researcher

Conall O'Sullivan

Lecturer/Assistant Professor

School Of Business
Graduate School of Business
Carysfort Avenue, Blackrock
Co. Dublin

Tel: +353 1 7168836
Email: conall.osullivan@ucd.ie

Biography

Dr Conall O'Sullivan is a lecturer in finance at the UCD Michael Smurfit Graduate Business School.

His primary research interests are in numerical methods for derivatives pricing, interest rate and inflation derivatives, fixed income markets and empirical derivatives modelling. Recent research has been published in Quantitative Finance, the International Journal of Theoretical and Applied Finance and the Journal of Computational Finance. He has presented papers at leading international conferences including the European Finance Association, Quantitative Methods for Finance and Computational Financial Econometrics

Conall has been the director of the M.Sc. in Quantitative Finance at UCD since 2008. He previously worked as a quantitative analyst and has consulted to a number of firms in the areas of equity derivatives pricing, interest rate and inflation derivatives modelling and multi-period portfolio modelling. 

Professional

         

Conference Contributions

Conall O'Sullivan (2011) Trinomial Tree Option Pricing with Negative Probabilities. [Oral Presentation], Numerical Methods for Finance, University of Limerick , 08-JUN-11 - 10-JUN-11.
Brian Healy and Conall O'Sullivan (2016) Are Cross-Sectional Differences in Abnormal Ex-Dividend Returns Priced by the Options Markets?¿. [Oral Presentation], Forecasting Financial Markets, Hannover , 25-MAY-17 - 27-MAY-17.
Cal Muckley, James O'Donovan and Conall O'Sullivan (2016) Does informed option trading before a merger deal announcement differ according to deal side?. [Oral Presentation], Multinational Finance Conference, Stockholm , 26-JUN-17 - 29-JUN-17.
Brian Healy and Conall O'Sullivan (2016) Are Cross-Sectional Differences in Abnormal Ex-Dividend Returns Priced by the Options Markets?. [Oral Presentation], Optionmetrics Conference, New York , 14-NOV-17 - 14-NOV-17.
Conall O'Sullivan, Gregory Connor, Brian O'Kelly (2013) Information Aggregation in the Libor Rate-Setting Process and the Effects of False Reporting. [Oral Presentation], Computational Financial Econometrics,, London , 14-DEC-13 - 16-DEC-13.
Conall O'Sullivan, Gregory Connor, Brian O'Kelly (2014) Information Aggregation in the Libor Rate-Setting Process and the Effects of False Reporting. [Oral Presentation], Journal of Banking and Finance 1st Conference on Recent Developments in Financial Econometrics and Applications, Melbourne, Australia , 04-DEC-15 - 05-DEC-15.
Conall O'Sullivan, Valerio Poti, Akhtar Siddique (2014) GMM-Based Tests of Efficient Market Learning. [Oral Presentation], Journal of Banking and Finance 1st Conference on Recent Developments in Financial Econometrics and Applications, Melbourne, Australio , 04-DEC-14 - 05-DEC-14.
Conall O'Sullivan, Stephen O'Sullivan; (2009) On the Acceleration of Explicit Finite Difference Methods for Option Pricing under Stochastic Volatility. [International Refereed Conference], Quantitative Methods in Finance, Sydney, Australia , 16-DEC-09 - 19-DEC-09.
O'Sullivan, Conall and O'Sullivan, Stephen; (2008) On the Acceleration of Explicit Finite Difference Methods for Option Pricing under Stochastic Volatility. [International Refereed Conference], Bachelier Finance Society, 5th World Congress,, London , 15-JUL-08 - 19-JUL-08.
O'Sullivan, C.; (2005) Path Dependent Option Pricing under Levy Processes. [International Refereed Conference], European Finance Association, * , 24-AUG-05 - 27-AUG-05.
O'Sullivan, C. ; (2005) Bermudan Option Pricing under Levy Processes. [International Refereed Conference], Global Finance Conference, * , 01-JAN-05.
O'Sullivan, C. ; (2006) Examining Parameter Uncertainty in Interest Rate Models. [International Refereed Conference], International Conference in Numerical Methods in Finance, * , 07-JUN-06 - 09-JUN-06.
O'Sullivan, C. ; (2006) Levy Processes in Finance. [National Refereed Conference Paper], UK and Ireland Actuarial Teachers' and Researchers' Conference, * , 01-JAN-06.
O'Sullivan, C. and M. Moloney. ; (2007) The variance gamma self-decomposable process in actuarial modeling. [International Refereed Conference], International Congress in Insurance, Mathematics and Economics, * , 10-JUL-07 - 12-JUL-07.
O'Sullivan, C.; (2006) Modeling the Dynamics of the FTSE 100 Implied Volatility Surface. [Invited Oral Presentation], Seminar, University College London , 01-DEC-06.
O'Sullivan, C.; (2006) Estimating Interest Rate Models using Kalman Filters. [Invited Oral Presentation], Seminar, Department of Experimental Physics, University College Dublin , 01-APR-06.
   

Education

Year 1999 Institution: University College Dublin
Qualification: BSc Subject:
Year 2004 Institution: University College Dublin
Qualification: PhD Subject:
 

Consultancy

Client: Financial Strategy Group, Mercer UK
     

Publications

 

Book Chapters

Fan, K., O'Sullivan, C., Brabazon, A., O'Neill, M. and McGarraghy, S. ; (2008) 'Calibration of the VGSSD Option Pricing Model using a Quantum Inspired Evolutionary Algorithm' In: Nedjah, N., Coelho, L. and Mourelle, L (eds). X. Berlin: Springer. , pp.133-153 Available Online [Details]
Fan, K, O'Sullivan, C., Brabazon, A. and O'Neill, M. ; (2008) 'Non-linear Principal Component Analysis of the Implied Volatility Smile using a Quantum-inspred Evolutionary Algorithm' In: Brabazon, A. and O¿Neill, M (eds). Natural Computation in Computational Finance. Berlin: Springer. , pp.89-108 [Details]
Fan K., O'Sullivan C., Brabazon A., O'Neill M.; (2008) 'Non-linear Principal Component Analysis of the Implied Volatility Smile Using a Quantum-inspired Evolutionary Algorithm' In: Brabazon, A., O'Neill, M (eds). Natural Computing in Computational Finance. Berlin/Heidelberg: Springer. , pp.89-108 [Details]
O'Sullivan, C.; (2007) 'Examining Parameter Uncertainty in Interest Rate Models' In: O'Sullivan, C.; (eds). Numerical Methods for Finance. *: Chapman & Hall/Crc Financial Mathematics Series. [Details]
 

Peer Reviewed Journals

O'Sullivan, Conall and Stephen O'Sullivan (2016) 'Accelerated Trinomial Trees applied to American Basket Options and American Options under the Bates Model'. Journal of Computational Finance, 19 (4). [Details]
Yin, Z., O'Sullivan, C. and Brabazon, A. (2016) 'An Analysis of the Performance of Genetic Programming for Realised Volatility Forecasting'. Journal of Artificial Intelligence and Soft Computing Research, 6 (3):155-172. [Details]
O'Sullivan, Conall and Stephen O'Sullivan (2013) 'Pricing European and American Options under Heston's Stochastic Volatility Model with Accelerated Explicit Finite Differencing Methods'. International Journal of Theoretical and Applied Finance, . [Details]
Fan, K., Brabazon, A., O'Sullivan, C. and O'Neill, M.; (2009) 'A comparative study of the canonical genetic algorithm and a real-valued quantum-inspired evolutionary algorithm'. International Journal of Intelligent Computing and Cybernetics, 2 (3):494-512. Available Online [Details]
O'Sullivan, Stephen and O'Sullivan, Conall; (2011) 'On the Acceleration of Explicit Finite Difference Methods for Option Pricing'. Quantitative Finance, 11 (8):1177-1191. [Details]
 

Conference Publications

Cui, W., Brabazon, A., O'Sullivan, C. and O'Neill, M.; (2009) Evolutionary Computation and Trade Execution 22nd Annual Irish Accounting and Finance Association Conference UCD, , 07-MAY-09 - 08-MAY-09 [Details]
Yin, Z., O'Sullivan, C. and Brabazon, A. (2013) Empirical Analysis of Delta Hedging Irish Accounting and Finance Association Annual Conference (IAFA) 2013 Institute of Technology, Tallaght, , 23-MAY-13 - 24-MAY-13 [Details]
Yin, Z.; Brabazon, A.; O'Sullivan, C.; O'Neill, M. (2015) A Genetic Programming Approach for Delta Hedging IEEE Congress on Evolutionary Computation Sendai, Japan, , 25-MAY-15 - 28-MAY-15 , pp.3312-3318 [Details]
Yin, Z.; Brabazon, A.; O'Sullivan, C.; O'Neill, M. (2015) Realised Volatility Forecasting: A Genetic Programming Approach IEEE Congress on Evolutionary Computation Sendai, Japan, , 25-MAY-15 - 28-MAY-15 , pp.3305-3311 [Details]
                                         

Working Paper

O 'Sullivan, C. and M. Moloney. ; (2007) Modeling long term returns and option prices with continuous time regime switching Levy processes. Working Paper [Details]
Bredin, D. and C. O'Sullivan.; (2007) The response of the UK yield curve to UK monetary policy shocks - a latent factor analysis. Working Paper [Details]
                                                                     

Research

Research Interests

My area of research comes under the broad heading of quantitative finance. Specifically I have done research on numerical methods for derivatives pricing, derivatives pricing under Levy processes, interest rate modelling and fixed income derivatives, and the application of natural computing algorithms in quantitative finance.


     

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