King's College London Financial Mathematics

Dr Andrew Jack Department of Mathematics King's College London Strand, London WC2R 2LS United Kingdom Room 530, Strand Building Tel: +44-(0)20-7848 2852 (direct line) Tel: +44-(0)20-7848 2217 (general office) Fax: +44-(0)20-7848 2017 E-mail: Andrew.J.Jack(at)kcl.ac.uk

Andrew Jack is a member of the Financial Mathematics research group.

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 EPSRC-funded 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.

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 one-dimensional Itô diffusions with an expected and a pathwise ergodic criterion. Applied Mathematics and Optimization, Vol. 54, 71-93.
• 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, 1-19.
• A. Jack & M. Zervos (2006) Impulse and absolutely continuous ergodic control of one-dimensional Itô diffusions. In: From Stochastic Analysis to Mathematical Finance, Festschrift for Albert Shiryaev (Y. Kabanov, R. Liptser & J. Stoyanov, eds.) 295-314, Springer-Verlag.
• 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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