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.

Not accepting new students, following partial retirement.

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.

Professor of Finance since 1993.

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

Executive education: lectures on asset prices and volatility.

BA Cambridge, MA, PhD Lancaster