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.
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.