Dr Timothy Johnson
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, and the MSc in Quantitative Financial Risk Management (QFRM).
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, (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. DOI: 10.1080/17442500903106606
4. D. Eager, J. Bialek and T. Johnson, Validation of a dynamic control model to simulate investment cycles in electricity generating capacity, Power and Energy Society General Meeting, (2010) IEEE, DOI: 10.1109/PES.2010.5589365.
5. T. C. Johnson, What is Financial Mathematics., in The Best Writing on Mathematics:2010, Edited by Mircea Pitic, (2011) Princeton University Press.
6. F. Alazemi, T. C. Johnson, and M. Zervos Buy-low Sell-high investment strategies. Mathematical Finance, in press. DOI: 10.1111/j.1467-9965.2011.00508.x
7. T. C. Johnson, The solution of discretionary stopping problems with applications to the optimal timing of investment decisions . In revision, IMA Control and Optimisation.
8. 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 .
[Tim's calendar ]