Welcome to my homepage. Here you can find information about my research, courses, and sample code. My current research interests span stochastic control and games, reinforcement learning, machine learning, clean energy, and algorithmic trading and other applications in mathematical finance.
I am a full professor of mathematical finance 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), Frontiers of Mathematical Finance, Journal of Dynamics and Games, the International Journal of Theoretical and Applied Finance (IJTAF), and Journal of Risks. As well, I am a fellow of the Fields Institute for Mathematical Sciences and a member of the Oxford-Man Institute. I was a founding board member of the Commodities and Energy Markets Association and now serve on its advisory board. My research interest span stochastic control and games, reinforcement learning, machine learning, clean energy, and algorithmic trading.
Fellow, Fields Institute for Mathematical Sciences, 2020 — present
Member, University of Oxford, Oxford-Man Institute, 2021 – 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”.
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