Dr Timothy C Johnson
School of Mathematical & Computer Sciences; Actuarial Mathematics and Statistics
- School of Mathematical & Computer Sciences; Actuarial Mathematics and Statistics
- Heriot-Watt University
- EH14 4AS
- United Kingdom
Roles and responsibilities
I teach modules related to derivative pricing, ranging from introductory level courses to undergraduates to advanced level postgraduate modules. I am course director for Heriot-Watt’s unique undergraduate degree in Financial Mathematics and co-ordinate the joint Heriot-Watt/University of Edinburgh Masters degree.
My broad interests are in the field of optimal decision making under uncertainty, my research focuses on optimal stochastic control. I also have an interest in pricing and risk-management of energy derivatives.
Specifically I do research in the field of applied probability on optimal stochastic control, focusing on stopping problems in a generalised setting. The most obvious application of this work is in the pricing of American options, with complex payoff functions, or in the area of so-called ‘real options’.
I have a subsidiary interest in the historical development of financial mathematics and the impact finance has had on the development of science.
- 1. T. C. Johnson and M. Zervos, The solution to a second order linear ordinary differential equation with a non-homogeneous term that is a measure., Stochastics , Vol 79, Issue 3&4, pgs 363-382, 2007. DOI: 10.1080/17442500601100281
- 2. A. J. Jack, T. C. Johnson and M. Zervos, A singular control problem with application to the Goodwill Problem. Stochastic Processes and their Applications, Volume 118, Issue 11 , Pages 2098-2124, November 2008 . DOI: 10.1016/j.spa.2008.01.001
- 3. T. C. Johnson and M. Zervos, The explicit solution to a sequential switching problem with non-smooth data., Stochastics: an International Journal of Probability and Stochastic Processes 82:1 (2010), 69-109.
- 4. T. C. Johnson, What is Financial Mathematics., in The Best Writing on Mathematics:2010, Edited by Mircea Pitic, Princeton University Press, in press (2011).
- 5. T. C. Johnson, The solution of discretionary stopping problems with applications to the optimal timing of investment decisions . In review, Mathematics of Operations Research.
I completed my PhD in Financial Mathematics at King's College London in November 2006, supervised by Prof. Mihail Zervos. The thesis was The Optimal Timing of Investment Decisions. I have a BSc in physics from Imperial College and worked in the energy industry for 16 years. I obtained my MSc in Financial Mathematics from King's College in 2002.
I joined Heriot-Watt in September 2006 as the UK Research Council's Academic Fellow in Financial Mathematics. As an academic fellow I have a responsibility to explain the science of financial mathematics to the general public. In 2009 I held a for Public Engagement Fellowship and organised a panel discussion as part of the Edinburgh Science Festival.
I was co-organiser on the workshop Mathematics in the Management of Energy Systems, held on 29th January 2008, a direct descendent of this was the Energy Systems Week held at the Isaac Newton Centre in 2010.
Since the Credit Crisis I have spent time coordinating the response of the mathematics community, primarily to policy makers, and have sent or drafted communications to the Chief Scientific Advisor tot the Government, the (then) Science Minister, the FSA, the Treasury Select Committee, the Royal Society as well as journalists.