Associate Professor | Assistant Vice Chancellor (Research)
Faculty of Science
About
Abby obtained his undergraduate degree (first class honours) in Mathematics at University of Manchester Institute of Science and Technology (UMIST) in 2002. Abby passed his Phd in Mathematics in 2006 from Manchester University. Abby joined Universiti Brunei Darussalam (UBD) also in 2006 and became senior lecturer in Mathematics in the faculty of Science in 2012. Abby is also an active researcher in the area of Financial Mathematics and has published papers in International refereed journals. Abby has also presented papers in many International Conferences
Teaching Area
Financial Mathematics, Basic Calculus, Numerical Analysis, Discrete Mathematics
Research Interests
Modeling of financial derivaties using levy process, Risk minimisation technique for option pricing, Long memory process and its application in option pricing
Publications
- A. Tan, Long-memory volatility in derivative hedging, Physica A: Statistical Mechanics and its Applications 370 (2), 689-696
- SN Kumari, and A Tan, Characterization of Student’s T-Distribution with some Application to Finance. Mathematical Theory and Modeling 3 (10), 1-9
- SN Kumari, and A Tan, Review of Asset Return Distribution and its Application, Journal of Mathematics, Statistics and Operations Research (JMSOR) Vol 2 No 1
- S Fedotov, and A Tan, Long memory stochastic volatility in option pricing. International Journal of Theoretical and Applied Finance 8 (03), 381-392