Gustav Dyhr
PhD fellow
Department(s)
Department of Finance
Mathematics
Statistics
Interest rates
Securities
Big data
Machine learning
Primary research areas
Asset Pricing of Derivatives
How derivative contracts are priced, but also what drives the prices and the resulting risk premiums.
Fixed Income and Interest Rates
I seek to disentangle risk premiums and market inefficiencies from the cost of money.
Data, Statistics and Machine Learning
Complex models require high-dimensional data, and high-dimensional data requires robust methods.
I read the future in the price of risk
Financial prices tell us about the future, but not cleanly. A price mixes what investors expect with what they pay for hedging risks. Derivatives especially can reveal expectations about uncertainty, asymmetry and tail risk. I study how risk-taking moves prices, and how to read those prices correctly.
The Fixed Income market is the world’s largest market and revolves around trading cash flows across time. The implications of interest rates touch every other financial and even non-financial market, yet the market is opaque for outsiders.
My research is built on large datasets and the careful use of mathematical and statistical models.
My research helps:
- explain how trading moves prices
- show how market frictions create risk premiums
- show what markets really expect about the future