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 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 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.
O'Sullivan, C., Papavassiliou, V.G. (2017) 'Measuring and Analyzing Liquidity and Volatility Dynamics in the Euro-Area Government Bond Market' In: S. Boubaker and D.K. Nguyen (eds). Handbook of Global Financial Markets: Transformations, Dependence, and Risk Spillovers. Europe: World Scientific Publishing. [Details]
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 [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. [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]
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]
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]