 08/2022: Ymwelydd Ymchwil (Prifysgol Calgary, Canada)
- 04/2018 - 09/2018: Ymwelydd Ymchwil (Prifysgol Bergische, Wuppertal, yr Almaen)
Addysgu
Finance I: Financial Markets and Corporate Financial Management
Finance II: Investment Management
Bywgraffiad
Qualifications
- 06/2020: PhD (Risk Analysis -- Financial Mathematics), North-West University, Potchefstroom, South Africa
- 05/2017: MSc (Risk Analysis -- Financial Mathematics), North-West University, Potchefstroom, South Africa
- 06/2015: MSc (Mathematical Sciences), University of the Western Cape, Cape Town, South Africa
- 01/2013: BSc Mathematics, University of Nigeria, Nsukka, Nigeria
Anrhydeddau a dyfarniadau
- 03/2021: University of Johannesburg Global Excellence Stature (GES 4.0) Post-doctoral Fellowship
- 04/2018: DAAD Short Term Research Scholarship in Germany
- 02/2017: DAAD In-Region PhD Scholarship in Sub-Saharan Africa in association with AIMS
- 06/2015: Post AIMS (African Institute for Mathematical Sciences) MSc Research Grant
- 08/2014: African Institute for Mathematical Sciences (Full MSc Scholarship)
Safleoedd academaidd blaenorol
- 02/2022 - presennol: Darlithydd (Prifysgol Caerdydd, Caerdydd, Y Deyrnas Unedig)
- 03/2021 - 01/2022: Ymchwilydd Ôl-ddoethurol (Prifysgol Johannesburg, De Affrica)
- 07/2020 - 02/2021: Cynorthwy-ydd Ymchwil (Prifysgol Gogledd-orllewin, Potchefstroom, De Affrica)
- 04/2018 - 09/2018: Ymwelydd Ymchwil (Prifysgol Bergische, Wuppertal, yr Almaen)
Ymrwymiadau siarad cyhoeddus
[Dewiswyd]
- Ysgol Mathemateg, Prifysgol Birmingham, Y Deyrnas Unedig (Tachwedd 2024)
- PiFORUM24, Prifysgol Caerlŷr, Caerlŷr, Y Deyrnas Unedig (Medi 2024)
- 9fed Cyngres Mathemateg Ewrop, Seville, Sbaen (Gorffennaf 2024)
- Adran Mathemateg, Prifysgol Fetropolitan Toronto, Canada (Ebrill 2024)
- Enciliad i Fenywod mewn Mathemateg Gymhwysol 2024. Canolfan Ryngwladol ar gyfer Gwyddorau Mathemategol, Caeredin, Y Deyrnas Unedig (Ionawr 2024)
- Seminar Ymchwil yr Ysgol Mathemateg, Prifysgol Caerdydd, Caerdydd, Y Deyrnas Unedig (Rhagfyr, 2022)
- Adran Mathemateg a Mathemateg Gymhwysol, Prifysgol Johannesburg, Parc Auckland, De Affrica (Ebrill, 2021)
- Gweithdy Affricanaidd ar Optimeiddio Mathemategol. Adran Gwyddorau Mathemategol, Prifysgol Zululand, De Affrica (Tachwedd, 2019)
- Cyngres Fienna ar Gyllid Mathemategol / Gweithdy Addysgol. Prifysgol Economeg a Busnes Fienna, Awstria (Medi, 2019)
- AMNA Seminar Ymchwil, Prifysgol Bergische Wuppertal, Yr Almaen (Awst, 2018)
- Adran Mathemateg, Prifysgol Gogledd-orllewin, Campws Triongl y Fal, De Affrica (Mawrth, 2018)
- 2018 Menywod Rhyngwladol mewn Gwyddoniaeth Heb Ffiniau (WISWB)-Indaba. Prifysgol Johannesburg, De Affrica (Mawrth, 2018)
- 60fed Cyngres Flynyddol Cymdeithas Fathemategol De Affrica. Prifysgol Gogledd-West, Potchefstroom, De Affrica (Tachwedd, 2017)
- Cynhadledd Ryngwladol 6ed ar Fathemateg mewn Cyllid. Skukuza, Parc Cenedlaethol Kruger, De Affrica (Awst, 2017)
Pwyllgorau ac adolygu
Adolygu ar gyfer cyfnodolion gwyddonol a adolygir gan gymheiriaid:
- The European Journal of Finance
- Economeg Cyfrifiannol
Contact Details
UmeorahN@caerdydd.ac.uk
+44 29208 76160
Abacws, Ystafell 4.52, Ffordd Senghennydd, Cathays, Caerdydd, CF24 4AG
+44 29208 76160
Abacws, Ystafell 4.52, Ffordd Senghennydd, Cathays, Caerdydd, CF24 4AG
