I am a University Lecturer in Financial Mathematics, a member of
the Mathematical and
Computational Finance Group, and a Fellow of Lady
Margaret Hall
I obtained BSc Physics and PhD Theoretical Physics degrees from Imperial College, London, 1983--1989. This was followed by a Royal Society Postdoctoral Fellowship in Theoretical Physics at the Niels Bohr Institute, Copenhagen, 1989-1990. From 1990 to 1993 I was a trader of interest rate derivatives for Security Pacific Hoare Govett, London. I returned to academia as a Research Associate at Imperial College, 1993-1995. From 1996-2004 I was at Brunel University as a Senior Lecturer in Mathematical Finance.
In 2004-2005 I held a Leverhulme Research Fellowship, and in 2005 I participated in and co-organised seminars at the Isaac Newton Institute Programme in Developments in Quantitative Finance. In October 2005 I joined the Mathematical Institute at Oxford. I was principal organiser of the workshop Further Developments in Quantitative Finance, held at the International Centre for Mathematical Sciences, Edinburgh, in July 2007.
My research interests include: optimal investment and hedging in: incomplete markets, under transaction costs, with partial and/or inside information
Last modified January 21, 2011
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