Associate Professor Katja Ignatieva
Associate Professor

Associate Professor Katja Ignatieva

Business School
School of Risk and Actuarial Studies

Katja is a Sciential Associate Professor in the School of Risk and Actuarial Studies at UNSW Business School. She joined UNSW in November 2011 after completing her Co-tutelle PhD in Finance at Goethe University Frankfurt, Germany and Macquarie University Sydney. Prior to her PhD studies, Katja has completed MSc in Mathematics and Statistics from Humboldt University Berlin, Germany as well as Glasgow University, UK. Katja’s research interests lie in the area of quantitative finance, in particular, financial econometrics, derivative pricing and risk management. Katja performs empirical research in financial markets, commodity and energy markets, and insurance. Katja has published her research in the top tier international journals such as Journal of Business & Economic Statistics, Journal of Banking and Finance, Energy Economics and Insurance: Mathematics and Economics among others.

Phone
56810
  • Journal articles | 2022
    Ignatieva K; Wong P, 2022, 'Modelling high frequency crude oil dynamics using affine and non-affine jump–diffusion models', Energy Economics, vol. 108, pp. 105873 - 105873, http://dx.doi.org/10.1016/j.eneco.2022.105873
    Journal articles | 2021
    Alexeev V; Ignatieva K, 2021, 'Biases in variance of decomposed portfolio returns', International Review of Finance, vol. 21, pp. 1152 - 1178, http://dx.doi.org/10.1111/irfi.12319
    Journal articles | 2021
    Gudkov N; Ignatieva K, 2021, 'Electricity price modelling with stochastic volatility and jumps: An empirical investigation', Energy Economics, vol. 98, http://dx.doi.org/10.1016/j.eneco.2021.105260
    Journal articles | 2021
    Ignatieva K; Landsman Z, 2021, 'A new class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures', Insurance: Mathematics and Economics, vol. 101, pp. 437 - 465, http://dx.doi.org/10.1016/j.insmatheco.2021.08.011
    Journal articles | 2020
    Alexeev V; Ignatieva K; Liyanage T, 2020, 'Dependence Modelling in Insurance via Copulas with Skewed Generalised Hyperbolic Marginals', Studies in Nonlinear Dynamics & Econometrics, vol. 25, http://dx.doi.org/10.1515/snde-2018-0094
    Journal articles | 2020
    McCulloch L; Ignatieva K, 2020, 'Intra-day Electricity Demand and Temperature', ENERGY JOURNAL, vol. 41, pp. 161 - 181, http://dx.doi.org/10.5547/01956574.41.3.jmcc
    Journal articles | 2019
    Alai DH; Ignatieva K; Sherris M, 2019, 'The investigation of a forward-rate mortality framework', Risks, vol. 7, http://dx.doi.org/10.3390/risks7020061
    Journal articles | 2019
    Da Fonseca J; Ignatieva K, 2019, 'Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market', Journal of Banking and Finance, vol. 99, pp. 45 - 62, http://dx.doi.org/10.1016/j.jbankfin.2018.11.014
    Journal articles | 2019
    Fung MC; Ignatieva K; Sherris M, 2019, 'Managing systematic mortality risk in life annuities: An application of longevity derivatives', Risks, vol. 7, http://dx.doi.org/10.3390/risks7010002
    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 | 2019
    Ignatieva K; Landsman Z, 2019, 'Conditional tail risk measures for the skewed generalised hyperbolic family', Insurance: Mathematics and Economics, vol. 86, pp. 98 - 114, http://dx.doi.org/10.1016/j.insmatheco.2019.02.008
    Journal articles | 2018
    Baldeaux J; Ignatieva K; Platen E, 2018, 'Detecting money market bubbles', Journal of Banking and Finance, vol. 87, pp. 369 - 379, http://dx.doi.org/10.1016/j.jbankfin.2017.10.017
    Journal articles | 2018
    Da Fonseca J; Ignatieva K, 2018, 'Volatility spillovers and connectedness among credit default swap sector indexes', Applied Economics, vol. 50, pp. 3923 - 3936, http://dx.doi.org/10.1080/00036846.2018.1430344
    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 | 2017
    Ignatieva K; Ponomareva N, 2017, 'Commodity currencies and commodity prices: modelling static and time-varying dependence', Applied Economics, vol. 49, pp. 1491 - 1512, http://dx.doi.org/10.1080/00036846.2016.1221038
    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
    Ignatieva K; Trück S, 2016, 'Modeling spot price dependence in Australian electricity markets with applications to risk management', Computers and Operations Research, vol. 66, pp. 415 - 433, http://dx.doi.org/10.1016/j.cor.2015.07.019
    Journal articles | 2015
    Baldeaux J; Fung MC; Ignatieva K; Platen E, 2015, 'A Hybrid Model for Pricing and Hedging of Long-dated Bonds', Applied Mathematical Finance, vol. 22, pp. 366 - 398, http://dx.doi.org/10.1080/1350486X.2015.1050119
    Journal articles | 2015
    Fung MC; Ignatieva K; Sherris M, 2015, 'Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives', SSRN Electronic Journal, http://dx.doi.org/10.2139/ssrn.2576575
    Journal articles | 2015
    Gallagher DR; Ignatieva K; McCulloch J, 2015, 'Industry concentration, excess returns and innovation in Australia', Accounting and Finance, vol. 55, pp. 443 - 466, http://dx.doi.org/10.1111/acfi.12074
    Journal articles | 2015
    Ignatieva K; Landsman Z, 2015, 'Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions', Insurance: Mathematics and Economics, vol. 65, pp. 172 - 186, http://dx.doi.org/10.1016/j.insmatheco.2015.09.007
    Journal articles | 2015
    Ignatieva K; Rodrigues P; Seeger N, 2015, 'Empirical Analysis of Affine vs. Nonaffine Variance Specifications in Jump-Diffusion Models for Equity Indices', Journal of Business & Economic Statistics, vol. 33, pp. 68 - 75, http://dx.doi.org/10.1080/07350015.2014.922471
    Journal articles | 2014
    Baldeaux J; Ignatieva K; Platen E, 2014, 'A Tractable Model for Indices Approximating the Growth Optimal Portfolio', Studies In Nonlinear Dynamics and Econometrics, vol. 18, pp. 1 - 21, http://dx.doi.org/10.1515/snde-2012-0054
    Journal articles | 2014
    Fung MC; Ignatieva K; Sherris M, 2014, 'Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities', Insurance: Mathematics and Economics, vol. 58, pp. 103 - 115, http://dx.doi.org/10.1016/j.insmatheco.2014.06.010
    Journal articles | 2013
    Ignatieva K, 2013, 'A Nonparametric Model for Spot Price Dynamics and Pricing of Futures Contracts in Electricity Markets', Studies in Nonlinear Dynamics and Econometrics, vol. 18, pp. 483 - 505, http://dx.doi.org/10.1515/snde-2012-0001
    Journal articles | 2013
    Ignatieva K; Gallagher DR; McCulloch J, 2013, 'Industry Concentration, Excess Returns and Innovation in Australia', Accounting and Finance, vol. 55, pp. 443 - 446, http://dx.doi.org/10.1111/acfi.12074
    Journal articles | 2012
    Ignatieva K; Platen E, 2012, 'Estimating the diffusion coefficient function for a diversified world stock index', Computational Statistics and Data Analysis, vol. 56, pp. 1333 - 1349, http://dx.doi.org/10.1016/j.csda.2011.10.004
    Journal articles | 2011
    Ignatieva K; Platen E; Rendek R, 2011, 'Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversified World Stock Index', Journal of Statistical Theory and Practice, vol. 5, pp. 425 - 452, http://dx.doi.org/10.1080/15598608.2011.10412039
    Journal articles | 2010
    Ignatieva K; Platen E, 2010, 'Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae', Asia Pacific Financial Markets, vol. 17, pp. 261 - 302, http://dx.doi.org/10.1007/s10690-010-9116-2
  • Preprints | 2015
    Fung MC; Ignatieva K; Sherris M, 2015, Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives, http://dx.doi.org/10.48550/arxiv.1508.00090
    Preprints |
    Alai DH; Ignatieva K; Sherris M, A Multivariate Forward-Rate Mortality Framework, http://dx.doi.org/10.2139/ssrn.2539434
    Preprints |
    Alexeev VM; Ignatieva KM, Biases in Variance of Decomposed Portfolio Returns, http://dx.doi.org/10.2139/ssrn.3099335
    Preprints |
    Baldeaux JF; Fung MC; Ignatieva K; Platen E, A Hybrid Model for Equity Indices and Stochastic Interest Rates, http://dx.doi.org/10.2139/ssrn.2173273
    Preprints |
    Baldeaux JF; Fung MC; Ignatieva K; Platen E, A Hybrid Model for Pricing and Hedging of Long Dated Bonds, http://dx.doi.org/10.2139/ssrn.2577062
    Preprints |
    Baldeaux JF; Ignatieva K; Platen E, A Tractable Model for Indices Approximating the Growth Optimal Portfolio, http://dx.doi.org/10.2139/ssrn.2162787
    Preprints |
    Baldeaux JF; Ignatieva K; Platen E, Detecting Money Market Bubbles, http://dx.doi.org/10.2139/ssrn.2853051
    Preprints |
    Da Fonseca J; Ignatieva K, Jump Activity Analysis for Affine Jump-Diffusion Models: Evidences from the Commodity Market, http://dx.doi.org/10.2139/ssrn.2773076
    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 |
    Fung MC; Ignatieva K; Sherris M, Systematic Mortality Risk: An Analysis of Guaranteed Lifetime Withdrawal Benefits in Variable Annuities, http://dx.doi.org/10.2139/ssrn.2279274
    Preprints |
    Fung MC; Ignatieva K; Sherris M, Systematic Mortality Risk: An Analysis of Guaranteed Lifetime Withdrawal Benefits in Variable Annuities, http://dx.doi.org/10.2139/ssrn.2279283
    Preprints |
    Gallagher DR; Ignatieva K; McCulloch J, Industry Concentration and Excess Returns in Australian Equity Markets, http://dx.doi.org/10.2139/ssrn.2157466
    Preprints |
    Ignatieva K, A Nonparametric Model for Spot Price Dynamics and Pricing of Futures Contracts in Electricity Markets, http://dx.doi.org/10.2139/ssrn.2419398
    Preprints |
    Ignatieva K; Landsman Z, Conditional Tail Risk Measures for Skewed Generalised Hyperbolic Family, http://dx.doi.org/10.2139/ssrn.3047095
    Preprints |
    Ignatieva K; Landsman Z, Estimating the Tails of Loss Severity via Conditional Risk Measures for the Family of Symmetric Generalised Hyperbolic Family, http://dx.doi.org/10.2139/ssrn.2577063
    Preprints |
    Ignatieva K; Platen E, Estimating the Diffusion Coefficient Function for a Diversified World Stock Index, http://dx.doi.org/10.2139/ssrn.2157779
    Preprints |
    Ignatieva K; Platen E, Modelling Co-Movements and Tail Dependency in the International Stock Market Via Copulae, http://dx.doi.org/10.2139/ssrn.2170214
    Preprints |
    Ignatieva K; Platen E; Rendek R, Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index, http://dx.doi.org/10.2139/ssrn.2170183
    Preprints |
    Ignatieva K; Ponomareva N, Commodity Currencies and Commodity Prices: Modelling Static and Time-Varying Dependence, http://dx.doi.org/10.2139/ssrn.2853052
    Preprints |
    Ignatieva K; Rodrigues P; Seeger N, Empirical Analysis of Affine vs. Non-Affine Variance Specifications in Jump-Diffusion Models for Equity Indices, http://dx.doi.org/10.2139/ssrn.1344226
    Preprints |
    Ignatieva K; Rodrigues P; Seeger N, Stochastic Volatility and Jumps: Exponentially Affine Yes or No? An Empirical Analysis of S&P500 Dynamics, http://dx.doi.org/10.2139/ssrn.1363959
    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 |
    Ignatieva K; Trueck S, Modeling Spot Price Dependence in Australian Electricity Markets with Applications to Risk Management, http://dx.doi.org/10.2139/ssrn.1991452
    Preprints |
    McCulloch J; Ignatieva K, Forecasting High Frequency Intra-Day Electricity Demand Using Temperature, http://dx.doi.org/10.2139/ssrn.2958829