Conall O'Sullivan

  • FRE Boot Camp Instructor

Photo of Conall O'Sullivan

Affiliation: University College Dublin

Dr. Conall O'Sullivan's 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 AssociationQuantitative Methods for Finance and Computational Financial Econometrics

Conall has been the director of the M.Sc. in Quantitative Finance at UCD since 2008. He was a recipient of a Teaching Excellence Award from UCD Smurfit Business School in 2017. 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. 

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.

Book Chapters

Peer Reviewed Journals

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
  • 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
  • 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
  • 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                                                   

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
  • 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