Academics involved

Below are the details of current staff and those in connection with the Mathematical Finance group in Manchester.

Manchester academics

	Peter W. Duck duck@maths.man.ac.uk Peter has been a leading researcher in the area of mathematical fluid dynamics for many years. His interest in mathematical finance was sparked in the late 1990s by the striking similarities arising between the problems occurring in mathematical finance and those found in fluid dynamics. The most striking example of this beautiful relationship is the formulation of the American option as a free boundary problem. Peter jointly supervises (with David Newton) a large number of Ph.D. students in a wide variety of topics occurring in mathematical finance.
	Goran Peskir goran@maths.man.ac.uk Professor Peskir's research interests include Brownian motion, stochastic calculus, Markov processes, optimal stopping, optimal stochastic control, free boundary problems, financial mathematics and economics.
	Sergei Fedotov sergei.fedotov@manchester.ac.uk Professor Fedotov's research is concerned with stochastic volatility models with long memory effects, stochastic optimisation approach for option pricing in incomplete market and random arbitrage.
	Paul V. Johnson pjohnson@maths.man.ac.uk Since completing his Ph.D., Paul has been working with Professor Peter Duck and Professor Syd Howell to develop a new approach for modelling physical systems with uncertain price and uncertain physical flow. Recent research has been into the optimal charging and discharging of an energy storage device attached to a wind farm, with stochastic production and a stochastic buy/sell price. Paul's other research interests include free boundary problems and occupation time derivatives. He holds a Ph.D. in Mathematical Finance, a M.Sc. in Fluid Dynamics and a B.Sc. in Mathematics from the University of Manchester.
	Geoffrey W. Evatt geoffrey.evatt@mbs.ac.uk Geoff holds a Ph.D. in Glacial flow.
	David Abrahams i.d.abrahams@manchester.ac.uk Professor Abraham's interest in the field is concerned primarily with the pricing of exotic derivatives, and especialy in the application of the Wiener-Hopf technique to problems arising in this and other areas of Mathematical Finance. The Wiener-Hopf technique has, since its invention in 1931 proved to be an immensely useful method for obtaining exact solutions to complex integral equations. An enormous variety of physically important problems, including many in Mathematical Finance, can be cast into this form of equation.
	Sydney Howell sydney.howell@mbs.ac.uk Syd develops financial-type PDE models for physical systems, which have uncertain price, uncertain physical flows and deterministic dynamics, including variables that are stored or integrated. Examples are the optimal storage and smoothing of wind power, the optimal timing of electrical heating or cooling, and the valuation of oil-sharing agreements between oil companies and host nations. Syd studies these with Peter Duck and Paul Johnson for EPSRC, and also works on an EPSRC project into the Sustainability of Nuclear Power, and on UoM's Nuclear Decommissioning Engineering Forum. Syd is Professor of Financial Management at Manchester Business School, and teaches on UoM's Engineering programmes for BP. Before he "saw the light" (of mathematical finance) Syd took an M.A. in English at Cambridge and spent eight years in IBM, Philips and other large companies.

Associated academics

	David P. Newton david.newton@nottingham.ac.uk David was on the faculty at Manchester Business School for 15 years but returned to his first university, Nottingham, and a Chair in Accounting & Finance in 2005 (to find that his girlfriend from 1974 is now Pro Vice Chancellor; age does that to you). He is now a visiting Professor of Finance at Manchester Business School. David and Peter Duck are also associated with the Centre for Risk and Insurance Studies at Nottingham University Business School. The photograph shows David with another famous Newton (David is on the right).
	Martin Widdicks m.widdicks@lancaster.ac.uk Martin Widdicks is a Senior Lecturer in Finance at Lancaster University, having previously worked at The University of Illinois at Urbana-Champaign and The University or Manchester. He is currently interested in Executive Stock Option pricing along with numerical methods and mathematical finance in general.
	Erik Ekström ekstrom@math.uu.se Erik was previously lecturer in Probability at The University of Manchester, and is now a Research Fellow at Uppsala University. His research interests include the connections between stochastic differential equations, partial differential equations, free boundary problems and optimal stopping theory. The problems are motivated by applications in option pricing and hedging.
	Kristoffer J. Glover kristoffer.glover@uts.edu.au After completing his Ph.D. in September 2008, Kristoffer joined the School of Finance and Economics at The University of Technology, Sydney where he is currently a postdoctoral research fellow. His research interests include the analysis of nonlinear PDEs occurring in financial models (such as those arising from the study of option pricing in illiquid markets) and the application of optimal stopping and free-boundary theory to numerous areas of finance and economics. He holds a Ph.D. in Mathematical Finance and a Masters degree in Mathematics and Physics, both from The University of Manchester.

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