Welcome to my homepage. Here you can find information about my research, sample code, and the courses that I teach. My formal training was in Theoretical Physics, buy my current research interests span Mathematical Finance, Financial Engineering and Actuarial Science.
I am the current Director of the professional Masters of Financial Insurance program in the Department of Statistical Sciences, and I teach in the Mathematical Finance Program at the University of Toronto, as well as the PhD and MSc programs in the Department of Statistical Sciences.
As well, I am the current Chair (former Vice Chair; former Program Director) for the SIAM activity group in Financial Mathematics and Engineering (SIAG/FM&E), and I am a Managing Editor of Quantitative Finance, an Associate Editor for the SIAM Journal on Financial Mathematics (SIFIN), the International Journal of Theoretical and Applied Finance (IJTAF), High Frequency, Journal of Risks and Argo. As well, I am a founding board member of the Commodities and Energy Markets Association.
SIGEST award winner [ by SIAM for the best paper published during 2013-2017 in SIAM J. Finan. Math ]
our paper: Buy Low, Sell High: A High Frequency Trading Perspective, Álvaro Cartea, Sebastian Jaimungal, and Jason Ricci, SIAM J. Finan. Math. 5-1 (2014), pp. 415-444 ]
I will be speaking at the following upcoming venues:
- Bachelier Finance Society World Congress, Dublin, UK, July 2018
- SIAM Annual Meeting 2018, Porland, USA, July, 2018
- Symposium on Optimal Stopping, Houston, USA, June, 2018
- CAIMS annual meeting, Toronto, Canada, June, 2018
- Columbia University, New York, USA, April 5, 2018
- Purdue University, Lfayette, USA, March 7, 2018
- Actuarial and Financial Mathematics Conference, Brussels, Belgium, Feb 2018
- 17th Winter School on Mathematical Finance, Congrescentrum, De Werelt, Holland, Jan 2018
- Research in Options – RiO 2017 Rio De Janeiro, Brazil, Nov 25 – Dec 1, 2017
|Algorithmic and High Frequency Trading,
Cambridge University Press, now available!
Order here from CUP
Order here from Amazon.co.uk
Click here for the book website where you can find data, code and other materials related to the book.