John Hatgioannides

John Hatgioannides joined City University in 1996 and was instrumental in the launch by the City University Business School, subsequently became Cass Business School, and with the generous financial support of the Corporation of London, of the prestigious MSc in Mathematical Trading and Finance which he directs.

His teaching experience, research interests and professional expertise lie in the valuation and risk management of derivatives, credit risk modelling and management, yield curve modelling, trading strategies, financial engineering, energy markets and functioning of the global market economy and the Eurozone.

In 2006, he became one of the founders of the electronic scientific journal Quantitative and Qualitative Analysis in Social Sciences (QASS), www.qass.org.uk., in which he acts the Finance Editor.

In 2001 he was appointed as a Visiting Professor of Financial Engineering at the Athens University of Economics and Business (AUEB), Greecee, a post that he maintained up to 2009. In 2005 he was appointed as a Visiting Professor of Financial Engineering at the Athens Laboratory of Business Administation (ALBA), Greece, a post that runned up to 2010.

He is an active member of the International Association of Financial Engineers (IAFE) and the Futures and Options Association (FOA). He is a regular speaker at both academic and professional audiences, leader of a number of executive courses and has a long experience as a consultant to business organizations.

Qualifications

BSc Economics (Athens), MSc Economics (London) and PhD Finance (London).

Visiting Appointments

• Visiting Professor of Financial Engineering, Athens Laboratory of Business Administration (ALBA), Greece, Jan 2005 – Sep 2010
• Visiting Professor of Financial Engineering, Athens University of Economics and Business (AUEB), Greece, Jan 2001 – Aug 2009

Memberships of Professional Organisations

• International Association of Financial Engineers (IAFE)
• International Association of Financial Engineers (IAFE)
• Futures and Options Association (FOA)

Languages

Greek, Modern (1453-).

Expertise

Primary Topics

• Commodities
• Fund Management
• Risk Management
• Financial Econometrics
• Investment Management
• Macroeconomics
• Financial Engineering
• Futures & OptionsEconomics
• Mathematical Finance
• Derivatives
• Fixed-Income Investments
• Capital Markets
• Risk Modelling
• Asset Valuation

Research

My research evolves around the LIBOR/SABR models and the pricing of interest rate-sensitive securities along with fixed income portfolio construction. Satistical arbitrage and the modelling of credit spreads and implied probabilities of default are also of interest. In parallel, I am working on the state of the global market economy and the economics of the Eurozone.

Research Topics

• The economics of the Eurozone
• Warrant Economics and Call-Put Policy Options
• Libor Market and SABR Models
• Statistical Arbitrage Strategies
• Fixed Income Portfolio Construction

Featured Publication

Hatgioannides, Y.J., Karanassou, M. and Sala, H. Should the Rich be Taxed More? The Fiscal Inequality Coefficient. Review of Income and Wealth .

Chapter

Hatgioannides, Y.J., Karanasos, M., Karanassou, M., Koutroumpis, P. and Sala, H. (2017). The Greek Dra(ch)ma:5 Years of Austerity. The Three Economists' View and a Comment. In Bournakis, I., Christopoulos, D.K. and Tsoukis, C. (Eds.), Greece in the Maelstrom: On the Political Economy of the Crisis

Journal Articles (14)

• Hatgioannides, J. and Liu, Y. (2010). A New Approach for the Dynamic Modelling of Credit Risk. Quantitative and Qualitative Analysis in Social Sciences (QASS), 4(2), pp. 29–48.
• Hatgioannides, J. and Petropoulos, G. (2009). A New Approach for an Integrated Credit and Market Risk Measurement of Interest Rate Swap Portfolios. Journal Of Financial Transformation, 25, pp. 107–112.
• Hatgioannides, J. and Mesomeris, S. (2007). On the returns generating process and the profitability of trading rules in emerging capital markets. Journal of International Money and Finance, 26(6), pp. 948–973. doi:10.1016/j.jimonfin.2007.05.005.
• Hatgioannides, J. and Bezerianos, G. (2006). Structural Models of Corporate Bond Pricing: A Comparative Analysis with Improvements. QASS, 6(1) .
• Hatgioannides, J., Karanasos, M. and Karanassou, M. (2004). Permanent and Transitory Components in a Continuous-Time Model of the Term Structure. WSEAS Transactions on Business and Economics, 1(2) .
• Hatgioannides, J. (2004). The Term Structure of Interest Rates as a Gaussian-Poisson Random Field. WSEAS Transactions on Business and Economics, 1(2), pp. 182–188.
• Hatgioannides, J. (2002). Modelling Credit Spreads. Derivatives Use, Trading and Regulation, 8, pp. 204–208.
• Hatgioannides, J. and Patience, H. (2002). On the Stochastic Evolution of Credit Spreads. Derivatives Use, Trading and Regulation, 8, pp. 241–254.
• Karouzakis, N., Hatgioannides, J. and Andriosopoulos, K. Convexity adjustment for constant maturity swaps in a multi-curve framework. Annals of Operations Research . doi:10.1007/s10479-017-2430-6.
• Hatgioannides, Y.J., Karanassou, M. and Sala, H. The Legacy of a Fractured Eurozone: The Greek Dra(ch)ma. .
• Hatgioannides, Y.J. and Karouzakis, N. An International Examination of the Role of Default and Liquidity Risks in the Interbank Market. .
• Hatgioannides, Y.J. and Karanassou, M. Warrant Economics, Call-Put Policy Options and the Great Recession. Review of Political Economy .
• Hatgioannides, Y.J., Karanassou, M. and Sala, H. Eurozone: A Neoliberal Project of Flawed Economics. .
• Hatgioannides, Y.J., Karanassou, M. and Sala, H. Should the Rich be Taxed More? The Fiscal Inequality Coefficient. Review of Income and Wealth

Course Directorship

• 1996 - present, MSc Mathematical Trading & Finance, Director

Editorial Activity

Quantitative and Qualitative Analysis in Social Sciences (QASS), Editor, 2006 – present.