Research

I work as part of the Mathematical Modelling in Finance and Economics Group in which we model financial systems with uncertain price and uncertain physical flow, leading to non-linear PDEs which must be solved numerically. I have investigated such systems in the world of mining, working with the international leading mining software company Gemcom, and also within the framework of Revenue Management systems, working with the local business Inventive IT. If you are interested in a PhD or want to know a bit more then head over to the Mathematical Finance page in MIMS.

Teaching

I currently teach MATH60082 Computational Finance to MSc students and the popular second year course MATH20912 Introduction to Financial Mathematics. I run introductory courses for the postgrad students on Unix, Latex and using the NAG library, and have in the past given courses on Fortran, C++, matlab and gnuplot. Notes, examples and lectures are all available in the teaching section of my website.

Personal

I've been living, studying and working in Manchester for over fifteen years, completing my BSc, MSc, PhD and post doc work in the department. My wife and I have two daughters, aged 5 and 2, so most of my spare time now revolves around trips to the park and birthday parties. I love playing and watching football but as the years catch up on me I've had to hang up my boots. I still enjoy going to watch Everton play if I can but not so much this year!

Calendar


MATH20912: Solutions Sheet 8

Solution to examples sheet 8.

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MATH20912: Example Sheet 9

Bond Pricing: Examples to accompany lectures 17 to 18.

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MATH60082: Examples Sheet 8

A description of how to load the NAG library on the machines in G.105. Followed by a run through of the example for the Longstaff and Schwartz paper on valuing Bermudan options.

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MATH60082: Solutions Sheet 8

Step by step solutions for Examples Sheet 8.

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MATH20912: Solutions Sheet 7

Solution to examples sheet 7.

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MATH20912: 17. Pricing Bonds

Bond pricing with interest rates and coupon payment rates as known functions of time.

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Research: Optimal costless extraction rate changes from a non-renewable resource

Evatt, G. W., P. V. Johnson, P. W. Duck and S. D. Howell, "Optimal costless extraction rate changes from a non-renewable resource", 2014, European Journal of Applied Mathematics

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Research: SLADI---a semi-Lagrangian alternating-direction implicit method for the numerical solution of advection-diffusion problems with application to electricity storage

Hernandez Avalo, J., P. V. Johnson and P. W. Duck, "SLADI---a semi-Lagrangian alternating-direction implicit method for the numerical solution of advection-diffusion problems with application to electricity storage", forthcoming 2015, Journal of Computational Finance

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