Stephen Taylor has held a Chair in Finance at Lancaster University Management School since 1993 and has twice been Head of the Department of Accounting and Finance. His degrees are in Mathematics and Operational Research. He teaches Financial Econometrics at Lancaster and in recent years has been a visiting lecturer at universities in Norway, China, Australia and New Zealand.
His research into asset prices, for equities, currencies and commodities, has been published in two books. His seminal work on stochastic volatility and GARCH models is incorporated in the highly-cited book on Modelling Financial Time Series (Wiley 1986 & World Scientific 2008). More recent research, including coverage of derivative markets, is included in the 500+ pages of Asset Price Dynamics, Volatility, and Prediction (Princeton University Press, 2005 & 2007).
He is also the author of more than 50 research papers, on volatility, derivatives, high-frequency prices and other topics, published in Mathematical Finance, Journal of Econometrics, Journal of Financial and Quantitative Analysis and many other journals. Stephen’s most recent research interests are firstly, density forecasts for asset prices obtained from option prices and secondly, the jump intensity of asset prices inferred from high-frequency prices.