Ioannis Kyriakou

Ioannis is a Senior Lecturer in Actuarial Finance at Cass Business School. He holds a BSc in Actuarial Science from Cass Business School and MSc in Risk and Stochastics from London School of Economics and Political Science. He completed his PhD in Finance at Cass, and joined as a Lecturer at the Faculty of Actuarial Science and Insurance in 2011. In 2016, he was also appointed as a Visiting Professor at the Università del Piemonte Orientale. Previously he worked for Lloyd’s Treasury and Investment Management on Lloyd’s Investment Risk Model for measuring the market and credit risks under the Solvency II Directive.

His teaching duties relate to numerical methods with applications in finance, financial derivatives, probability and statistics. In 2014, Ioannis was awarded a Cass Business School prize as a recognition of his outstanding contribution to teaching and learning. His research agenda encompasses stochastic asset modelling and valuation of exotic derivatives in freight and energy commodity markets. He is co-chair of the Quantitative Finance and Risk Analysis Symposium. As part of his continued engagement with Lloyd’s, he has consulted occasionally for Lloyd’s Investment Risk Model. In 2013, he joined The Actuarial Network at Cass as an Executive Advisor. Ioannis has been the Admissions Tutor for the Cass MSc in Actuarial Science, which is accredited by the Institute and Faculty of Actuaries, and, since 2016, the Course Director. He holds the Diploma in Actuarial Techniques, is an affiliate member of the IFoA and acts as an Independent Examiner for the IFoA at several accredited universities.

Qualifications

Diploma in Actuarial Techniques, Introductory Certificate in Teaching in Higher Education, BSc (Cass, City), MSc (LSE) and PhD (Cass, City).

Employment

Visiting Professor, Università del Piemonte Orientale, 2016 – present

Memberships of Professional Organisations

• Affiliate member, Institute and Faculty of Actuaries, 2016 – present
• Associate Fellow, Higher Education Academy, 2009 – present

Awards

• Cass Business School (2014) Prize for Excellence in Teaching and Learning
• Dimitris N. Chorafas Foundation (2009) Prize for outstanding PhD research work
• EPSRC (Engineering and Physical Sciences Research Council) (2008) Doctoral Training Award

Languages

Greek, Modern (1453-).

Expertise

Primary Topics

• Commodities
• Mathematical & Quantitative Methods
• Simulation Methods
• Asset Pricing
• Mathematical Finance
• Financial Markets
• Actuarial Science
• Quantitative Finance
• Derivatives
• Stochastic Processes

Research Topics

Stochastic Asset Modelling

Exotic Detivatives

Freight Market and Energy Commodity Markets

Numerical Methods and Computational Finance

Transform Techniques and Monte Carlo Simulation Investor Sentiment

Real Assets

Book

Kyriakou, I. (2015). Introduction to Probability and Statistics. McGraw-Hill Education. ISBN 978-0-07-717765-2

Journal Articles (16)

• Kyriakou, I., Pouliasis, P.K., Papapostolou, N.C. and Andriosopoulos, K. (2017). Freight Derivatives Pricing for Decoupled Mean-Reverting Diffusion and Jumps. Transportation Research Part E: Logistics and Transportation Review, 108, pp. 80–96. doi:10.1016/j.tre.2017.09.002.
• Pouliasis, P.K., Kyriakou, I. and Papapostolou, N.C. (2017). On equity risk prediction and tail spillovers. International Journal of Finance and Economics, 22(4), pp. 379–393. doi:10.1002/ijfe.1594.
• Papapostolou, N.C., Pouliasis, P.K. and Kyriakou, I. (2017). Herd behavior in the drybulk market: an empirical analysis of the decision to invest in new and retire existing fleet capacity. Transportation Research Part E: Logistics and Transportation Review, 104, pp. 36–51. doi:10.1016/j.tre.2017.05.007.
• Ballotta, L., Gerrard, R. and Kyriakou, I. (2017). Hedging of Asian options under exponential Lévy models: computation and performance. European Journal of Finance, 23(4), pp. 297–323. doi:10.1080/1351847X.2015.1066694.
• Kyriakou, I., Pouliasis, P.K. and Papapostolou, N.C. (2016). Jumps and stochastic volatility in crude oil prices and advances in average option pricing. Quantitative Finance, 16(12), pp. 1859–1873. doi:10.1080/14697688.2016.1211798.
• Papapostolou, N.C., Pouliasis, P.K., Nomikos, N.K. and Kyriakou, I. (2016). Shipping investor sentiment and international stock return predictability. Transportation Research Part E: Logistics and Transportation Review, 96, pp. 81–94. doi:10.1016/j.tre.2016.10.006.
• Kyriakou, I., Nomikos, N.K., Papapostolou, N.C. and Pouliasis, P.K. (2016). Affine-Structure Models and the Pricing of Energy Commodity Derivatives. European Financial Management, 22(5), pp. 853–881. doi:10.1111/eufm.12071.
• Fusai, G. and Kyriakou, I. (2016). General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options. Mathematics of Operations Research, 41(2), pp. 531–559. doi:10.1287/moor.2015.0739.
• Ballotta, L. and Kyriakou, I. (2015). Convertible bond valuation in a jump diffusion setting with stochastic interest rates. Quantitative Finance, 15(1), pp. 115–129. doi:10.1080/14697688.2014.935464.
• Kyriakou, I. (2015). Number crunching (2015). Finance & Management Magazine, (Issue 234, July/August 2015), pp. 12–13. [publisher’s website]
• Ballotta, L. and Kyriakou, I. (2014). Monte Carlo Simulation of the CGMY Process and Option Pricing. Journal of Futures Markets, 34(12), pp. 1095–1121. doi:10.1002/fut.21647.
• Papapostolou, N.C., Nomikos, N.K., Pouliasis, P.K. and Kyriakou, I. (2014). Investor sentiment for real assets: The case of dry bulk shipping market. Review of Finance, 18(4), pp. 1507–1539. doi:10.1093/rof/rft037.
• Papapostolou, N.C., Nomikos, N.K., Pouliasis, P.K. and Kyriakou, I. (2013). Sentiment index guides asset play (2013). Lloyd's List .
• Nomikos, N.K., Kyriakou, I., Papapostolou, N.C. and Pouliasis, P.K. (2013). Freight options: Price modelling and empirical analysis. Transportation Research Part E: Logistics and Transportation Review, 51(1), pp. 82–94. doi:10.1016/j.tre.2012.12.001.
• Černý, A. and Kyriakou, I. (2011). An improved convolution algorithm for discretely sampled Asian options. Quantitative Finance, 11(3), pp. 381–389. doi:10.1080/14697680903397667.
• Kyriakou, I., Pouliasis, P.K., Papapostolou, N.C. and Nomikos, N.K. Income uncertainty and the decision to invest in bulk shipping. European Financial Management . doi:10.1111/eufm.12132.

Course Directorship

• 2016 - present, MSc Actuarial Science, Director
• 2014 - 2016, MSc Actuarial Science, Admissions Tutor

Editorial Activities (26)

• INFORMS Journal on Computing, Referee, 2017 – present.
• Annals of Operations Research, Special Co-editor, 2017 – present.
• China Finance Review International, Special Co-editor, 2017 – present.
• ASCE-ASME Journal of Risk and Uncertainty in Engineering Systems, Special Co-editor, 2017 – present.
• Financial Innovation, Referee, 2017 – present.
• European Financial Management, Referee, 2017 – present.
• Annals of Operations Research, Referee, 2016 – present.
• Applied Mathematics and Computation, Referee, 2016 – present.
• European Journal of Operational Research, Referee, 2016 – present.
• Finance Research Letters, Referee, 2016 – present.
• Financial Analysts Journal, Referee, 2016 – present.
• Operations Research, Referee, 2016 – present.
• International Symposium on Mathematical Sciences and Computing, Referee, 2015.
• Journal of Systems Science and Systems Engineering, Referee, 2015 – present.
• Mathematics of Operations Research, Referee, 2015 – present.
• Quantitative Finance, Referee, 2015 – present.
• Palgrave Macmillan Higher Education, Book Reviews Editor, 2014 – present.
• Journal of Banking and Finance, Referee, 2014 – present.
• Journal of Risk Finance, Referee, 2014 – present.
• International Journal of Financial Engineering and Risk Management, Special Co-editor, 2013.
• The Engineering Economist, Referee, 2013 – present.
• Applied Mathematical Finance, Referee, 2012 – present.
• International Journal of Financial Engineering and Risk Management, Referee, 2012 – present.
• Review of Derivatives Research, Referee, 2012 – present.
• SIAM Journal on Financial Mathematics, Referee, 2012 – present.
• Journal of Computational Finance, Referee, 2010 – present.