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Mathematica Trainer and Consultant: Michael Kelly
Address
Stuart Graduate School of Business
Illinois Institute of Technology
565 West Adams Street
Chicago, IL 60661-3691
web: http://www.stuart.iit.edu/faculty/kelly
email: mkelly@stuart.iit.edu
phone: 312-906-6569
fax: 312-906-6549
Background
Dr. Michael Kelly has degrees in both pure mathematics and applied mathematics
(queuing theory). Until 2000 he was a senior lecturer in
mathematics in the School of Quantitative Methods and Mathematical Sciences
at the University of Western
Sydney, Macarthur, transferring in 2001 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 is currently an associate
professor in finance at the Stuart Graduate School of Business, Illinois Institute of
Technology. He now teaches two streams of courses: financial modeling, using Excel
and Mathematica, for master's students and computational finance for
master's and Ph.D. students.
He teaches all courses in computer labs, with the majority of the
programming done in the symbolic language Mathematica. This approach makes it easy
to represent any financial problem computationally. Because of the popularity of
Excel in the financial community, extensive use is 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.
Consulting Information
Dr. Kelly has used Mathematica since 1992 and has been a Mathematica
consultant since 1995.
- Expertise
- The application of symbolic programming techniques for the computational
representation of traditional mathematical problems in finance
- Research in finance
- Evaluation of exotic and American options
- Evaluation of asset distributions
using maximum entropy and linear inversion
- Computational techniques for SDEs and risk evaluation
- Major Clients
- Ajinomoto
- Ernst and Young (Sydney, Australia)
- Harbour Dom Pty Ltd (Sydney, Australia)
- EnergyAustralia
- Education
- B.Sc. in Pure Mathematics, The University of Sydney, 1976
- Ph.D. in Applied Mathematics (Queuing Theory), The University of New South Wales, 1986
- Computer Language Experience in Addition to Mathematica
- Mathematical/Symbolic
- Matlab
- VBA/Excel
- MacLindo
- MacGino
- Theorist
- Statistical
- Editing
- Microsoft Word
- WordPerfect
- Platform Experience
- Languages Spoken
- English
- French (a little)
- Geographic Area of Operation
- Chicago, Illinois
- Europe, England, and Australia (for periods of up to three months)
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