I have a PhD in mathematics and statistics, supervised by Martin Herdegen and Gechun Liang. My research lies in the fields of mathematical finance and stochastic control. Specifically, my work aims to understand better the effects of transaction taxes in general equilibrium models when agents have heterogeneous beliefs about the market. Through such study, my research has expanded to include theoretical work related to ergodic stochastic control and investigations into the vague convergence of signed measures. I also actively participate in projects utilising machine learning techniques, as seen via my GitHub account.

Papers

• (with M. Herdegen and G. Liang) Transaction taxes in a general equilibrium model
  2023.
• (with M. Herdegen and G. Liang) On vague and weak convergence for signed measures
  2023. [arxiv]
• (with M. Herdegen and G. Liang) A Continuity Theorem for signed measures
  2023. [arxiv]

Education

• 2019-2023: PhD, Mathematics and Statistics, University of Warwick
• 2018-2019: MSc (Distinction), Mathematics and Statistics, University of Warwick
• 2014-2015: Erasmus year, Mathematics, TU-Berlin
• 2012-2017: MMATH (First), Mathematics, University of Warwick

Conference Talks

• June 2023: Transaction tax in a general equilibrium model, SIAM Conference in Financial Engineering, Philadelphia, Pennsylvania

• March 2023: Transaction tax in a general equilibrium model, German Probability and Statistics Days, Duisberg-Essen

• May 2022: A Tauberian Theorem for Generalised Signed Measures, Warwick Postgraduate Seminar, University of Warwick

• April 2022: A Tauberian Theorem for Generalised Signed Measures, London-Oxford-Warwick Financial Mathematics Workshop, University of Warwick
• July 2021: Transaction tax in a general equilibrium model, 10th General AMaMeF Conference, University of Padova /Online
• April 2021: Transaction tax in a general equilibrium model, British Applied Maths Colloquim, Glasgow/Online
• September 2020: Transaction tax in a general equilibrium model, European summer school in Financial Mathematics, University of Vienna
• November 2019: Transaction Costs, Boon or Bust?, SPAAM seminar series, University of Warwick
• May 2019: Summation by parts, MASDOC annual retreat, Borth

Teaching

2023/2024

• Lecturer for Fundamental Tools - Probability (week zero of Term 1)

2022/2023

• Lecturer for Fundamental Tools - Probability (week zero of Term 1)

2021/2022

• Teaching Assistant Stochastic Calculus for Finance - (Term 1)
• Lecturer for Fundamental Tools - Probability (week zero of Term 1)

2020/2021

• Teaching Assistant for Stochastic Processes (Term 2)

• Lecturer for Fundamental Tools - Probability (week zero of Term 1)
• Teaching Assistant for Stochastic Calculus for Finance (Term 1)

2019/2020

• Teaching Assistant for Measure TheoryLink opens in a new window (Term 1)
• Teaching Assistant for Functional Analysis 2 (Term 2)
• Teaching Assistant for Stochastic Processes (Term 2)

2017/2018

• First-year student supervisor

Other

• I'm was the secretary of the MASDOC Staff Student Liaison Committee (2019-2023)
• I was a student rep. for the Mathematics department's Athena Swan Committee (2020-2021).
• I'm was the chair of the Staff-Graduate Student Liaison Committee (2020-2021).

Email: o.d.shelley(at)warwick.ac.uk
Office: D2.08, Zeeman Building