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 new professional Masters of Financial Insurance program in the Department of Statistical Sciences, and I am heavily involved in the Mathematical Finance Program at the University of Toronto.
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:
Research in Options – RiO 2016 Rio De Janeiro, Brazil, Nov 25 – Dec 1, 2016
Market Microstructure : Confronting many viewpoints, Paris, France, Dec 6 – Dec 9, 2016
Winter Workshop on Operations Research, Finance and Mathematics, Sapporo, Japan, Feb 20-24
Commodity and Energy Markets Annual Meeting, Oxford University, UK, June 14-15, 2017
|Algorithmic and High Frequency Trading,
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.