Dr John Armstrong Academics Senior Lecturer in Financial Mathematics, Probability and Statistics Research subject areas Mathematics Contact details +44 020 7848 2855 john.armstrong@kcl.ac.uk
Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility Armstrong, J. & Brigo, D., 1 Apr 2019, In : Journal of Banking and Finance. 101, p. 122-135 14 p. Research output: Contribution to journal - Article. DOIs: https://doi.org/10.1016/j.jbankfin.2019.01.010 Optimal approximation of SDEs on submanifolds: the Ito-vector and Ito-jet projections Armstrong, J., Brigo, D. & Rossi Ferrucci, E., Jul 2019, In : PROCEEDINGS OF THE LONDON MATHEMATICAL SOCIETY. 119, 1, p. 176-213 38 p. Research output: Contribution to journal - Article. DOIs: https://doi.org/10.1112/plms.12226 Pricing index options by static hedging under finite liquidity Armstrong, J., Pennanen, T. A. & Rakwongwan, U., 27 Sep 2018, In : International Journal of Theoretical and Applied Finance. 21, 06 Research output: Contribution to journal - Article. DOIs: https://doi.org/10.1142/S0219024918500449 Basel risk limits will not curb rogue traders Armstrong, J. & Brigo, D., 1 May 2018, The Banker. Research output: Contribution to specialist publication - Featured article The Markowitz Category Armstrong, J., 1 Aug 2018, In : SIAM Journal on Financial Mathematics. Research output: Contribution to journal - Article. DOIs: https://doi.org/10.1137/17M1155727 Curbing Rogue Behaviour Armstrong, J. & Brigo, D., Apr 2018, Risk Magazine. Research output: Contribution to specialist publication - Featured article Rogue traders versus value-at-risk and expected shortfall Armstrong, J. & Brigo, D., Apr 2018, Risk Magazine. Research output: Contribution to specialist publication - Article C++ for Financial Mathematics Armstrong, J., 2017, Chapman & Hall/CRC Press. Research output: Book/Report - Book Intrinsic Stochastic Differential Equations as jets Armstrong, J. & Brigo, D., 28 Feb 2018, In : Royal Society of London. Proceedings A. Mathematical, Physical and Engineering Sciences. 28 p. Research output: Contribution to journal - Article. DOIs: https://doi.org/10.1098/rspa.2017.0559 Itô stochastic differential equations as 2-jets Armstrong, J. & Brigo, D., 24 Oct 2017, Geometric Science of Information - 3rd International Conference, GSI 2017, Proceedings. Springer Verlag, Vol. 10589 LNCS. p. 543-551 9 p. (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); vol. 10589 LNCS). Research output: Chapter in Book/Report/Conference proceeding - Other chapter contribution. DOIs: https://doi.org/10.1007/978-3-319-68445-1_63 View all publications