Professor John Hatgioannides

Professor of Mathematical Finance and Financial Engineering; Director of MSc Mathematical Trading & Finance

Bayes Business School, Finance

Contact

Visit John Hatgioannides

Room BR5069, Bunhill Row

Postal address

City St George's, University of London
Northampton Square
London
EC1V 0HB
United Kingdom

About

Overview

John Hatgioannides joined City University in 1996 and was instrumental in the launch by the City University Business School, subsequently became Bayes Business School (formerly Cass), and with the generous financial support of the Corporation of London, of the prestigious MSc in Mathematical Trading and Finance which he directs.

His teaching experience, research interests and professional expertise lie in the valuation and risk management of derivatives, credit risk modelling and management, yield curve modelling, trading strategies, financial engineering, energy markets and functioning of the global market economy and the Eurozone.

In 2006, he became one of the founders of the electronic scientific journal Quantitative and Qualitative Analysis in Social Sciences (QASS), www.qass.org.uk., in which he acts the Finance Editor.

In 2001 he was appointed as a Visiting Professor of Financial Engineering at the Athens University of Economics and Business (AUEB), Greecee, a post that he maintained up to 2009. In 2005 he was appointed as a Visiting Professor of Financial Engineering at the Athens Laboratory of Business Administation (ALBA), Greece, a post that runned up to 2010.

He is an active member of the International Association of Financial Engineers (IAFE) and the Futures and Options Association (FOA). He is a regular speaker at both academic and professional audiences, leader of a number of executive courses and has a long experience as a consultant to business organizations.

Qualifications

BSc Economics (Athens), MSc Economics (London) and PhD Finance (London).

Visiting appointments

  • Visiting Professor of Financial Engineering, Athens Laboratory of Business Administration (ALBA), Greece, Jan 2005 – Sep 2010
  • Visiting Professor of Financial Engineering, Athens University of Economics and Business (AUEB), Greece, Jan 2001 – Aug 2009

Memberships of professional organisations

  • International Association of Financial Engineers (IAFE)
  • International Association of Financial Engineers (IAFE)
  • Futures and Options Association (FOA)

Languages

Greek, Modern (1453-).

Expertise

Primary topics

  • Commodities
  • Fund Management
  • Risk Management
  • Financial Econometrics
  • Investment Management
  • Macroeconomics
  • Financial Engineering
  • Futures & Options
  • Economics
  • Mathematical Finance
  • Derivatives
  • Fixed-Income Investments
  • Capital Markets
  • Risk Modelling
  • Asset Valuation

Research

My research evolves around the LIBOR/SABR models and the pricing of interest rate-sensitive securities along with fixed income portfolio construction. Satistical arbitrage and the modelling of credit spreads and implied probabilities of default are also of interest. In parallel, I am working on the state of the global market economy and the economics of the Eurozone.

Research topics

The economics of the Eurozone

Warrant Economics and Call-Put Policy Options

Libor Market and SABR Models

Statistical Arbitrage Strategies

Fixed Income Portfolio Construction

Research students

Orestis Varmvakas

Attendance: Oct 2008 – present, full-time

Role: 1st Supervisor

Nickolaos Karouzakis

Attendance: Oct 2008 – present, full-time

Role: 1st Supervisor

Hugh Patience

Attendance: Oct 2008 – present, full-time

Role: 1st Supervisor

Attendance: Oct 2006 – Jun 2010, full-time

Role: 1st Supervisor

Attendance: Oct 2005 – Sep 2012, full-time

Role: 1st Supervisor

Attendance: Oct 2001 – Mar 2006, full-time

Role: 1st Supervisor

Attendance: Dec 2000 – May 2005, full-time

Role: 1st Supervisor

Attendance: Jan 2000 – Mar 2006, full-time

Role: 1st Supervisor

Attendance: May 1998 – May 2004, full-time

Role: 1st Supervisor

Attendance: Dec 1997 – Dec 2002, full-time

Role: 1st Supervisor

Attendance: Dec 1997 – Dec 2001, full-time

Role: 1st Supervisor

Attendance: Nov 1997 – May 2002, full-time

Role: 1st Supervisor

Attendance: Oct 1997 – May 2004, full-time

Role: 1st Supervisor

Publications

  1. Hatgioannides, J., Karanassou, M. and Sala, H. (2019). Should the Rich be Taxed More? The Fiscal Inequality Coefficient. Journal of Economic Issues, 53(3), pp. 879–887. doi:10.1080/00213624.2019.1646624.

    [publisher’s website]

Chapter

  1. Hatgioannides, Y.J., Karanasos, M., Karanassou, M., Koutroumpis, P. and Sala, H. (2017). The Greek Dra(ch)ma:5 Years of Austerity. The Three Economists' View and a Comment. In Bournakis, I., Christopoulos, D.K. and Tsoukis, C. (Eds.), Greece in the Maelstrom: On the Political Economy of the Crisis

Conference papers and proceedings (14)

  1. Hatgioannides, J. and Petropoulos, G. (2007). On Credit Spreads, Credit Spread Options and Implied Probabilities of Default. European Financial Management Association, 2007 Annual Meeting, June 27-30 Vienna, Austria.
  2. Hatgioannides, J. and Mesomeris, S. (2005). On the Predicatbility of Stock Indices in G7 Economies. Money, Macro and Finance 2005 Crete, Greece.
  3. Hatgioannides, J. and Marika Karanassou, M.K. (2004). A Yield Curve Model with Autoregressive and Random Walk Components. Multinational Finance Society Istanbul, Turkey.
  4. Hatgioannides, J. and Mesomeris, S. (2004). Profitability of Trading Rules: Evidence from Emerging Markets. Multinational Finance Society Istanbul, Turkey.
  5. Hatgioannides, J. and Mesomeris, S. (2003). On the Returns Generating Process and the Profitability of Technical Trading Rules in Emerging Markets. Australasian Finance Association Sydney, Australia.
  6. Hatgioannides, J., Karanassou, M. and Karanasos, M. (2004). Temporary and Transitory Components in a Continuous-Time Model of the Term Structure. World Scientific and Engineering Academy and Services (WSEAS) 2003, Vouliagmeni, Greece.
  7. Hatgioannides, J. (2004). The Term Structure of Interest Rates as a Gaussian Poisson Random Field. World Scentific and Engineering Academy and Services (WSEAS) 2003, Vouliagmeni, Greece.
  8. Barone-Adesi, G., Bermudez, A. and Hatgioannides, J. (2003). Two-factor convertible bonds valuation using the method of characteristics/finite elements. doi:10.1016/s0165-1889(02)00083-0
  9. Hatgioannides, J. and Mesomeris, S. (2002). Mean Reversion in Equity Prices: The International Evidence. Multinational Finance Society Paphos, Cyprus.
  10. Hatgioannides, J. (2002). Natural Gas and Electricity Derivatives. Quantitative Methods in Finance Cairns and Sydney, Australia.
  11. Bermudez, A. and Hatgioannides, J. (2002). Two-Factor Convertible Bonds Valuation Using the Method of Characteristics / Finite Elements. Bachelier Annual Congress Crete, Greece.
  12. Hatgioannides, J. (2001). A General Characteristics / Finite Element Approah for Solving Partial Differential Equations in Derivatives Pricing Models: The Case of Convertible Bonds. Annual SIAM-EMS Conference Berlin.
  13. Hatgioannides, J. (2001). Mean Reversion in Equity Prices: Evidence from International Stock Markets. Annual European Financial Management Conference Switzerland.
  14. Hatgioannides, J. (2000). Analytical Valuation of Asian Options Under a Jump-Diffusion Framework. Annual Conference in Quantitative Methods in Finance, QMF 2000 Sydney, Australia.

Journal articles (13)

  1. Karouzakis, N., Hatgioannides, J. and Andriosopoulos, K. (2018). Convexity adjustment for constant maturity swaps in a multi-curve framework. Annals of Operations Research, 266(1-2), pp. 159–181. doi:10.1007/s10479-017-2430-6.

    [publisher’s website]

  2. Hatgioannides, Y.J., Karanassou, M. and Sala, H. (2018). The Legacy of a Fractured Eurozone: The Greek Dra(ch)ma. Geoforum, 93, pp. 11–21. doi:10.1016/j.geoforum.2018.04.019.
  3. Hatgioannides, Y.J. and Karanassou, M. (2017). Warrant Economics, Call-Put Policy Options and the Great Recession. Review of Political Economy.
  4. Hatgioannides, J. and Liu, Y. (2010). A New Approach for the Dynamic Modelling of Credit Risk. Quantitative and Qualitative Analysis in Social Sciences (QASS), 4(2), pp. 29–48.
  5. Hatgioannides, J. and Petropoulos, G. (2009). A New Approach for an Integrated Credit and Market Risk Measurement of Interest Rate Swap Portfolios. Journal Of Financial Transformation, 25, pp. 107–112.
  6. Hatgioannides, J. and Mesomeris, S. (2007). On the returns generating process and the profitability of trading rules in emerging capital markets. Journal of International Money and Finance, 26(6), pp. 948–973. doi:10.1016/j.jimonfin.2007.05.005.

    [publisher’s website]

  7. Hatgioannides, J. and Bezerianos, G. (2006). Structural Models of Corporate Bond Pricing: A Comparative Analysis with Improvements. QASS, 6(1).
  8. Hatgioannides, J., Karanasos, M. and Karanassou, M. (2004). Permanent and Transitory Components in a Continuous-Time Model of the Term Structure. WSEAS Transactions on Business and Economics, 1(2).
  9. Hatgioannides, J. (2004). The Term Structure of Interest Rates as a Gaussian-Poisson Random Field. WSEAS Transactions on Business and Economics, 1(2), pp. 182–188.
  10. Hatgioannides, J. (2002). Modelling Credit Spreads. Derivatives Use, Trading and Regulation, 8, pp. 204–208.
  11. Hatgioannides, J. and Patience, H. (2002). On the Stochastic Evolution of Credit Spreads. Derivatives Use, Trading and Regulation, 8, pp. 241–254.
  12. Hatgioannides, Y.J. and Karouzakis, N. An International Examination of the Role of Default and Liquidity Risks in the Interbank Market. .
  13. Hatgioannides, Y.J., Karanassou, M. and Sala, H. Eurozone: A Neoliberal Project of Flawed Economics. .

Report

  1. Hatgioannides, J. and Karanassou, M. (2011). Warrant Economics, Call-Put Policy Options and the Fallacies of Economic Theory. Bonn, Germany: Institute for the Study of Labor.

Other (9)

  1. Hatgioannides, J. and Karouzakis, N. (2012). Pricing Interest Rate Derivatives using the Libor Market Model: Empirical Evidence using Libor and OIS Rates.
  2. Hatgioannides, J. and Hugh Patience, R.R. (2012). An Empirical Investigation of the Market Price of Volatility Risk in US $ IRS Swaptions under LMM-SABR Style Dynamics.
  3. Hatgioannides, J. and Vamvakas, O. (2012). Fixed Income Portfolio Construction: A Bayesian Approach for the Allocation of Risk Factors.
  4. Hatgioannides, J. and Mesomeris, S. (2011). Trading Dividend Initiations and Ommisions of UK Firms Using Statistical Arbitrage and the Implications for Market Efficiency.
  5. Hatgioannides, J. and Liu, Y. (2011). Dynamic Hedging Strategy for Portfolios of Credit Derivatives.
  6. Hatgioannides, J. and Mesomeris, S. (2008). On the Predictability of Stock Indices in G7 Economies.
  7. Hatgioannides, J. and Picone, D. (2007). Pricing and Rating CDOs of Equity Default Swaps with NGARCH-M Copulae.
  8. Hatgioannides, J. and Piccone, D. (2007). Structuring and rating cash-flow CDOs.
  9. Hatgioannides, J. and Petropoulos, G. (2007). On Credit Spreads, Credit Spread Options and Implied Probabilities of Default.

Education

Course Directorship

- 1996 - present, MSc Mathematical Trading & Finance, Director

Professional activities

Editorial activity

  1. Quantitative and Qualitative Analysis in Social Sciences (QASS), Editor, 2006 – present.

Events/conferences (17)

  1. Joint Annual Conference AHE, IIPPE, FAPE. (Conference) Paris, France (2012). Invited speaker.
    Paper: Warrant Economics, Call-Put Policy Options and the Fallacies of Economic Theory
    Author: Hatgioannides J
    Co-authors: Marika Karanassou
  2. EWGFM 50 years conference meeting. (Conference) Rome, Italy (2012).
    Paper: Convexity Adjustment for Constant Maturity Swaps in a Multi-Curve Framework
    Author: Hatgioannides J
    Co-authors: Nikolaos Karouzakis
  3. 2nd International Conference of the Financial Engineering and Banking Society. (Conference) London, England (2012).
    Paper: Convexity Adjustment for Constant Maturity Swaps in a Multi-Curve Framework
    Author: Hatgioannides J
    Co-authors: Nikolaos Karouzakis
  4. 4th International Conference in Applied Financial Economics, AFE / QASS 2007. (Conference) Samos, Greece (2007). Chair and Organising Committee.
  5. European Financial Management Association, 2007 Annual Meeting. (Conference) Vienna, Austria (2007).
    Paper: On Credit Spreads, Credit Spread Options and Implied Probabilities of Default
    Author: Hatgioannides J
    Co-authors: George Petropoulos
  6. Money, Macro and Finance 2005. (Conference) Crete, Greece (2005).
    Paper: On the Predicatbility of Stock Indices in G7 Economies
    Author: Hatgioannides J
    Co-authors: Spyros Mesomeris
  7. Multinational Finance Society. (Conference) Istanbul, Turkey (2004).
    Paper: A Yield Curve Model with Autoregressive and Random Walk Components
    Author: Hatgioannides J
    Co-authors: Marika Karanassou, Menelaos Karanasos
  8. Multinational Finance Society. (Conference) Istanbul, Turkey (2004).
    Paper: Profitability of Trading Rules: Evidence from Emerging Markets
    Author: Hatgioannides J
    Co-authors: Spyros Mesomeris
  9. World Scientific and Engineering Academy and Services (WSEAS). Vouliagmeni, Greece (2003).
    Paper: Temporary and Transitory Components in a Continuous-Time Model of the Term Structure
    Author: Hatgioannides J
    Co-authors: M. Karanassou and M.Karanasos
  10. World Scentific and Engineering Academy and Services (WSEAS). (Conference) Vouliagmeni, Greece (2003). Invited speaker.
    Paper: The Term Structure of Interest Rates as a Gaussian Poisson Random Field
    Author: Hatgioannides J
  11. Australasian Finance Association. (Conference) Sydney, Australia (2003).
    Paper: On the Returns Generating Process and the Profitability of Technical Trading Rules in Emerging Markets
    Author: Hatgioannides J
    Co-authors: Spyros Mesomeris
  12. Multinational Finance Society. (Conference) Paphos, Cyprus (2002).
    Paper: Mean Reversion in Equity Prices: The International Evidence
    Author: Hatgioannides J
    Co-authors: Spyros Mesomeris
  13. Quantitative Methods in Finance. Cairns and Sydney, Australia (2002).
    Paper: Natural Gas and Electricity Derivatives
  14. Bachelier Annual Congress. Crete, Greece (2002).
    Paper: Two-Factor Convertible Bonds Valuation Using the Method of Characteristics / Finite Elements
    Co-authors: Ana Bermudez
  15. Annual SIAM-EMS Conference. Berlin (2001).
    Paper: A General Characteristics / Finite Element Approah for Solving Partial Differential Equations in Derivatives Pricing Models: The Case of Convertible Bonds
  16. Annual European Financial Management Conference. Switzerland (2001).
    Paper: Mean Reversion in Equity Prices: Evidence from International Stock Markets
  17. Annual Conference in Quantitative Methods in Finance, QMF 2000. Sydney, Australia (2000).
    Paper: Analytical Valuation of Asian Options Under a Jump-Diffusion Framework