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, but 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.

I am the former Chair for the SIAM activity group in Financial Mathematics and Engineering (SIAG/FM&E), and 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 was a founding board member of the Commodities and Energy Markets Association and now serve on its advisory board.

I am a Fields-CQAM lab leader for the Systemic Risk Analytics lab. The lab’s purpose is to look at both data driven and model driven research surrounding issues of systemic risk in its various guises ranging from micro-structure to inter-bank networks. My current focus is on the study of intra-day volatility and its effects in FX and related markets using statistical and machine learning methodologies.

Fields Institute for Mathematical Sciences Fellow, 2020 — present

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 ]

NSERC Discovery Accelerator Supplement award winner. These awards provide “substantial and timely additional resources to accelerate progress and maximise the impact of established, superior research programs”.

I will be speaking at the following upcoming venues:

Algorithmic and High Frequency Trading,

with Álvaro Cartea and Jose Penalva,

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.