Research

I work as part of the Mathematical Modelling in Finance and Economics Group in which we model financial systems with uncertain price and uncertain physical flow, leading to non-linear PDEs which must be solved numerically. I have investigated such systems in the world of mining, working with the international leading mining software company Gemcom, and also within the framework of Revenue Management systems, working with the local business Inventive IT. If you are interested in a PhD or want to know a bit more then head over to the Mathematical Finance page in MIMS.

Teaching

I currently teach MATH60082 Computational Finance to MSc students and the popular second year course MATH20912 Introduction to Financial Mathematics. I run introductory courses for the postgrad students on Unix, Latex and using the NAG library, and have in the past given courses on Fortran, C++, matlab and gnuplot. Notes, examples and lectures are all available in the teaching section of my website.

Personal

I've been living, studying and working in Manchester for over fifteen years, completing my BSc, MSc, PhD and post doc work in the department. My wife and I have two daughters, aged 5 and 2, so most of my spare time now revolves around trips to the park and birthday parties. I love playing and watching football but as the years catch up on me I've had to hang up my boots. I still enjoy going to watch Everton play if I can but not so much this year!

Calendar


MATH20912: Example Sheet 9

Bond Pricing: Examples to accompany lectures 17 to 18.

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MATH20912: Solutions Sheet 9

Solution to examples sheet 9.

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MATH60082: Lab Class 8

A demonstration of how to solve American options.

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MATH20912: 19. Asian Option

How to formulate the pricing equation for an exotic option.

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MATH20912: Work Sheet 8

Worksheet given out in week 9 examples classes.

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MATH20912: Example Sheet 8

Modified Black-Scholes equation: Examples to accompany lecture 16.

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Research: The optimal interaction between a hedge fund manager and investor

Ramirez, Hugo Eduardo, Paul Johnson, Peter Duck, Sydney Howell, "The optimal interaction between a hedge fund manager and investor", Applied Mathematical Finance, 2018, Pages 1-28.


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Research: Stochastic wind speed modelling for estimation of expected wind power output

Angeliki Loukatou, Sydney Howell, Paul Johnson, Peter Duck, "Stochastic wind speed modelling for estimation of expected wind power output", Applied Energy, Volume 228, 2018, Pages 1328-1340.

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