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


Latex: Class Example (Advanced) November 2016

A zipped example thesis template from the advanced class in reading week, academic year 2016/2017.

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Latex: Short Lecture

A very VERY short introduction to latex, just to get you started.

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Latex: Class Example November 2016

The example file from the class in reading week, academic year 2016/2017.

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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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MATH60082: Examples Sheet 7

Step by step guide to writing the Crank Nicolson finite difference algorithm, with worked examples and solutions.

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Research: A Comparative Analysis of Pickup Forecasting Methods for Customer Arrivals in Airport Carparks

Andreas Papayiannis and Paul Johnson and Peter Duck, "A Comparative Analysis of Pickup Forecasting Methods for Customer Arrivals in Airport Carparks", 2016, Proceedings of 5th the International Conference on Operations Research and Enterprise Systems - Volume 1: ICORES


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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", 2015, Journal of Computational Finance

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