Assoc Prof Mark Joshi
MA (Oxon), PhD (MIT)
Biography
Mark Joshi obtained a B.A. in mathematics (top of year) from the University of Oxford in 1990, and a Ph.D. in pure mathematics from the Massachusetts Institute of Technology in 1994. He was an assistant lecturer in the department of pure mathematics and mathematical statistics at Cambridge University from 1994 to 1999. Following which he worked for the Royal Bank of Scotland from 1999 to 2005 as a quantitative analyst at a variety of levels, finishing as the Head of Quantitative Research for Group Risk Management. He joined the Centre for Actuarial Studies in November 2005 as an associate professor. Mark has written two books on mathematical finance, "The concepts and practice of mathematical finance," CUP 2003 and "C++ design patterns and derivatives pricing," CUP 2004.
Research Interests
- Derivatives pricing
- Monte Carlo methods
- American optionality
- Market models for interest rates
Teaching responsibilities
- 300-204 Financial Mathematics II
- 300-334 Financial Mathematics III
- 300-412 Advanced Financial Maths II