Nicholas Amuyedo

The program focusses on the application of mathematical and computational modelling techniques to the modelling, valuation and hedging of financial instruments.

Took modules involving advanced probability theory with applications to financial modelling, stochastic calculus and diffusion processes, computational finance, finance theory and derivative securities.


Dissertation:
Title: Structural Models for Corporate Bonds and Credit Yield Spreads

- Investigated the… Show more

The program focusses on the application of mathematical and computational modelling techniques to the modelling, valuation and hedging of financial instruments.

Took modules involving advanced probability theory with applications to financial modelling, stochastic calculus and diffusion processes, computational finance, finance theory and derivative securities.


Dissertation:
Title: Structural Models for Corporate Bonds and Credit Yield Spreads

- Investigated the qualitative behaviour of credit yield spread term structures generated by Merton-style structural models with stochastic interest rates

- Developed algorithms in C++ to calibrate the structural credit risk model with stochastic interest rates

- Developed algorithms in C++ to solve the boundary value problem for the bond prices, using the Alternating Direction Implicit, and the Explicit Finite Difference Schemes. Show less

Thesis Title:
Predicting the Limit Cycle Behaviour of Aeroelastic Systems with Discrete Nonlinearities

My research focussed on the development of efficient analytical techniques to predict the vibrations of aerodynamically loaded flexible air-vehicle structures with nonlinearly elastic supports. The major contributions of my research work were:

- The implementation of a novel mathematical modelling framework for the vibration of piecewise-linearly elastic air-vehicle… Show more

Thesis Title:
Predicting the Limit Cycle Behaviour of Aeroelastic Systems with Discrete Nonlinearities

My research focussed on the development of efficient analytical techniques to predict the vibrations of aerodynamically loaded flexible air-vehicle structures with nonlinearly elastic supports. The major contributions of my research work were:

- The implementation of a novel mathematical modelling framework for the vibration of piecewise-linearly elastic air-vehicle structures

- The development of a novel Fourier-based formulation to determine vibration amplitudes and frequencies of piecewise-linearly elastic air-vehicle structures

- The development and implementation of a Newton-Raphson based Numerical Continuation algorithm to efficiently construct bifurcation curves for vibration amplitudes and frequencies of arbitrary nonlinear air-vehicle structures Show less

Research Project:
A Genetic Algorithm Based Optimisation of an Internal Wing Structure

Modules in Aerodynamics, Aerospace Structures and Structural Dynamics, Aerospace Propulsion, Avionics, Engineering Mathematics and Engineering Management