Lane P. Hughston
| Lane P. Hughston | |
|---|---|
| Born |
24 December 1951 Corpus Christi, Texas, USA |
| Residence | London, United Kingdom |
| Nationality | USA |
| Fields |
Financial Mathematics Financial Economics Mathematical physics |
| Institutions |
Brunel University Imperial College London King's College London Lincoln College, Oxford |
| Alma mater | University of Oxford |
| Doctoral advisor | Roger Penrose |
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Website | |
Professor Lane P. Hughston, M.A., D. Phil. (born 24 December 1951) is an American mathematician. Born in Corpus Christi, Texas, and raised in Dallas, Texas, he is the son of Edward Wallace Hughston and the late Joan Lorraine Palmer Hughston. He was awarded a doctoral degree in mathematics by the University of Oxford where he was a Rhodes Scholar and a student of Professor Roger Penrose. Following the completion of his doctorate he held a Junior Research Fellowship at Wolfson College, Oxford, and then was Fellow and Tutor in Applied Mathematics at Lincoln College, Oxford. He has worked as a financial engineer and risk manager at Merrill Lynch, London, as Professor of Financial Mathematics at King's College London, as Professor of Mathematical Finance at Imperial College London, and as Professor of Mathematics at Brunel University. He has, among other areas, carried out work in general relativity, cosmology, twistor theory, quantum mechanics, statistical mechanics, and in various aspects of mathematical finance, including the theory of interest rate derivatives and the theory of information-based asset pricing.[1] Lane P. Hughston is Editor-in-Chief of International Journal of Theoretical and Applied Finance. He is a member of the London Mathematical Society, the European Mathematical Society, the Bachelier Finance Society, the American Finance Association, and the American Physical Society. He is a Fellow of the Institute of Mathematics and its Applications, and is a lifetime member of the American Mathematical Society and the International Society on General Relativity and Gravitation. He has held visiting professorships at the University of Texas at Austin, King's College London, the Perimeter Institute for Theoretical Physics, and University College London.
Works
- Twistors and Particles (1979) Springer-Verlag.
- Advances in Twistor Theory (ed., with R. S. Ward, 1979) Pitman.
- An Introduction to General Relativity (with K. P. Tod, 1990) Cambridge University Press.
- Vasicek and Beyond: Approaches to Building and Applying Interest Rate Models (ed., 1996) Risk Publications.
- The New Interest Rate Models (ed., 2000) Risk Publications.
- Dam rain and cumulative gain (with D. C. Brody and A. Macrina, 2008) Proc. Roy. Soc. A, 2008, Vol: 464, Pages: 1801–1822.
- Information-based asset pricing (with D. C. Brody and A. Macrina, 2008) International Journal of Theoretical and Applied Finance, 2008, Vol: 11, Pages: 107–142, ISSN 0219-0249.
- Finance at Fields (ed., with M. Grasselli, 2013) World Scientific Publishing Company.
References
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