Timothy Johnson

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 2018

Teaching Reciprocity as the Foundation of Financial Economics

Johnson, T., 2018, Post Crash Economics: Pluralist and Heterodox Ideas in Teaching and Research. Feraboli, O. & Morelli, C. (eds.). Palgrave Macmillan, p. 199-230 32 p.

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

reciprocity

mathematics

Teaching

economics

pricing