I am a Saint Lucian mathematician, CariScholar mentor, and Machine Learning Scientist (KTP Associate) with Kingston University London / Instinet Europe Ltd. My goal is to have an intellectually satisfying career that draws on my background in information technology and mathematics. Around the time of my undergraduate studies, I planned on becoming an information security professional, even applying for (and being accepting into) relevant postgraduate courses. Then, after discovering the Factor Analysis of Information Risk (FAIR) framework in 2011, I decided to shift my focus towards understanding the quantitative aspects of risk management, and how to make "optimal" decisions under uncertainty. This prompted me to study mathematical finance, stochastic control and game theory as a postgraduate student at the University of Manchester, topics that I have continued studying to this day.
After finishing my BSc and before commencing my MSc studies, I spent some time working as a web application developer and web site designer, gaining experience with software such as Apache HTTP server, PHP, phpMyAdmin, mySQL, mySQL WorkBench, jQuery, Yii and Wordpress.
Tempus Energy (formerly Alectrona Grid Services) was an industrial partner on my PhD project from September 2012 to September 2015. During this time I developed algorithm prototypes for automated demand-side management and predictive energy trading. I also assisted in making these prototypes production-ready and integrating them into a predictive energy trading platform.
Currently, I am a Machine Learning Scientist (KTP Associate) working on the development and deployment of innovative machine learning techniques for trading execution performance and monitoring. Prior to this, I was a Postdoctoral Researcher in Mathematics:
- From December 2018 to November 2019, I researched applications of risk-averse stochastic control to energy systems for the EPSRC grant EP/P002625/1 entitled "Markov chain optimisation for energy systems".
- From May 2016 to December 2018, I researched applications of stochastic control, microeconomics and game theory to power systems markets for the EPSRC grant EP/N013492/1 entitled "Nash equilibria for load balancing in networked power systems".
- From late November 2015 to May 2016, I worked on optimal stopping and optimal singular stochastic control problems for the research project “Optimal prediction in local electricity markets” (grant EP/K00557X/2).
- PhD Financial Mathematics. September 2012 — November 2015. "Optimal Prediction Games in Local Electricity Markets". The University of Manchester, Oxford Road, Manchester, M13 9PL, United Kingdom.
- Msc Mathematical Finance (Distinction). September 2011 — September 2012. "Fair Valuations and Reduced Form Modelling For Mortality Risk". The University of Manchester, Oxford Road, Manchester, M13 9PL, United Kingdom.
- Bsc Information Technology and Mathematics (Hons). August 2007 — July 2010. The University of the West Indies, Cave Hill Campus, Cave Hill, St. Michael, Barbados, West Indies.
- 2020. Markov risk mappings and risk-averse optimal stopping of Markov chains (joint work with J. Moriarty), arXiv:2001.06895. -->
- 2019. Risk-averse optimal stopping under ambiguity and partial information (joint work with J. Moriarty), arXiv:1910.04047.
- 2019. A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time (joint work with S. Hamadene and J. Moriarty), DOI:10.1017/apr.2019.19.
- 2019. Benchmarking the performance of controllers for power grid transient stability (joint work with B. Schaefer, C. Beck and V. Latora), DOI:10.1016/j.segan.2019.100215.
- 2018. Optimal control of a commercial building's thermostatic load for off-peak demand response (joint work with J. Moriarty and C. Beck), DOI:10.1080/19401493.2018.1535624.
- 2017. Nonzero-sum games of optimal stopping and generalised Nash equilibrium (joint work with J. Moriarty), arXiv:1709.01905.
- 2017. Real option valuation of a decremental regulation service provided by electricity storage (joint work with D. Szábó), DOI:10.1098/rsta.2016.0300.
- 2017. Optimal Entry to an Irreversible Investment Plan with Non Convex Costs (joint work with T. De Angelis, G. Ferrari and J. Moriarty), DOI:10.1007/s11579-017-0187-y.
- 2016. Solving finite time horizon Dynkin games by optimal switching, DOI:10.1017/jpr.2016.57.
- 2016. Finite-Horizon Optimal Multiple Switching with Signed Switching Costs, DOI:10.1287/moor.2016.0783.
- 2016. Dynamic programming for discrete-time finite horizon optimal switching problems with negative switching costs, DOI:10.1017/apr.2016.30.
My Selected Talks
- July 2019. "Optimal Switching Control of Continuous-Time Stochastic Systems". Invited talk. The 20th INFORMS Applied Probability Society Conference, Brisbane, Australia.
- June 2018. "Nonzero-sum optimal stopping games and generalised Nash equilibrium problems". Invited Talk. A Symposium on Optimal Stopping: In Memory of Larry Shepp, Rice University, Texas, USA.
- September 2017. "Nonzero-sum optimal stopping games and generalised Nash equilibrium problems". Contributed Talk. Conference on Stochastic Control, Ambiguity and Games, University of Leeds, UK.
- July 2017. "Probabilistic aspects of optimal switching problems with signed switching costs". Invited Talk. International Workshop on BSDEs, SPDEs and their Applications, University of Edinburgh, UK.
- June 2016. "Cancellable Contracts for Difference in Local Electricity Markets". Invited Talk. EPSRC-DST Indo-UK workshop on Energy Management: Flexibility, Risk and Optimisation, ICMS, Edinburgh, UK.
- July 2015. "Optimal Switching with Signed Switching Costs and its Application to Dynkin Games". Invited Talk. Strategic Aspects of Optimal Stopping and Control in Economics and Finance, ZiF, Bielefeld University, Germany.