I joined the Department as a Reader in September 2013 from the Oxford-Man Institute of Quantitative Finance, University of Oxford. My past positions include ETH Zurich (RiskLab), Oxford (Nomura Research Fellowship), Princeton University (Assistant Professor, ORFE) and Warwick (Reader, WBS). I have spent six months at the Isaac Newton Institute in 2005 and was a co-organiser of the Quantitative Finance program held at the Fields Institute in 2010. I hold a PhD in Mathematics from the University of Bath.
My current research interests include: optimal stopping and optimal control problems, especially related with utility indifference pricing, and with applications to real options and corporate finance, executive stock options, and behavioural finance.
I am an associate editor at: SIAM Journal on Financial Mathematics (2013-), Mathematics and Financial Economics (2010-) and Review of Derivatives Research (2007-) and a past AE of Journal of Economic Dynamics and Control (2007-2013).
I am on the Council of the Bachelier Finance Society.
ST957 Financial Derivatives (Term 1 2018/19, 2017/18 & 2016/17)
Masters appplicants: We run a successful MSc Financial Mathematics joint between Statistics, Mathematics and WBS.
I am a member of the Bachelier Finance Society, SIAM, the American Economic Association, the American Finance Association, the European Economic Association, and the European Finance Association.
Tel: +44 (0)24 7657 4811
Fax: +44 (0)24 7652 4532
MSB Room 2.04, Department of Statistics, University of Warwick, Coventry CV4 7AL
On study leave in Term 2. Please email.