Lane P. Hughston
Encyclopedia
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
. Later, he worked as a financial engineer and risk manager at Merrill Lynch
, London, as Professor of Financial Mathematics at King's College London
, and as Professor of Mathematical Finance
at Imperial College London
. 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 derivative
s and the theory of information-based asset pricing. 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 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 a lifetime member of the American Mathematical Society
and the International Society for 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
.
United States
The United States of America is a federal constitutional republic comprising fifty states and a federal district...
mathematician
Mathematician
A mathematician is a person whose primary area of study is the field of mathematics. Mathematicians are concerned with quantity, structure, space, and change....
. 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
University of Oxford
The University of Oxford is a university located in Oxford, United Kingdom. It is the second-oldest surviving university in the world and the oldest in the English-speaking world. Although its exact date of foundation is unclear, there is evidence of teaching as far back as 1096...
where he was a Rhodes Scholar and a student of Professor Roger Penrose
Roger Penrose
Sir Roger Penrose OM FRS is an English mathematical physicist and Emeritus Rouse Ball Professor of Mathematics at the Mathematical Institute, University of Oxford and Emeritus Fellow of Wadham College...
. Following the completion of his doctorate he held a Junior Research Fellowship at Wolfson College, Oxford
Wolfson College, Oxford
Wolfson College is a constituent college of the University of Oxford in England. Located in north Oxford along the River Cherwell, Wolfson is an all-graduate college with over sixty governing body fellows, in addition to both research and junior research fellows. It caters to a wide range of...
, and then was Fellow and Tutor in Applied Mathematics
Applied mathematics
Applied mathematics is a branch of mathematics that concerns itself with mathematical methods that are typically used in science, engineering, business, and industry. Thus, "applied mathematics" is a mathematical science with specialized knowledge...
at Lincoln College, Oxford
Lincoln College, Oxford
Lincoln College is one of the constituent colleges of the University of Oxford in the United Kingdom. It is situated on Turl Street in central Oxford, backing onto Brasenose College and adjacent to Exeter College...
. Later, he worked as a financial engineer and risk manager at Merrill Lynch
Merrill Lynch
Merrill Lynch is the wealth management division of Bank of America. With over 15,000 financial advisors and $2.2 trillion in client assets it is the world's largest brokerage. Formerly known as Merrill Lynch & Co., Inc., prior to 2009 the firm was publicly owned and traded on the New York...
, London, as Professor of Financial Mathematics at King's College London
King's College London
King's College London is a public research university located in London, United Kingdom and a constituent college of the federal University of London. King's has a claim to being the third oldest university in England, having been founded by King George IV and the Duke of Wellington in 1829, and...
, and as Professor of Mathematical Finance
Mathematical finance
Mathematical finance is a field of applied mathematics, concerned with financial markets. The subject has a close relationship with the discipline of financial economics, which is concerned with much of the underlying theory. Generally, mathematical finance will derive and extend the mathematical...
at Imperial College London
Imperial College London
Imperial College London is a public research university located in London, United Kingdom, specialising in science, engineering, business and medicine...
. He has, among other areas, carried out work in general relativity
General relativity
General relativity or the general theory of relativity is the geometric theory of gravitation published by Albert Einstein in 1916. It is the current description of gravitation in modern physics...
, cosmology
Cosmology
Cosmology is the discipline that deals with the nature of the Universe as a whole. Cosmologists seek to understand the origin, evolution, structure, and ultimate fate of the Universe at large, as well as the natural laws that keep it in order...
, twistor theory
Twistor theory
In theoretical and mathematical physics, twistor theory maps the geometric objects of conventional 3+1 space-time into geometric objects in a 4 dimensional space with metric signature...
, quantum mechanics
Quantum mechanics
Quantum mechanics, also known as quantum physics or quantum theory, is a branch of physics providing a mathematical description of much of the dual particle-like and wave-like behavior and interactions of energy and matter. It departs from classical mechanics primarily at the atomic and subatomic...
, statistical mechanics
Statistical mechanics
Statistical mechanics or statistical thermodynamicsThe terms statistical mechanics and statistical thermodynamics are used interchangeably...
, and in various aspects of mathematical finance
Mathematical finance
Mathematical finance is a field of applied mathematics, concerned with financial markets. The subject has a close relationship with the discipline of financial economics, which is concerned with much of the underlying theory. Generally, mathematical finance will derive and extend the mathematical...
, including the theory of interest rate derivative
Interest rate derivative
An interest rate derivative is a derivative where the underlying asset is the right to pay or receive a notional amount of money at a given interest rate...
s and the theory of information-based asset pricing. Lane P. Hughston is Editor-in-Chief of International Journal of Theoretical and Applied Finance. He is a member of the London Mathematical Society
London Mathematical Society
-See also:* American Mathematical Society* Edinburgh Mathematical Society* European Mathematical Society* List of Mathematical Societies* Council for the Mathematical Sciences* BCS-FACS Specialist Group-External links:* * *...
, the Bachelier Finance Society, the American Finance Association
American Finance Association
The American Finance Association is an academic organization whose focus is the study and promotion of knowledge of financial economics. It was formed in 1939...
, and the American Physical Society
American Physical Society
The American Physical Society is the world's second largest organization of physicists, behind the Deutsche Physikalische Gesellschaft. The Society publishes more than a dozen scientific journals, including the world renowned Physical Review and Physical Review Letters, and organizes more than 20...
. He is a Fellow of the Institute of Mathematics and its Applications
Institute of Mathematics and its Applications
The Institute of Mathematics and its Applications is the UK's chartered professional body for mathematicians and one of the UK's learned societies for mathematics ....
, and a lifetime member of the American Mathematical Society
American Mathematical Society
The American Mathematical Society is an association of professional mathematicians dedicated to the interests of mathematical research and scholarship, which it does with various publications and conferences as well as annual monetary awards and prizes to mathematicians.The society is one of the...
and the International Society for General Relativity and Gravitation. He has held visiting professorships at the University of Texas at Austin, King's College London
King's College London
King's College London is a public research university located in London, United Kingdom and a constituent college of the federal University of London. King's has a claim to being the third oldest university in England, having been founded by King George IV and the Duke of Wellington in 1829, and...
, the Perimeter Institute for Theoretical Physics
Perimeter Institute for Theoretical Physics
Perimeter Institute for Theoretical Physics is an independent, resident-based research institute devoted to foundational issues in theoretical physics located in Waterloo, Ontario, Canada. Perimeter Institute was founded in 1999 by Mike Lazaridis...
, and University College London
University College London
University College London is a public research university located in London, United Kingdom and the oldest and largest constituent college of the federal University of London...
.
Works
- Twistors and particles (1979) Springer-Verlag.
- 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 FinanceInternational Journal of Theoretical and Applied FinanceThe International Journal of Theoretical and Applied Finance was founded in 1998 and is published by World Scientific. It covers the use of quantitative tools in finance, including articles on development and simulation of mathematical models, their industrial usage, and application of modern...
, 2008, Vol: 11, Pages: 107–142, ISSN: 0219-0249.