Timothy Johnson — Heriot-Watt University

Personal profile

Research interests

My broad interests are in the field of optimal decision making under uncertainty, my research focuses on optimal stochastic control. I also have an interest in pricing and risk-management of energy derivatives. Specifically I do research in the field of applied probability on optimal stochastic control, focusing on stopping problems in a generalised setting. The most obvious application of this work is in the pricing of American options, with complex payoff functions, or in the area of so-called ‘real options’. I have a subsidiary interest in the historical development of financial mathematics and the impact finance has had on the development of science.

Biography

I completed my PhD in Financial Mathematics at King's College London in November 2006, supervised by Prof. Mihail Zervos. The thesis was The Optimal Timing of Investment Decisions. I have a BSc in physics from Imperial College and worked in the energy industry for 16 years. I obtained my MSc in Financial Mathematics from King's College in 2002. I joined Heriot-Watt in September 2006 as the UK Research Council's Academic Fellow in Financial Mathematics. As an academic fellow I have a responsibility to explain the science of financial mathematics to the general public. In 2009 I held a for Public Engagement Fellowship and organised a panel discussion as part of the Edinburgh Science Festival. I was co-organiser on the workshop Mathematics in the Management of Energy Systems, held on 29th January 2008, a direct descendent of this was the Energy Systems Week held at the Isaac Newton Centre in 2010.

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Stochastic Control Mathematics

reciprocity Social Sciences

Finance Mathematics

Optimal Stopping Problem Mathematics

Explicit Solution Mathematics

Economics Mathematics

mathematics Social Sciences

Singular Control Mathematics

Research Output 2007 2017

A methodology to assess the economic impact of power storage technologies

Johnson, T. & El Ghandour, L., 13 Aug 2017, In : Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences. 375, 2100, 303

Research output: Contribution to journal › Article

Open Access

File

Economics

Compressed air

Random processes

Power generation

Innovation

Ethics in Quantitative Finance: A Pragmatic Financial Market Theory

Johnson, T., 1 Nov 2017, Palgrave Macmillan. 339 p.

Research output: Book/Report › Book

Financial markets

Quantitative finance

Finance

Mathematics

Economics

Teaching Reciprocity as the Foundation of Financial Economics

Johnson, T., 9 Jul 2017, (Accepted/In press) Post Crash Economics: Pluralist and Heterodox Ideas in Teaching and Research. Feraboli, O. & Morelli, C. J. (eds.). Palgrave Macmillan

Research output: Chapter in Book/Report/Conference proceeding › Chapter

reciprocity

mathematics

Teaching

economics

pricing