6 papers
Faith Believes, Hope Expects: The Impact of Calvin's Theology on the Mathematics of Chance
Timothy C. Johnson
This paper attributes the sudden emergence of mathematical probability and statistics in the second half of the seventeenth century to Calvin's Reformed theology. Calvin accommodat…
Optimal Control of a Power Storage Facility with Variable Payoffs
Fraser J W O'Brien, Timothy C Johnson
We present a methodology for determining the relationship between the optimal control points of a power storage facility and a number of different factors including storage level a…
Reciprocity as the foundation of Financial Economics
Timothy C. Johnson
This paper argues that the fundamental principle of contemporary financial economics is balanced reciprocity, not the principle of utility maximisation that is important in economi…
Ethics and Finance: the role of mathematics
Timothy C. Johnson
This paper presents the contemporary Fundamental Theorem of Asset Pricing as being equivalent to approaches to pricing that emerged before 1700 in the context of Virtue Ethics. Thi…
The solution of discretionary stopping problems with applications to the optimal timing of investment decisions
Timothy C. Johnson
We present a methodology for obtaining explicit solutions to infinite time horizon optimal stopping problems involving general, one-dimensional, Itô diffusions, payoff functions th…
A Singular Control Model with Application to the Goodwill Problem
Andrew J. F. Jack, Timothy C. Johnson, Mihail Zervos
We consider a stochastic system whose uncontrolled state dynamics are modelled by a general one-dimensional Itô diffusion. The control effort that can be applied to this system tak…