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Professor Stephen Taylor

Emeritus Professor

Stephen Taylor

The Management School



Tel: +44 1524 593624

Research overview

My research interests are in Financial Econometrics, particularly theoretical and empirical research related to (1) high-frequency price observations and (2) the prices of options. I work on asset price dynamics, volatility models and forecasts, risk-neutral and real-world density estimation.

PhD supervision

Not accepting new students, following partial retirement.

Current Research

Properties of one-minute stock index returns. Jumps in asset prices. Model-free measures of volatility. Forward-looking information revealed by option prices.

For a complete list of publications, please see the CV at my personal website http://www.lancs.ac.uk/staff/afasjt/.

To download my papers at www.ssrn.com, or to review my Google Scholar citations (approx. 10,000), please also go via my personal website.

My Role

Professor of Finance since 1993.

Career Details

Please see the CV at my personal website http://www.lancs.ac.uk/staff/afasjt/.

Current Teaching

Executive education: lectures on asset prices and volatility.


BA Cambridge, MA, PhD Lancaster

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