About Rob Trevor
PhD MA (Princeton) BEc(Hons)(Sydney)
Rob has provided derivatives and risk management advice to a number of institutional clients (including Bankers Trust, BT Fund Management, Grant Samuel, Macquarie Bank and ING Direct) as well as Promontory Financial Group Australasia, the Australian Securities Commission and the Australian Stock Exchange.
He was also the Head of Quantitative Research (Hedge) for MIR Investment Management (2007-2011) and a member of their Investment Process Committee.
Rob is a founding member and currently Vice-President of the Q Group Australia and for many years a member of the Advisory Board of The Research Foundation of the CFA Institute. He joined the Centre following academic appointments at Princeton University and the Australian Graduate School of Management. Prior to that his industry experience included 15 years with the Reserve Bank of Australia. Rob has supervised eight PhD students to completion, two of whom were awarded the Vice-Chancellor’s Commendation for Academic Excellence.
- Measuring and managing changing risk
- Pricing and hedging GARCH and stochastic volatility options
- Hedging long term options
- Asset allocation with changing risk
- Modelling changing correlations
- Portfolio performance measurement
- Value and Momentum investment strategies
- Dynamic portfolio allocation
- Executive Option Schemes
Rob's research has been published in a number of academic journals, including the Journal of Finance, the Journal of Business & Economic Statistics and the Journal of Risk.