Dr John Armstrong Dr John Armstrong Academics Supervisors Senior Lecturer in Financial Mathematics, Probability and Statistics Research subject areas Mathematics Contact details +44 020 7848 2855 john.armstrong@kcl.ac.uk
Curved Schemes for SDEs on, or near, Manifolds Armstrong, J. & King, T., 28 Apr 2022, (Accepted/In press) In: Royal Society of London. Proceedings A. Mathematical, Physical and Engineering Sciences. Research output: Contribution to journal › Article › peer-review Anomalous Recurrence of Markov Chains on Negatively Curved Manifolds Armstrong, J. & King, T., 7 Mar 2022, (Accepted/In press) In: ADVANCES IN APPLIED PROBABILITY. Research output: Contribution to journal › Article › peer-review Non-Geometric Rough Paths on Manifolds Armstrong, J., Brigo, D., Cass, T. & Rossi-Ferrucci, E., 29 Nov 2021, (Accepted/In press) In: JOURNAL OF THE LONDON MATHEMATICAL SOCIETY-SECOND SERIES. Research output: Contribution to journal › Article › peer-review Coherent risk measures alone are ineffective in constraining portfolio losses Armstrong, J. & Brigo, D., Sep 2021, In: Journal of Banking and Finance. 106315. Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1016/j.jbankfin.2021.106315 Stochastic modeling of assets and liabilities withmortality risk Alvares Rodrigues Souza Maffra, S., Armstrong, J. & Pennanen, T., 8 Feb 2021, In: Scandinavian Actuarial Journal. 2021, 8, p. 695-725 31 p. Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1080/03461238.2021.1873176 Classifying Financial Markets up to Isomorphism: Classifying Markets up to Isomorphism Armstrong, J., 2 Sep 2020, In: Royal Society of London. Proceedings A. Mathematical, Physical and Engineering Sciences. 476, 2241, 20200264. Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1098/rspa.2020.0264 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 › peer-review. DOIs: https://doi.org/10.1112/plms.12226 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 › peer-review. DOIs: https://doi.org/10.1016/j.jbankfin.2019.01.010 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 › peer-review. DOIs: https://doi.org/10.1142/S0219024918500449 The Markowitz Category Armstrong, J., 1 Aug 2018, In: SIAM Journal on Financial Mathematics. Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1137/17M1155727 View all publications