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Dr Stephen Satchell: Research Director and Leader of Acadametrics Academic Panel
Dr Satchell's wide-ranging area of research brings cross benefits.
In housing this was exampled by his pioneering work on the use of option theory to address a particular problem where little
data was available. The problem concerned claims likely to arise from a Mortgage Indemnity Guarantee portfolio,
where only the broad details of the mortgages covered were available. A very brief sample of Dr Satchell's published/refereed/submitted
papers in Economics/Finance might include:
- "Approximations to the Finite Sample Distributis for Nonstable First Order Stochastic Difference Equations", Econometrica September 1984
- "Predicting British Financial Indices: An Approach Based on Chaos Theory" (with Y.Yoon and N.Linden), Structural Change and Economic Dynamics 1993
- "A Bias-Adjusted Black and Scholes Option Pricing Model" (with M.Ncube), Applied Financial Economics 1995
- "Interactions Between Property Shares and the Equity Market: An Investigation of Linkages in the UK 1972 - 1992" (with C.Lizieri), Journal of Property Rearch 1997
- "Time to Default in the UK Mortgage Market" (with B.Lambrecht and W.Perraudin), Economic Modelling 1997
- "Forecasting Log Volatility Models" (with G.Christodoulakis), submitted to Econometric Review 1998
- "Using a Model of Integrated Risk to Assess UK Asset Allocation" (with D.Damant and S.Hwang), Applied Mathematical Finance 2000
- "A Note on Bayesian Inference in Asset Pricing" (with J.Knight), IFR discussion paper, Econometric Theory 2001
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Other papers (those related to the housing sector) by Dr Satchell include:
- "Modelling UK Mortgage Defaults Using a Hazard Approach BAsed on American Options" (with M.Ncube), 1994
- "Mortgage Default and Repossession" (with B.Lambrecht and W.Perraudin), 1995
- "Forecasting the Single and Multiple. The Use of the Weibull Distribution with Application to Arrears Mortgages Facing Repossession Risk" (with Y.Shin), 1996
- "Modelling Mortgage Population Dynamics" (with R.L.Kosowski), 1997
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Dr Satchell's complete CV
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