Peter has been a leading researcher in the area of mathematical fluid dynamics for many years. His interest in mathematical finance was sparked in the late 1990s by the striking similarities arising between the problems occurring in mathematical finance and those found in fluid dynamics. The most striking example of this beautiful relationship is the formulation of the American option as a free boundary problem.
Peter jointly supervises (with David Newton) a large number of Ph.D. students in a wide variety of topics occurring in mathematical finance.
Geoff is a Lecturer in Applied Mathematics, who works in a variety of subject areas. This includes: regulation, geoscience, banking economics and glaciology; variety is the spice of life. In regards the economics side of his work, he is interested in studying the inclusion of cash conservation within economic modelling, where their systemic neglect within 99.9% of economics has lead to some pretty bizarre and overly pro-risk implications. For example, if a company has no savings, then it has no choice when to shut down if the cash-flows turn negative (one might suggest to borrow money, but after some thought one can see the problem still remains); this simple example is impossible to find if one follows the drudgery of standard math-finance approaches.
As well as his research activities, Geoff looks after the industrial engagement of the entire School of Maths, and is thus exposed to some pretty exciting collaborations spanning all manner of subjects.
Prior to coming to Manchester in 2008, Geoff held a short post-doc position at the Center for Polar Observation and Modeling (UCL), and took his doctorate and degree at Oxford University. His doctorate specialized in explaining floods from underneath ice-sheets (he was part of the team who predicted them before they were first observed in 2006), and their implications for sudden climate change events during the last ice-age. His dark secret is that after his doctorate he spent a while working on a London trading floor, and found it all rather silly.
Syd develops financial-type PDE models for physical systems, which have uncertain price, uncertain physical flows and deterministic dynamics, including variables that are stored or integrated. Examples are the optimal storage and smoothing of wind power, the optimal timing of electrical heating or cooling, and the valuation of oil-sharing agreements between oil companies and host nations. Syd studies these with Peter Duck and Paul Johnson for EPSRC, and also works on an EPSRC project into the Sustainability of Nuclear Power, and on UoM's Nuclear Decommissioning Engineering Forum. Syd is Professor of Financial Management at Manchester Business School, and teaches on UoM's Engineering programmes for BP. Before he 'saw the light' (of mathematical finance) Syd took an M.A. in English at Cambridge and spent eight years in IBM, Philips and other large companies.
I came to Manchester in 1999 to complete my BSc in Mathematics here at the School of Mathematics and they haven't managed to get rid of me yet ! I am now a lecturer in Mathematical Finance, teaching computational courses to undergrads and postgrads and doing research in computational finance. I like to work with industry on real applied problems, and this has lead to research in Energy, Finance, Mining, Pre-booking Systems and even used-car-sales!
Ronnie is a Lecturer in Actuarial Science, with research interests in Lévy processes, Stochastic control problems, insurance mathematics, and financial mathematics.