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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. I discuss the role of science in finance at my blog, Magic, Maths and Money. 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 was co-organiser on the workshop Mathematics in the Management of Energy Systems, held on 29th January 2008. I am organising the Financial Mathematics theme at Maths2010, the joint British Mathematics Colloquim / British Applied Mathematics Colloquim Meeting of 2010. This coincides with the Edinburgh International Science Festival and I am in the process of developing some events on the relationship between science and finance for the festival as part of my Beacon Fellowship.
Publications and Working Papers
1. T. C. Johnson and M. Zervos, A 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., in press Stochastics, July, 2009.
[Actuarial Mathematics & Statistics] [Maxwell Institute for Mathematical Sciences] [School of Mathematical and Computer Sciences] [Heriot-Watt University]