UCD Michael Smurfit Graduate Business School: Dr. Conall O'Sullivan

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Dr Conall O'Sullivan B.Sc., PhD.

Contact Details

Title	Lecturer
Address	School of Business Ucd Michael Smurfit Graduate Business School Blackrock Co. Dublin
Telephone:	+353 1 7168836
Email:	ei.dcu@navilluso.llanoc

Biography:

Research Interests

My interests include but are not restricted to the following:

* Options pricing under Levy processes
* The application of financial economics in actuarial science
* Fixed income derivatives
* Continuous time stochastic volatility processes
* Kalman filters applied to interest rate models and stochastic volatility models
* Risk Management

Book Chapters

Fan, K., O'Sullivan, C., Brabazon, A., O'Neill, M. and McGarraghy, S. ; (2008) 'Calibration of the VGSSD Option Pricing Model using a Quantum Inspired Evolutionary Algorithm' In: Nedjah, N., Coelho, L. and Mourelle, L (eds). Quantum-Inspired Evolutionary Computation. Berlin: Springer.

[Details]

Fan, K, O'Sullivan, C., Brabazon, A. and O'Neill, M. ; (2008) 'Non-linear Principal Component Analysis of the Implied Volatility Smile using a Quantum-inspred Evolutionary Algorithm' In: Brabazon, A. and O¿Neill, M (eds). Natural Computation in Computational Finance. Berlin: Springer. [Details]

Fan K., O'Sullivan C., Brabazon A., O'Neill M.; (2008) 'Non-linear Principal Component Analysis of the Implied Volatility Smile Using a Quantum-inspired Evolutionary Algorithm' In: Brabazon, A., O'Neill, M (eds). Natural Computing in Computational Finance. Berlin/Heidelberg: Springer. [Details]

O'Sullivan, C.; (2007) 'Examining Parameter Uncertainty in Interest Rate Models' In: Numerical Methods for Finance. *: Chapman & Hall/Crc Financial Mathematics Series. [Details]

Peer Reviewed Journals

O'Sullivan, Stephen and O'Sullivan, Conall; (2009) 'On the Acceleration of Explicit Finite Difference Methods for Option Pricing'. Quantitative Finance, . [Details]

Working Paper

O 'Sullivan, C. and M. Moloney. ; (2007) Modeling long term returns and option prices with continuous time regime switching Levy processes. Working Paper [Details]

Bredin, D. and C. O'Sullivan.; (2007) The response of the UK yield curve to UK monetary policy shocks - a latent factor analysis. Working Paper [Details]

Conference Contributions

Conall O'Sullivan, Stephen O'Sullivan; (2009) On the Acceleration of Explicit Finite Difference Methods for Option Pricing under Stochastic Volatility. [International Refereed Conference], Quantitative Methods in Finance, Sydney, Australia , 16-DEC-09 - 19-DEC-09.

O'Sullivan, Conall and O'Sullivan, Stephen; (2008) On the Acceleration of Explicit Finite Difference Methods for Option Pricing under Stochastic Volatility. [International Refereed Conference], Bachelier Finance Society, 5th World Congress,, London , 15-JUL-08 - 19-JUL-08.

O'Sullivan, C.; (2005) Path Dependent Option Pricing under Levy Processes. [International Refereed Conference], European Finance Association, * , 24-AUG-05 - 27-AUG-05.

O'Sullivan, C. ; (2005) Bermudan Option Pricing under Levy Processes. [International Refereed Conference], Global Finance Conference, * , 01-JAN-05.

O'Sullivan, C. ; (2006) Examining Parameter Uncertainty in Interest Rate Models. [International Refereed Conference], International Conference in Numerical Methods in Finance, * , 07-JUN-06 - 09-JUN-06.

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Education

Year 1999 Institution: University College Dublin
Qualification: BSc Subject:

Year 2004 Institution: University College Dublin
Qualification: PhD Subject:

Consultancy

Client: : Financial strategies group

Teaching Interests

Fixed Income Securities
M.Sc. in Quantitative Finance 2004 to date

Financial Economics
Bachelor of Actuarial and Financial Studies 2003 to date
Bachelor of Economics and Finance 2003 to date

Recent Postgraduates

Current Postgraduate Students

Marko Milicic, Philosophy (MPhil) - Thesis Supervisor

Modules Taught

200900 FIN40550 Finance: Major Project

200900 FIN40420 Finance: Fixed Income Securities

201000 FIN41070 Finance: Fixed Income Securities

200900 FIN30160 Finance: Financial Economics II

201000 FIN2007D Finance: Treasury

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O'Sullivan, C. ; (2006) Levy Processes in Finance. [National Refereed Conference Paper], UK and Ireland Actuarial Teachers' and Researchers' Conference, * , 01-JAN-06.
O'Sullivan, C. and M. Moloney. ; (2007) The variance gamma self-decomposable process in actuarial modeling. [International Refereed Conference], International Congress in Insurance, Mathematics and Economics, * , 10-JUL-07 - 12-JUL-07.
O'Sullivan, C.; (2006) Modeling the Dynamics of the FTSE 100 Implied Volatility Surface. [Invited Oral Presentation], Seminar, University College London , 01-DEC-06.
O'Sullivan, C.; (2006) Estimating Interest Rate Models using Kalman Filters. [Invited Oral Presentation], Seminar, Department of Experimental Physics, University College Dublin , 01-APR-06.
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