, London
Responsible for all mathematical modelling and pricing
of derivatives across the fixed-income, credit and foreign
exchange markets. Has played a primary role in developing
a comprehensive and leading-edge worldwide derivative risk management
system for Nomura which now has over 500 users in front, middle
and back offices. Also played a significant role in setting
up Nomura Derivative Products Inc,
Nomura's Triple A vehicle for derivative trades.
SKILLS
Has a very deep knowledge and understanding of the mathematical
modelling and pricing of derivatives. As a professional mathematician,
specialising in probability and stochastic processes, he brings
an unrivalled base of relevant knowledge to bear on practical
and theoretical market problems. With twelve years experience
of mathematical finance, and nine of those in the front-line of the
industry, he has a wide experience of a wide variety of market trade
types and their pricing and risk management.
Maths skills: Stochastic processes, interest-rate and credit modelling,
practical implementation of models with fast prices and risk measures.
Computer skills: C++ programming, plus experience of Fortran, Pascal,
C, and Excel VBA.
EMPLOYMENT
EDUCATION
- 1986-1993, Pembroke College, University of Cambridge
- 1990-93, Ph.D. Degree in Pure Mathematics under Prof David
Williams FRS.
- 1989-90, Certificate of Advanced Studies in Mathematics (Part III
of the Mathematical Tripos). Achieved Honours with distinction.
- 1986-89, B.A. Degree in Mathematics. Achieved Honours with
three First Class results.
- 1973-1986, Daniel Stewart's and Melville College, Edinburgh
AWARDS AND DISTINCTIONS
- 1992 Smith's Prize (first category), University of Cambridge
- 1989 Kilby Prize (senior scholar), Pembroke College
- 1988 Blackburne-Daniell Prize (senior second year scholar),
Pembroke College
- 1986 Dux, Daniel Stewart's and Melville College
- 1980 Melville Scholarship, Daniel Stewart's and Melville College
OTHER WORK
- 1989+90 Vacation employment in the Systems Laboratory of
the Radar Division of (GEC) Ferranti Defence Systems Ltd, Edinburgh.
- 1986+87 Vacation employment in the Unit-Linked department
of the Scottish Life Assurance Company Ltd, Edinburgh.
- Also mathematical and statistical consultancy for commerce
and academia.
TEACHING
- October 1997 to date, internal programmes at Nomura International
- January-July 1996 Lecturing Financial Calculus course
to groups from the financial industry
- Easter and Michaelmas 1997 Lecturing Time Series for the Diploma
in Statistics, Cambridge
- Michaelmas 1996 Lecturing Advanced Probability in Part III of
the Mathematical Tripos, Cambridge.
- Lent 1995 Lecturing Markov Processes in Part III.
- Fall 1994 Lecturer in charge of Vector Calculus 317 at
the Mathematics Department, University of British Columbia.
- from 1990, Supervision in Cambridge at all levels of the
Mathematical Tripos.
PUBLICATIONS
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