DR Thijs van der Heijden

DR Thijs van der Heijden

Positions

  • Financial Economics (Derivative pricing, market microstructure, asset pricing)

Overview

OverviewText1

  • I am a Senior Lecturer in the Department of Finance at the University of Melbourne. I hold a PhD degree in economics from Tilburg University www.tilburguniversity.edu (the Netherlands) and a Master’s degree in Econometrics, with a specialisation in Quantitative Finance and Actuarial Sciences, also from Tilburg University. 

    My research interests are empirical asset pricing, market microstructure, and derivatives. I am particularly interested in the links between markets for an underlying asset and its derivatives. I have presented my work at various places and conferences, including the Society for Financial Studies Cavalcade, the Winter Meetings of the Econometric Society and the Society for Financial Econometrics Annual Meeting. My work has been published in the Journal of Econometrics. You can find my current working papers on my SSRN author page (http://ssrn.com/author=1637975)

    I teach various courses on Derivatives, Fixed Income Securities, and Investments at the undergraduate, honours, and postgraduate level. In my teaching, I use examples from my research and my experience working at an asset management company to illustrate the practical implications of theoretical concepts. 

    Computer code and data
    Data, MATLAB code and tables with hypergeometric function values as used in the paper on the Dynamic Mixed Hitting-Time model (http://dx.doi.org/10.1016/j.jeconom.2014.01.009) are available for download here https://dl.dropboxusercontent.com/u/4075897/DMHT_Code.7z (approximately 80MB because of the function value tables). 

    Dynamically reproducible research
    I think this is a wonderful and very promising concept. I am transferring my own work to a set up combining R (http://cran.r-project.org/) and TeXstudio, and have written an instal

       

Publications

Awards

Education and training

  • PhD, Tilburg University 2011
  • MSC, Tilburg University 2006

Linkages

Supervision

Available for supervision

  • N

Supervision Statement

  • THE DEPARTMENT OF FINANCE DOES NOT GIVE CONSENT TO SUPERVISION UNTIL ENROLMENT AND SUBSEQUENT CONFIRMATION FOLLOWING RIGOROUS COURSEWORK. DO NOT EMAIL MEMBERS OF STAFF SEEKING SUPERVISION.