Home

Welcome to my homepage. Here you can find information about my research,  sample code, and the courses that I teach. My formal training was in Theoretical Physics, buy my current research interests span Mathematical Finance, Financial Engineering and Actuarial Science.

I am the current Director of the professional Masters of Financial Insurance program in the Department of Statistical Sciences, and I teach in the Mathematical Finance Program at the University of Toronto, as well as the PhD and MSc programs in the Department of Statistical Sciences.

As well, I am the current Chair (former Vice Chair; former Program Director) for the SIAM activity group in Financial Mathematics and Engineering (SIAG/FM&E), and I am an Associate Editor for the SIAM Journal on Financial Mathematics (SIFIN), the International Journal of Theoretical and Applied Finance (IJTAF), High Frequency, Journal of Risks and Argo. As well, I am a founding board member of the Commodities and Energy Markets Association.

I will be speaking at the following upcoming conferences:

Algorithmic and High Frequency Trading,

with Álvaro Cartea and Jose Penalva,

Cambridge University Press, now available!

Order here from CUP

Order here from Amazon.co.uk

Click here for the book website where you can find data, code and other materials related to the book.