King's College London
Financial Mathematics



Department of Mathematics
King's College London
Strand, London WC2R 2LS
United Kingdom
Room 530, Strand Building
Tel: +44(0)207848 2852 (direct line)
Tel: +44(0)207848 2217 (general office)
Fax: +44(0)207848 2017
Email:
Andrew.J.Jack(at)kcl.ac.uk

Andrew Jack holds a fixed term appointment in the Department of
Mathematics where he lectures for the MSc in Financial Mathematics. He
completed his PhD at King's College London in February 2005, having
earlier obtained a first class MSci degree in Mathematics, also from
King's College London. He worked at Enron Europe Ltd for an internship in
their quantitative research department, and later held an EPSRCfunded
Research Assistantship at King's to carry out work on a project on the
Mathematical Theory of Real Options. The project, which was funded under
the terms of the EPSRC Quantitative Finance Initiative, was supported in
part by the Institute and Faculty of Actuaries, and in the final review
carried out by EPSRC was given the highest possible rating.
Research Interests
Andy's research is in stochastic optimisation and control, particularly in
the field of real options. He is interested in most areas of financial
mathematics but his current areas of study are in:
Stochastic Optimal Control
Viscosity Solutions
Real Options
Portfolio Valuation Theory
Stochastic Analysis
Publications and working papers:
 A. Jack & M. Zervos (2006) Impulse control of onedimensional Itô
diffusions with an expected and a pathwise ergodic criterion. Applied
Mathematics and Optimization, Vol. 54, 7193.
 A. Jack & M. Zervos (2006) A Singular Control Problem with an expected and
a pathwise ergodic performance criterion. J. Applied Mathematics and
Stochastic Analysis, Vol. 2006, Article 82538, 119.
 A. Jack & M. Zervos (2006) Impulse and absolutely continuous ergodic
control of onedimensional Itô diffusions. In: From Stochastic Analysis
to
Mathematical Finance, Festschrift for Albert Shiryaev (Y. Kabanov, R.
Liptser & J. Stoyanov, eds.) 295314, SpringerVerlag.
 A. Jack, T.C. Johnson and M. Zervos (2007) A Singular Control Problem with
Application to the Goodwill Problem. To appear in Stochastic Processes
and their Applications.
 A. Jack & M. Zervos (2006) Financial and real options: a unifying
framework with a market completeness assumption (working paper).
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