![Nneka Umeorah](https://profiles-cardiff.imgix.net/attachments/214?w=200&h=200&auto=format&crop=faces&fit=crop&q=90")
Overview
Nneka Umeorah is a Lecturer specialising in Financial Mathematics. Her research focuses on mathematical finance, derivatives pricing, risk management, and the application of machine learning in financial contexts. She co-organizes the Probability, Statistics, Operations Research, and Machine Learning research group at Cardiff University. Before joining Cardiff, she was a postdoctoral fellow at the University of Johannesburg, Auckland Park, South Africa, where she received the UJ Global Excellence and Stature (GES) 4.0 award for research conducted within the realm of the Fourth Industrial Revolution (4IR). Nneka is also recognised as a global talent researcher, endorsed by the UK’s Royal Society.
Publication
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)
Erthyglau
- 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)
Research
My research interest is in computational and mathematical finance. Some of my projects have been on pricing financial derivatives such as options and basket credit default swaps using diverse numerical, statistical, and computational methods. I am also interested in hedging and calibrating exotic financial derivatives, as well as analysing the corresponding financial data. Recently, I am using Machine Learning to explore the pricing of crypto options and other exotic derivatives.
Research Visits:
- 07/2022 - 08/2022: Research Visitor (University of Calgary, Canada)
- 04/2018 - 09/2018: Research Visitor (Bergische Universität, Wuppertal, Germany)
Teaching
Finance I: Financial Markets and Corporate Financial Management
Finance II: Investment Management
Biography
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
Honours and awards
- 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)
Academic positions
- 02/2022 - present: Lecturer (Cardiff University, Cardiff, United Kingdom)
- 03/2021 - 01/2022: Postdoctoral Researcher (University of Johannesburg, South Africa)
- 07/2020 - 02/2021: Research Assistant (North-West University, Potchefstroom, South Africa)
- 04/2018 - 09/2018: Research Visitor (Bergische Universität, Wuppertal, Germany)
Speaking engagements
[Selected]
- School of Mathematics, University of Birmingham, United Kingdom (November 2024)
- PiFORUM24, University of Leicester, Leicester, United Kingdom (September 2024)
- 9th European Congress of Mathematics, Seville, Spain (July 2024)
- Department of Mathematics, Toronto Metropolitan University, Canada (April 2024)
- Retreat for Women in Applied Mathematics 2024. International Centre for Mathematical Sciences, Edinburgh, United Kingdom (January 2024)
- School of Mathematics Research Seminar, Cardiff University, Cardiff, United Kingdom (December, 2022)
- Department of Mathematics and Applied Mathematics, University of Johannesburg, Auckland Park, South Africa (April, 2021)
- African Workshop on Mathematical Optimisation. Department of Mathematical Sciences, University of Zululand, South Africa (November, 2019)
- Vienna Congress on Mathematical Finance/ Educational Workshop. Vienna University of Economics and Business, Austria (September, 2019)
- AMNA Research Seminar, Bergische Universitat Wuppertal, Germany (August, 2018)
- Department of Mathematics, North-West University, Vaal Triangle Campus, South Africa (March, 2018)
- 2018 International Women in Science Without Border (WISWB)-Indaba. University of Johannesburg, South Africa (March, 2018)
- 60th Annual Congress of the South African Mathematical Society. North-West University, Potchefstroom, South Africa (November, 2017)
- 6th International Conference on Mathematics in Finance. Skukuza, Kruger National Park, South Africa (August, 2017)
Committees and reviewing
Reviewing for peer-reviewed scientific journals:
Contact Details
UmeorahN@cardiff.ac.uk
+44 29208 76160
Abacws, Room 4.52, Senghennydd Road, Cathays, Cardiff, CF24 4AG
+44 29208 76160
Abacws, Room 4.52, Senghennydd Road, Cathays, Cardiff, CF24 4AG
