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Dr Timothy Johnson Department
of Actuarial Mathematics and Statistics E-mail: T.C.Johnson( at )hw.ac.uk |
I am an Academic Fellow in the Department of Actuarial Mathematics and Statistics. 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.
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, initially on reservoir simulation but more recently addressing problems of valuation and asset management. I obtained my MSc in Financial Mathematics from King's College in 2002, my dissertation was on Modelling Commodity Futures Prices with a Multi-Factor State Model.
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. For June-December 2009 I also held a Edinburgh Beltane Beacon for Public Engagement Fellowship with the objective of developing events to better engage the public with the scientific aspects of finance. I (occasionally) ad articles to my blog Magic, Maths and Money.
I was co-organiser on the workshop Mathematics in the Management of Energy Systems, held on 29th January 2008, a direct descendent of this meerting was the Energy Systems Week held at the Isaac Newton Centre in 2010.. I am organised the Financial Mathematics theme at Maths2010, the joint British Mathematics Colloquim / British Applied Mathematics Colloquim Meeting of 2010. This coincided with the Edinburgh International Science Festival and as part of the Fesitvial and as a result of my Beltane Fellowship I organised and participated in a panel discussion involving Prof Donald Mackenzie, Dr Gillian Tett and, Ms Terri Duhon.
I am Director of Studies for the BSc in Financial Mathematics, the MSc in Risk Management , and co-ordinate the joint University of Edinburgh and Heriot-Watt MSc in Financial Mathematics.
Publications and Working Papers
1. T. C. Johnson and M. Zervos, The solution to a second order linear ordinary differential equation with a non-homogeneous term that is a measure., Stochastics , Vol 79, Issue 3&4, pgs 363-382, 2007. DOI: 10.1080/17442500601100281
2. A. J. Jack, T. C. Johnson and M. Zervos, A singular control problem with application to the Goodwill Problem. Stochastic Processes and their Applications, Volume 118, Issue 11 , Pages 2098-2124, November 2008 . DOI: 10.1016/j.spa.2008.01.001
3. T. C. Johnson and M. Zervos, The explicit solution to a sequential switching problem with non-smooth data., Stochastics: an International Journal of Probability and Stochastic Processes 82:1 (2010), 69-109.
4. T. C. Johnson, What is Financial Mathematics., in The Best Writing on Mathematics:2010, Edited by Mircea Pitic, Princeton University Press, in press (2011).
5. F. Alazemi, T. C. Johnson, and M. Zervos Buy-low Sell-high investment strategies. Mathematical Finance, in press.
6. T. C. Johnson, The solution of discretionary stopping problems with applications to the optimal timing of investment decisions . In review, IMA Control and Optimisation.
7. T. C. Johnson, Book Review Donald Mackenzie, An Engine, Not a Camera: How Financial Models Shape Market. Annals of Actuarial Science, Vol. 5, part 2, pp. 297–298 .
[Actuarial Mathematics & Statistics] [Maxwell Institute for Mathematical Sciences] [School of Mathematical and Computer Sciences] [Heriot-Watt University]