Areas of Focus

• Mathematical modelling
• Stochastic differential equations
• Complex networks
• Partial differential equations
• Asymptotic methods

Mathematical modelling of processes of direct relevance to industry partners. These include stochastic methods, differential equations, and numercial computation techniques. Current project areas include: credit risk pricing, electricity market modelling, pricing of structured products, and analysis of systemic risk.

Industry Collaboration

Depfa Bank

Previous: Postgraduate project "Pricing of collateralized debt obligations". Outcome: report to industry partner, academic papers submitted and published.

Eudaemon Consulting

Current: Postgraduate projects on pricing of credit risk derivatives. Outcomes to date: Submitted academic paper.

Bank of Ireland

Previous: MACSI workshop on pricing of a new structured product. Outcome: report to industry partner.

Bord Gais

Previous: European Study Group problems 2008 and 2009, modelling of Irish electricity market. Outcomes: Study group reports; submitted academic paper.

Current: PhD student project "Mathematical modelling of gas and electricity markets"

www.ul.ie/gleesonj

Keywords:

Mathematical modelling; Stochastic differential equations; Complex networks; Partial differential equations; Asymptotic methods