Associate Professor Jonathan Ziveyi
Associate Professor

Associate Professor Jonathan Ziveyi

  1. PhD in Finance, University of Technology, Sydney
  2. Graduate Certificate in University Learning and Teaching, UNSW Sydney
  3. BSc (Hons) in Applied Mathematics Degree (First Class Honours), National University of Science and Technology, Zimbabwe
Business School
School of Risk and Actuarial Studies

Jonathan is an Associate Investigator at the ARC Centre of Excellence in Population Ageing Research based at the UNSW Business School where he is an Associate Professor and Associate Head in the School of Risk and Actuarial Studies. He received his PhD in Quantitative Finance from the University of Technology Sydney where his thesis was on the evaluation of early exercise exotic options. His current research interests include longevity risk management, valuation of guarantees embedded in variable annuities and option pricing under stochastic volatility. His research output has been widely published in esteemed quantitative finance and actuarial journals such as Insurance: Mathematics and Economics, Quantitative Finance among others and has been presented at various international conferences.

 

Phone
+61 2 9065 8254
Location
UNSW Business School
  • Book Chapters | 2011
    Ziveyi J; Chiarella C; Ziogas A, 2011, 'Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms', in Chiarella C; Novikov A (ed.), Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen, Springer, New York, pp. 281 - 315, http://dx.doi.org/10.1007/978-3-642-03479-4_15
  • Journal articles | 2022
    Huang Z; Sherris M; Villegas AM; Ziveyi J, 2022, 'Modelling USA Age-Cohort Mortality: A Comparison of Multi-Factor Affine Mortality Models †', Risks, vol. 10, http://dx.doi.org/10.3390/risks10090183
    Journal articles | 2022
    Kang B; Shen Y; Zhu D; Ziveyi J, 2022, 'Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method', Insurance: Mathematics and Economics, vol. 105, pp. 96 - 127, http://dx.doi.org/10.1016/j.insmatheco.2022.03.012
    Journal articles | 2022
    Kessy SR; Sherris M; Villegas AM; Ziveyi J, 2022, 'Mortality forecasting using stacked regression ensembles', Scandinavian Actuarial Journal, vol. 2022, pp. 591 - 626, http://dx.doi.org/10.1080/03461238.2021.1999316
    Journal articles | 2022
    Olivieri A; Thirurajah S; Ziveyi J, 2022, 'TARGET VOLATILITY STRATEGIES FOR GROUP SELF-ANNUITY PORTFOLIOS', ASTIN Bulletin, vol. 52, pp. 591 - 617, http://dx.doi.org/10.1017/asb.2022.7
    Journal articles | 2022
    Sridaran D; Sherris M; Villegas AM; Ziveyi J, 2022, 'A GROUP REGULARISATION APPROACH FOR CONSTRUCTING GENERALISED AGE-PERIOD-COHORT MORTALITY PROJECTION MODELS', ASTIN Bulletin, vol. 52, pp. 247 - 289, http://dx.doi.org/10.1017/asb.2021.29
    Journal articles | 2021
    Gudkov N; Ziveyi J, 2021, 'Application of power series approximation techniques to valuation of European style options', Quantitative Finance, vol. 21, pp. 609 - 635, http://dx.doi.org/10.1080/14697688.2020.1809696
    Journal articles | 2021
    Zhou Y; Sherris M; Ziveyi J; Xu M, 2021, 'An innovative design of flexible, bequest-enhanced life annuity with natural hedging', Scandinavian Actuarial Journal, pp. 1 - 22, http://dx.doi.org/10.1080/03461238.2021.1997795
    Journal articles | 2020
    Sherris M; Xu Y; Ziveyi J, 2020, 'Cohort and value-based multi-country longevity risk management', Scandinavian Actuarial Journal, vol. 2020, pp. 650 - 676, http://dx.doi.org/10.1080/03461238.2019.1711450
    Journal articles | 2020
    Xu Y; Sherris M; Ziveyi J, 2020, 'Continuous-time multi-cohort mortality modelling with affine processes', Scandinavian Actuarial Journal, vol. 2020, pp. 526 - 552, http://dx.doi.org/10.1080/03461238.2019.1696223
    Journal articles | 2020
    Xu Y; Sherris M; Ziveyi J, 2020, 'Market Price of Longevity Risk for a Multi-Cohort Mortality Model With Application to Longevity Bond Option Pricing', Journal of Risk and Insurance, vol. 87, pp. 571 - 595, http://dx.doi.org/10.1111/jori.12273
    Journal articles | 2019
    Gudkov N; Ignatieva K; Ziveyi J, 2019, 'Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method', Quantitative Finance, vol. 19, pp. 501 - 518, http://dx.doi.org/10.1080/14697688.2018.1490806
    Journal articles | 2018
    Ignatieva K; Song A; Ziveyi J, 2018, 'Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality', ASTIN Bulletin, vol. 48, pp. 139 - 169, http://dx.doi.org/10.1017/asb.2017.23
    Journal articles | 2018
    Kang B; Ziveyi J, 2018, 'Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates', Insurance: Mathematics and Economics, vol. 79, pp. 43 - 56, http://dx.doi.org/10.1016/j.insmatheco.2017.12.012
    Journal articles | 2017
    Alonso Garcia J; Wood O; Ziveyi J, 2017, 'Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method', Quantitative Finance, vol. 18, pp. 1049 - 1075, http://dx.doi.org/10.1080/14697688.2017.1357832
    Journal articles | 2017
    Da Fonseca J; Ziveyi J, 2017, 'Valuing variable annuity guarantees on multiple assets', Scandinavian Actuarial Journal, vol. 2017, pp. 209 - 230, http://dx.doi.org/10.1080/03461238.2015.1102167
    Journal articles | 2016
    Da Fonseca J; Ignatieva K; Ziveyi J, 2016, 'Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market', Energy Economics, vol. 56, pp. 215 - 228, http://dx.doi.org/10.1016/j.eneco.2016.03.022
    Journal articles | 2016
    Ignatieva K; Song A; Ziveyi J, 2016, 'Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality', Insurance: Mathematics and Economics, vol. 70, pp. 286 - 300, http://dx.doi.org/10.1016/j.insmatheco.2016.06.014
    Journal articles | 2016
    Ziveyi JONATHAN; Sherris MICHAEL; Shen Y, 2016, 'Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options', Insurance: Mathematics and Economics, vol. 69, pp. 127 - 137, http://dx.doi.org/10.1016/j.insmatheco.2016.04.006
    Journal articles | 2013
    Ziveyi J; Blackburn C; Sherris M, 2013, 'Pricing European Options on Deferred Annuities', Insurance Mathematics and Economics, vol. 52, pp. 300 - 311, http://dx.doi.org/10.1016/j.insmatheco.2013.01.004
    Journal articles | 2013
    Ziveyi J; Chiarella C, 2013, 'American Option Pricing under Two Stochastic Volatility Processes', Applied Mathematics and Computation, vol. 224, pp. 283 - 310, http://dx.doi.org/10.1016/j.amc.2013.08.047
    Journal articles | 2013
    Ziveyi J; Chiarella C, 2013, 'Pricing American Options Written on Two Underlying Assets', Quantitative Finance, vol. 14, pp. 409 - 426, http://dx.doi.org/10.1080/14697688.2013.810811
  • Working Papers |
    Ziveyi J; Blackburn C; Sherris M, Pricing European Options on Deferred Insurance, 201202, http://dx.doi.org
  • Theses / Dissertations | 2013
    Blackburn CM, 2013, Longevity Risk Management and Securitisation in an Affine Mortality Modelling Framework, Craig Blackburn, Australia
    Preprints |
    Alonso-Garcca J; Wood O; Ziveyi J, Pricing and Hedging Guaranteed Minimum Withdrawal Benefits under a General LLvy Framework Using the COS Method, http://dx.doi.org/10.2139/ssrn.2914105
    Preprints |
    Alonso-García J; Sherris M; Thirurajah S; Ziveyi J, Taxation and Policyholder Behavior: The Case of Guaranteed Minimum Accumulation Benefits, http://dx.doi.org/10.2139/ssrn.3629101
    Preprints |
    Blackburn C; Sherris M; Ziveyi J, Pricing European Options on Deferred Insurance Contracts, http://dx.doi.org/10.2139/ssrn.2005461
    Preprints |
    Chiarella C; Ziveyi J, Method of Lines Approach for Pricing American Spread Options, http://dx.doi.org/10.2139/ssrn.2019353
    Preprints |
    Chiarella C; Ziveyi J, Two Stochastic Volatility Processes - American Option Pricing, http://dx.doi.org/10.2139/ssrn.2019348
    Preprints |
    Da Fonseca J; Ignatieva K; Ziveyi J, Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market, http://dx.doi.org/10.2139/ssrn.2577060
    Preprints |
    Huang Z; Sherris M; Villegas A; Ziveyi J, The Application of Affine Processes in Cohort Mortality Risk Models, http://dx.doi.org/10.2139/ssrn.3446924
    Preprints |
    Ignatieva K; Song A; Ziveyi J, Pricing and Hedging of Guaranteed Minimum Benefits Under Regime-Switching and Stochastic Mortality, http://dx.doi.org/10.2139/ssrn.2766927
    Preprints |
    KESSY S; Sherris M; Villegas A; Ziveyi J, Mortality Forecasting Using Stacked Regression Ensembles, http://dx.doi.org/10.2139/ssrn.3823511
    Preprints |
    Kang B; Ziveyi J, Optimal Surrender of Guaranteed Minimum Maturity Benefits Under Stochastic Volatility and Interest Rates, http://dx.doi.org/10.2139/ssrn.2789301
    Preprints |
    Shen Y; Sherris M; Ziveyi J, Valuation of Guaranteed Minimum Maturity Benefits in Variable Annuities with Surrender Options, http://dx.doi.org/10.2139/ssrn.2695265
    Preprints |
    Sherris M; Xu Y; Ziveyi J, Market Price of Longevity Risk for a Multi-Cohort Mortality Model with Application to Longevity Bond Option Pricing, http://dx.doi.org/10.2139/ssrn.3121520
    Preprints |
    SriDaram D; Sherris M; Villegas A; Ziveyi J, A Group Regularisation Approach for Constructing Generalised Age-Period-Cohort Mortality Projection Models, http://dx.doi.org/10.2139/ssrn.3790991
    Preprints |
    Xu Y; Sherris M; Ziveyi J, The Application of A ffine Processes in Multi-Cohort Mortality Model, http://dx.doi.org/10.2139/ssrn.2698757
    Preprints |
    Xu Y; Sherris M; Ziveyi J, The Application of Affine Processes in Multi-Cohort Mortality Model, http://dx.doi.org/10.2139/ssrn.2603524
    Preprints |
    Zhou Y; Sherris M; Ziveyi J; Xu M, Financial Engineering: A Flexible Longevity Bond to Manage Individual Longevity Risk, http://dx.doi.org/10.2139/ssrn.3580488
    Preprints |
    Ziveyi J; Chiarella C, Pricing American Options Written on Two Underlying Assets, http://dx.doi.org/10.2139/ssrn.2034176

  • 2021 – 2023    Australian Research Council Grant (AUD386,139)
  • 2017 – 2020    Society of Actuaries Grant (US$248,278)
  • 2017 – 2020    Australian Research Council Grant (AUD350,000)
  • 2017    UNSW Business School Linkage Seed Funding Grant (AUD40,000)
  • 2015    UNSW Business School Research Grant (AUD18,000)
  • 2013    NSW Australian School of Business Research Grant (AUD15,000)
  • 2013    Institute of Actuaries of Australia Research Grant (AUD15,000)
  • 2011    Institute of Actuaries of Australia Research Grant (AUD37,862)
  • 2011    UNSW Australian School of Business Special Research Grant (AUD8,000)

  • 2010    UTS Quantitative Finance Research Centre Travel Grant
  • 2009    American Finance Association Student Travel Grant
  • 2007    International Postgraduate Research Scholarship, University of Technology, Sydney
  • 2007    President’s Scholarship, University of Technology, Sydney
  • 2005    Vice Chancellor’s Prize for graduating with a First-Class Degree, National University of Science and Technology, Zimbabwe
  • 2003    NUST Book Prize for the best 2nd year student, National University of Science and Technology, Zimbabwe

My Research Supervision

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  • Yuxin Zhou,                     2021 - current, joint supervisor
  • Lingfeng Lyu,                  2021 – current, joint supervisor
  • Hang Nguyen,                 2019 – current, joint supervisor
  • Michelle Vhudzijena,       2019 – current, core supervisor
  • Salvatory Kessy,             2019 – current, core supervisor
  • Doreen Kabuche,            2018 – current, joint supervisor
  • Yulong Li,                        2016 – current: joint supervisor

 

My Teaching

  • ACTL3182 - Asset-Liability and Derivative Models
  • ACTL5109 - Financial Economics for Insurance and Superannuation