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.
In 2015, UN member states agreed to 17 global Sustainable Development Goals (SDGs) to end poverty, protect the planet and ensure prosperity for all. This person’s work contributes towards the following SDG(s):