Publication List

• 1986. To demonstrate simple harmonic motion. Phys. Ed., 22 (1987), 386-388.
• 1990. Unfair Games. Eureka, 50 (1990), 60-68. (PDF download 124k)
• 1990. Option pricing and arbitrage. (Part III essay), 15 pages. (Abstract, PDF download 188k)
• 1991 with David Williams. Symmetry characterizations of certain distributions, 1. Math. Proc. Cambridge Philos. Soc., 111 (1992), 387-397.
• 1991 with David Williams. Symmetry characterizations of certain distributions, 2: Discounted additive functionals and large deviations. Math. Proc. Cambridge Philos. Soc., 112 (1992), 599-611.
• 1992. Markov processes on the boundary of the binary tree. Séminaire de Probabilités XXVI: Lecture Notes in Mathematics 1526 (Springer 1992), 210-224.
• 1992. Symmetry characterizations of certain distributions, 3: Discounted additive functionals and large deviations for a general finite-state Markov chain. Math. Proc. Cambridge Philos. Soc., 113 (1993), 381-386.
• 1993. Discounted Functionals of Markov Processes. PhD Thesis, University of Cambridge. (PDF download 765k)
• 1993. The local time of a two-dimensional diffusion. Proc. Royal Soc. Lond.A 445 (1994), 657-667. (Abstract)
• 1993. Discounted additive functionals of Markov processes, Annales de l'Institut Henri Poincaré, 32 (1996), 623-644. (Abstract)
• 1995. Markov processes on trees and their local times, 15 pp. (working paper) (Abstract)
• 1996 with Andrew Rennie. Financial Calculus: an introduction to derivative pricing Cambridge University Press (1996), 240 pp.
• 1997. General interest-rate models and the universality of HJM. (in Financial Derivatives, edited by M.A.H. Dempster and S.R. Pliska, CUP 1997), 20pp. (Abstract, PDF download 210k)
• 1997. Hedging in financial markets, Astin Bulletin, 28 (1998), 5-16. (Abstract, PDF download 157k)
• 2006. Levy process dynamic modelling of single-name credits and CDO tranches, Nomura working paper. (PDF download 89k)
• 2008. Levy Simple Structural Models. (in Credit Correlation: Life after Copulas, edited by Alexander Lipton and Andrew Rennie, World Scientific 2008), 14pp.

Academic publications are only available up to 1997, prior to commercial employment.