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Mathematica Trainer and Consultant: Michael Kelly
Address
MathOptions LLC
Chicago, IL 60610
USA
email: mk1444@rcn.com
phone: 312-643-5599
cell phone: 312-493-7976
Background
Dr. Michael Kelly has degrees in both pure mathematics and applied mathematics (operations research). Until 2000 he was a senior lecturer in mathematics in the School of Quantitative Methods and Mathematical Sciences at the University of Western Sydney (UWS), Macarthur, transferring in 2000 to the position of senior lecturer in finance in the School of Economics and Finance. While there he taught courses in almost every area of statistics, applied mathematics, and mathematical finance, including courses in linear algebra, hypothesis testing, multivariate statistics, regression, time series, dynamical systems, the philosophy of mathematics, optimization, neural networks, differential equations, stochastic differential equations, option pricing, interest rate models, programming, computational mathematics, and computational finance.
Dr. Kelly has since moved to Chicago and until April 2007 was associate professor of finance at the Stuart Graduate School of Business, Illinois Institute of Technology. In this capacity he taught two streams of courses: financial modeling, using Microsoft Excel and Mathematica, for master's students and computational finance for master's and PhD students. He taught all courses in computer labs, with the majority of the programming done in the symbolic language Mathematica. This approach made it easy to represent any financial problem computationally. Because of the popularity of Excel in the financial community, extensive use was made of Mathematica Link for Excel, in which the two programs can communicate seamlessly, allowing complex Mathematica programs to be ported easily into the Excel environment. An outline of these courses using Mathematica is available.
Since April 2007, Dr. Kelly has been employed as the research director for DB Trading and Unetich Trading LLC in the Chicago Board of Trade. He has used Mathematica, MathLink, and Excel to set up financial databases, construct mathematical and statistical models of trading data, write code to simulate newly devised trading strategies, write interface code to communicate with the trading platform to institute automated trading, analyze the PNL of trades, write research reports, evaluate options and futures prices, and implement trading strategies suggested by the traders of the firms.
Consulting Information
Dr. Kelly has used Mathematica since 1992 and has been a Mathematica consultant since 1995.
He has given innumerable seminars on the use of Mathematica in finance. See:
He also has two option evaluation programs, which are part of the Wolfram Demonstrations Project:
Education
- BS in pure mathematics, The University of Sydney
- PhD in applied mathematics (operations research), The University of New South Wales
Expertise
- The application of symbolic and functional programming techniques for the computational representation of traditional mathematical problems in finance
- The design and implementation in Mathematica and MathLink of automated trading systems
- Research in finance
- Evaluation of exotic and American options
- Evaluation of asset distributions using maximum entropy and linear inversion
- Computational techniques for PDEs, SDEs and risk evaluation
Research Fellowships
- School of Mathematics and Statistics, The University of Sydney, Australia, 1992, 1996, 1997–2001
- School of Business, University of Warwick, Coventry, United Kingdom, 1992
- School of Mathematical Sciences, The Australian National University, Canberra, Australia, 1996
- Department of Banking and Finance, Faculty of Commerce, UWS Nepean, Australia, 1996
- Wolfram Research, Champaign, Illinois, United States, 1997
Major Clients
- Unetich Trading LLC, Chicago Board of Trade, United States
- Bank of America, Private Client Group, United States
- DB Trading, Chicago Board of Trade, United States
- Core Services Corporation, San Francisco, United States
- UnRisk Consortium, Linz, Austria
- Ernst & Young, Sydney, Australia
- National Australia Bank, Sydney, Australia
- Harbour Dom Pty Ltd, Sydney, Australia
- Energy Australia, Sydney, Australia
- Ajinomoto
Computer Language Experience in Addition to Mathematica
Mathematical/symbolic
- Matlab
- VBA/Microsoft Excel
- MacLindo
- MacGino
- Theorist
Statistical
Editing
- Microsoft Word
- WordPerfect
Platform Experience
Languages Spoken
Geographic Area of Operation
- Chicago, Illinois, United States
- Europe, United Kingdom, and Australia (for periods of up to three months)
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