T. R. (Tom) Hurd

Professor of Mathematics

Contact Information:

Dr. T. R. Hurd, Professor of Mathematics
Department of Mathematics and Statistics
McMaster University
Hamilton, Ontario  L8S 4K1
Canada

Office:  Hamilton Hall 416
Phone:   (905) 525-9140 extension 27304
FAX:     (905) 522-0935
E-mail:  hurdt@mcmaster.ca

Research Interests

Since 1998 my research programme has been concentrated in the rapidly developing field of financial mathematics. Prior to this I worked primarily in mathematical physics.

Teaching Interests

In recent years, my primary interest is in teaching specialized courses in financial mathematics. In September 2008 I will be teaching Math 4K03 Mathematics of Finance, a course which serves as both an introduction to modern financial security analysis and as a component of our developing stream in actuarial mathematics. Starting January 2009, I will teach Math 774 The Mathematics of Credit Risk.

PhiMAC: the financial math lab at McMaster

I supervise PhiMAC, a group of researchers in the Mathematics Department at McMaster who share a common interest in computational finance. We encourage interest from prospective graduate students and researchers from around the world. Have a look at our website!

M-PhiMAC: Master's in Financial Mathematics at McMaster

M-Phimac, the coursework M.Sc. program offered by the Mathematics and Statistics Department at McMaster, is for the student who wants a fast track to a finance industry career in the areas of risk management, derivative securities analysis and portfolio design. After completing eight specialized grad courses in eight months, plus a number of optional training activities, you will be well prepared to go after one of many opportunities available in banking, insurance and the investment business. Have a look at our brochure.

MITACS: The Mathematics of Financial Risk Management

MITACS is the acronym for the Mathematics of Information Technology and Complex Systems National Centre of Excellence. I am project leader of a MITACS initiative involving researchers at University of Calgary, University of Toronto, University of Western Ontario, University of British Columbia and McMaster University. The general theme of our work is to develop mathematical tools for measurement and management of financial risk. For a detailed description of our MITACS project and others see the MITACS website.

Published Research Papers
1. T. R. Hurd, A. Kuznetsov "On the first passage time for Brownian motion subordinated by a Levy process", to appear in Journal of Applied Probability 46.1 (March 2009).
  Download pdf file
2. T. R. Hurd "Saddlepoint approximations in portfolio credit risk", to appear in the Encyclopedia of Quantitative Finance, ed. R. Cont, December 2008.
  Download pdf file
3. Y. Ait-Sahalia, J. Cacho-Diaz, T. Hurd "Portfolio Choice with Jumps: A Closed Form Solution" , to appear in Annals of Applied Probability, 2008.
  Download pdf file
4. T. R. Hurd, A. Kuznetsov "Explicit formulas for Laplace transforms of stochastic integrals", Markov Processes and Related Fields, 14, 277-290, 2008.
  Download pdf file
5. T. R. Hurd, A. Kuznetsov "Affine Markov chain models of multifirm credit migration", Journal of Credit Risk 3, 3-29, 2007.
  Download pdf file
6. M. R. Grasselli, T. R. Hurd "Indifference pricing and hedging for volatility derivatives", Applied Mathematical Finance 14, 303-317, 2007.
  Download pdf file
7. Jingping Yang, T. R. Hurd, Xuping Zhang "Saddlepoint approximation method for pricing CDOs", Journal of Computational Finance 10, 1-20, 2006.
  Download pdf file
8. T. R. Hurd "A note on log-optimal portfolios in exponential Levy markets", Statistics and Decisions, 22, pp. 225-236, 2004
  Download pdf file
9. M. R. Grasselli, T. R. Hurd "Weiner chaos and the Cox-Ingersoll-Ross model", Proc. R. Soc. A, 461, pp. 459-479, 2004
  Download pdf file
10. T. Choulli, T. R. Hurd "The role of Hellinger processes in mathematical finance", Entropy 3, pp. 152-163, 2001
  Download pdf file
11. J. Boland, T.R. Hurd, M. Pivato, L. Seco "Measures of dependence for multivariate Levy distributions", Proceedings of the Conference on Disordered and Complex Systems, edited by P. Sollich et al, American Institute of Physics, 2001
  Download ps file ; pdf file
Research Working Papers
1. T. R. Hurd, Zhuowei Zhou "A Fourier transform method for spread option pricing", working paper, February 2009.
  Download pdf file
2. T. R. Hurd "Credit risk modeling using time-changed Brownian motion", working paper, September 2007.
  Download pdf file Revised version April 2009: Download pdf file
3. T. R. Hurd, A. Kuznetsov "Fast CDO Computations in the Affine Markov Chain Model", working paper, October 2006.
  Download pdf file
4. J. Abad, T. R. Hurd "Error bounds for Monte Carlo based portfolio optimization", working paper, February 2004
  Download pdf file
5. M. R. Grasselli, T. R. Hurd "A Monte Carlo method for exponential hedging of contingent claims", working paper, November 2002
  Download ps file; pdf file
6. T. Choulli, T. R. Hurd "The portfolio selection problem via Hellinger processes", working paper, October 2001
  Download pdf file
7. T. R. Hurd "Pricing formulas, model error and hedging derivative portfolios", working paper, August 2001
  Download pdf file
Applied Math at McMaster

Applied math is thriving at McMaster. Come and visit the website of the McMaster Applied Math Research Group

Directory of Personal Home Pages for the Department of Mathematics and Statistics
Department of Mathematics and Statistics Home Page
McMaster University Home Page

last updated 21/02/09