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Dr Timothy Johnson Department of Actuarial Mathematics and
Statistics E-mail: T.C.Johnson( at )hw.ac.uk |
I am a lecturer (associate
professor) in the Department of Actuarial Mathematics and Statistics. My current research focus is investigating financial networks using agent based models and techniques of complex network theory. Specifically, I am interested in the effect that different commercial cultures have on the resilience and effectiveness of the financial networks they give rise to. Any potential PhD students interested in modelling financial systems as
complex networks can contact me. My background is in the field of optimal decision making under uncertainty, where my
research focused on optimal stochastic control. I am currently working on developing a methodology to assess different power storage technologies based on stochastic control techniques.
I completed my PhD in Applied
Probability 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 had a responsibility to explain
the science of financial mathematics to the general public. From
June to December 2009 I also held an Edinburgh
Beltane Beacon for Public Engagement Fellowship with the objective of developing
events to better engage the public with the scientific aspects of finance. An outcome of these activies has beeen an interest in the relationship between ethics, mathematics and finance, resulting in my paper Reciprocity as a foundation of Financial Mathematics. I
blog on the relationship between finance, science and democracy at 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 meeting was the Energy Systems Week
held at the Isaac Newton Centre in 2010. I 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 Festival 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
organised the first IMA conference on
Mathematics in Finance in 2013 and am deputy chair of the organisisng comittee for the second IMA conference.
I am Programme Director for
the MSc
in Quantitative Financial Engineering (QFE).
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, 23:3 (2013), 560-578. DOI: 10.1111/j.1467-9965.2011.00508.x
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. DOI: 10.1017/S1748499511000157
8. T. C. Johnson, Reciprocity as a foundation of Financial Mathematics, Journal of
Business Ethics, 131:1 (2015), pages 43-67. DOI:
10.1007/s10551-014-2257-x
(open access).
9. T. C. Johnson, The solution of some discretionary stopping problems. In press, IMA Journal of Mathematical Control and Information. DOI:10.1093/imamci/DNV060
10. T. C. Johnson, Mathematics and Finance: Where is the ethical malaise? The Mathematical Intelligencer, 37:4 (2015) pages 8-11. DOI:10.1007/s00283-015-9573-6
11. L. El-Ghandour ,T. C. Johnson, A methodology to assess the economic impact of power storage technologies., Phil. Trans. A .
[Actuarial
Mathematics & Statistics] [Maxwell
Institute for Mathematical Sciences] [School
of Mathematical and Computer Sciences] [Heriot-Watt
University]