Dr Jo Kennedy is an Associate Professor in Statistics having joined the department in 1998. She previously held positions at the University of Oxford and Bristol. In recent years her research activities have focused on interest rate derivatives with particular attention to the modelling requirements of market practitioners. She is co-author with Phil Hunt of Financial Derivatives in Theory and Practice, John Wiley & Sons, 2nd edition 2004. She gained her PhD in probability theory at the University of Cambridge having completed her undergraduate degree and MSc degrees at the University of Sydney.
Contact her at J.E.Kennedy@warwick.ac.uk
Gogala, J and Kennedy J (2020) A Cross-currency Markov-functional model with FX volatility skew, (working paper)
Kennedy, J (2019) Pricing collateralized derivatives with an arbitrary numeraire, Mathematical Finance. (In Press)
Gogala, J and Kennedy, J (2019) One-dimensional Markov-functional models driven by a non-Gaussian driver, Journal of Computational Finance, Vol. 23, Issue 3 (pp 1-39).[SSRN]
Gogala, J and Kennedy, J (2017) Classification of two-and three-factor time-homogeneous separable LMMs, Int. J. Theor. Appl. Finan. Volume 20, No. 02.[WRAP]
Kaisajuntti, L and Kennedy, J (2014) Stochastic volatility for interest rate derivatives, Quantitative Finance,Vol. 14, Issue 3 (pp 457-480).[SSRN]
Kennedy J and Pham D (2014) On the approximation of the SABR with mean reversion model: a probabilistic approach, Applied Mathematical Finance, Vol 21, Issue 5 (pp 451-481).
Kennedy, J and Pham, D (2013) Implications for Hedging of the choice of driving process for one-factor Markov-functional models, Int. J. Theor. Appl. Finan. Volume 16, No. 05.[SSRN]
Kaisajuntti, L and Kennedy, J (2013) An n-dimensional Markov-functional Interest Rate Model, Journal of Computational Finance, Volume 17, Issue 1.[SSRN]
Kennedy J, Mitra S, Pham D (2012) On the approximation of the SABR model: a probabilistic approach, Applied Mathematical Finance, Vol 19, Issue 6 (pp 553-586).
Hunt PJ and Kennedy JE (2009) The Longstaff-Schwartz Algorithm and Effective Model Dimensionality in “Modelling Interest Rates: Advances for Derivative Pricing”, edited by F Mercurio, Risk Books, (pp131-144). ISBN 9781906348137