Professor, Sharcnet Chair, Ph.D (King's College London)
Dept. of Mathematics & Statistics, McMaster University
1280 Main Street West
Canada L8S 4K1
905-525-9140, ext. 23406
Research Area: Financial Mathematics
Research Profile: Financial Mathematics, Mathematical Physics, Information Geometry
My main research interests lie in the area of mathematical finance - the application of stochastic analysis and probability theory to the understanding and modelling of financial markets. Specific projects I am involved with include numerical and theoretical optimal portfolio selection and modelling of positive interest rates. I am also interested in classical and quantum information geometry. My work in this area ranges from the construction of infinite dimensional manifolds of probabilities to the applications of such geometric objects to models in fluid dynamics and quantum information.