School of Management

Professor Emmanuel Haven

BA Management Studies Co-Director
MSc Finance Programme Leader

Telephone: +44 (0) 116 252 3955
Fax: +44 (0) 116 252 5515
Email: e.haven@le.ac.uk

Office: Room 612, Ken Edwards Building.
Office Hours: Please see timetable on office door.

Brief Biography

Prior to joining the School of Management, I was a member of the Finance Group at the School of Accounting, Finance and Management at the Essex Business School (University of Essex) from 2000 until 2007. I hold a BA and MA in Economics from McGill University (Montreal, Canada) and a PhD in Finance from the John Molson School of Business, Concordia University (Montreal, Canada).

I am a member of the ESRC (Economic & Social Research Council) Virtual Research College (January 1, 2009 until September 30, 2011).

I am Deputy Director of the Institute of Finance (University of Leicester).

Selected Publications (2009)

Stradi B., Haven E. (2009) The use of interval arithmetic in solving a nonlinear rational expectation based multiperiod output-inflation process model: the case of the IN/GB method. European Journal of Operational Research, in press.

Khrennikov A., Haven E. (2009) Quantum mechanics and violations of the sure-thing principle: the use of probability interference and other concepts. Journal of Mathematical Psychology, in press.

Ishio H., Haven E.(2009) Information in asset pricing: a wave function approach. Annalen der Physik, 18 (1), 33-44.

Haven E., C. Ma, H. Liu and L. Shen (2009) Revealing the implied risk-neutral MGF with the wavelet method. Journal of Economic Dynamics and Control, 33, 692-709.

Haven E. (2009) The Blackwell and Dubins Theorem and Rényi’s amount of information measure: some applications. Acta Applicandae Mathematicae, in press.

Selected Publications (2008)

Haven E. (2008) Private information and the 'information function': a survey of possible uses. Theory and Decision, 64 193-228.

Haven, E. (2008), The variation of financial arbitrage via the use of an information wave function. International Journal of Theoretical Physics; 47; 193-199.

Other Selected Publications

B. Stradi and Haven E. (2005) Optimal investment strategy via interval arithmetic. International Journal of Theoretical and Applied Finance 8, 185-206.

Haven E. (2002) Fuzzy interval and semi-orders. European Journal of Operational Research 139, 302-316.

Haven E. (2006) Pilot-wave theory and financial option pricing, International Journal of Theoretical Physics 44 (11); 1957-1962.

Haven E. (2005) Analytical solutions to the backward Kolmogorov PDE via an adiabatic approximation to the Schrodinger PDE. Journal of Mathematical Analysis and Applications 311, 439-444.

Haven E. (2005) Emergence of fuzzy preference for risk in a Birkhoff-von Neumann Logics environment. Fuzzy Sets and Systems 153(1), 29-43.

Haven E. (2005) The financial relevance of fuzzy stochastic dominance: a brief note. Fuzzy Sets and Systems 152 (3), 467-473.

Alexander D., Haven E. (2001) Demand heterogeneity and price volatility. Trends in Mathematics Series (Birkhauser Verlag) in Mathematical Finance; Kohlmann M.; Tang S. Eds; pp.40-48.

Selected Conference Proceedings

Haven E. (2009) Quantum Calculus (q-calculus) and option pricing: a brief introduction. Lecture Note in Computer Science (Springer); in press.

Haven E. (2009) The use of the information wave function in a drift dependent option price: a simple example. In: L. Accardi, G. Adenier, C. Fuchs, G. Jaeger, A. Yu. Khrennikov, J.-Å. Larsson, S. Stenholm (Eds.) Foundations of Probability and Physics-5, American Institute of Physics Conference Proceedings, Vol. 1101, New-York (2009); in press.

Khrennikov A. Yu, Haven E. (2007) Does probability interference exist in social science? in: Quantum Theory: Reconsideration of Foundations - 4, Vaxjo - Sweden; Guillaume Adenier, Andrei Yu. Khrennnikov, Christopher A. Fuchs Eds., AIP Conference Proceedings 889 (American Institute of Physics), 299-309.

Haven E. (2007) A Survey of Possible Uses of Quantum Mechanical Concepts in Financial Economics. In: Bruza P. D., Lawless W., van Rijsbergen C.J. "Keith", Sofge D. (eds), Proceedings of the Association for the Advancement of Artificial Intelligence (AAAI) Spring Symposium on Quantum Interaction (Held at Stanford University). March 27-29, 2007. AAAI Press, 166-169.

Haven E. (2006) Bohmian Mechanics in a macroscopic quantum system in: Quantum Theory: Reconsideration of Foundations - 3, Vaxjo - Sweden; Guillaume Adenier, Andrei Yu. Khrennnikov, Theo M. Nieuwenhuizen Eds., AIP Conference Proceedings 810 (American Institute of Physics), 330-335.

Funding

1. With Professor Bart D'Hooghe (Free University of Brussels, Belgium) and Professor Diederik Aerts (Free University of Brussels, Belgium), we were awarded Euro 236,000 (approximately £211,000 or $US346,000) for a four year project (2008-2011) from the Fund for Scientific Research (FWO, Government of Flanders, Belgium) http://www.fwo.be/en/index.aspx. This award will fund a project which aims to develop and test a general economic theory for financial option pricing based on the mathematical formalisms of quantum mechanics and to model a socio-economic system incorporating its emergent, contextual and non-deterministic aspects.

2. With Dr. Hiromu Ishio (Nagoya University, Japan) we were awarded £3,000 from The Daiwa Anglo-Japanese Foundation for the funding of a reciprocal visit between Japan and the UK "to collaborate on research linking quantum physics and finance leading to a new joint project in financial engineering for practical application". August 2008 - March 2009.

3. Funding received from the British Academy (funding for a two week research visit to the Institute for Economic Forecasting under the exchange programme between the Romanian Academy and the British Academy). Summer 2006.

4. Funding received (Euro 500) from the European Science Foundation for a week research visit to Bucharest, Romania. December 2004.

Teaching

• Research Methods (M.Sc. Finance).
• Investment and Portfolio Analysis (M.Sc. Finance).
• Derivative Securities (M.Sc. Finance)
• Financial Management (BA Management Studies)
• Economics (M.Sc. Actuarial Science (Dept. of Mathematics))

Other

- Visiting professor at the Doctoral School of Finance and Banking (DOFIN - Bucharest, Roumania (European Center of Excellence)) (http://www.dofin.ase.ro/teachingstaff.php).

- Associate editor for 'Economics - The Open-Access, Open-Assessment E-Journal' (Institut für Weltwirtschaft an der Universität Kiel (Kiel Institute for the World Economy)). Member of the editorial board of Advanced Studies in Theoretical Physics and the Romanian Journal of Economic Forecasting.

Reviewer for Mathematical Reviews (American Mathematical Society). See for instance: http://press.princeton.edu/titles/8171.html.

Ad hoc refereeing for Quantitative Finance (Taylor and Francis); European Journal of Operational Research (Elsevier); Oxford University Press; International Journal of Theoretical Physics (Springer); Theoretical and Mathematical Physics (Springer); Fuzzy Sets and Systems (Elsevier); Physica A (Elsevier); Reports on Mathematical Physics (Pergamon and Elsevier); Knowledge and Information Systems (Springer); IEEE Transactions on Systems, Man and Cybernetics; Journal of Physics: Conference Proceedings (Institute of Physics); Physics Letters A (Elsevier); The Economic and Social Research Council (ESRC); Journal of Multivariate Analysis (Elsevier); Information Sciences (Elsevier); International Journal of Theoretical and Applied Finance (WorldScientific); Imperial College Press; Physical Review E (American Physical Society).

Invited speaker at: Oxford University (Oxford Advanced Seminar on Informatic Structures (OASIS)); Aston University (NCRG Seminars; Wolfson Laboratory); University of Leicester (Applied Mathematics Seminar); Northern Arizona University (Department of Physics and Astronomy) Vaxjo University (Foundations of Probability and Physics - 5); Brunel University (Complexity Seminars).

Member of the programme committee of:

1. Spring Symposium on Quantum Interaction (March 2008); University of Oxford (http://ir.dcs.gla.ac.uk/qi2008);
2. Quantum Interaction (March 2009) ;Saarbruecken (http://www-ags.dfki.uni-sb.de/~klusch/qi2009/html/location.html).

Please visit the Quantum Decision Theory website: http://www.le.ac.uk/ulsm/research/qdt/index.html.

Presentation of papers at conferences such as: Foundations and Applications of Utility Risk and Decision Theory (FUR); Society for Computational Economics meetings; 4th INFINITI conference on International Finance; International Conference on Quantum Theory: Reconsideration of Foundations; 10th Annual Workshop on Economically Heterogenuous Interacting Agents (WEHIA); 35th European Mathematical Psychology Group Meeting; International Quantum Structures Association; European Science Foundation Meeting COST-Action P10 (2004); EURO conference; Sixteenth European Conference on Operations Research; CoFE Seminar on Mathematical Finance;.

Chaired conference sessions at a) Third Feynman Festival; University of Maryland; College Park - Washington-DC - USA; b)11th International Conference on Computing in Economics and Finance, Society for Computational Economics - Washington DC - US; c) the 10th Annual Workshop on Economically Heterogenuous Interacting Agents (WEHIA) Conference - University of Essex - UK; d) 3rd Int'l Next Sigma-Phi Conference in Statistical Physics - Crete..

Honorary member of the Scientific Council of the Romanian Academy - National Institute of Economic Research (Institute for Economic Forecasting) (See website).

PhD student (completed): Dr. Liya Shen. Currently lecturer at the School of Accounting, Finance and Management; University of Essex.

External examiner on thesises at the University of Manchester (Mathematics-PhD); University of Aston (M.Sc.); University of Vaxjo (Sweden) (Mathematics-Licentiatavhandling); University of St. Andrews (Finance-PhD).

Student award for best teacher "An Apple for the Teacher" in 2002 and 2003; University of Essex.