Lane Palmer Hughston

Staff details

Position Professor of Mathematics

Department Computing

Email l.hughston (@gold.ac.uk)

Lane Hughston is Professor of Mathematics in the Department of Computing. His doctoral degree in mathematics is from the University of Oxford. He has carried out work in general relativity, cosmology, twistor theory, quantum mechanics, statistical mechanics, thermodynamics, and a number of different areas of mathematical finance and its applications, including interest rates, foreign exchange,, inflation, and information based asset pricing. He is Editor-in-Chief of International Journal of Theoretical and Applied Finance. He is a member of the London Mathematical Society, the European Mathematical Society, the American Finance Association, the American Physical Society, and the Society for Industrial and Applied Mathematics (SIAM). He is a Fellow of the Institute of Mathematics and its Applications, and is a lifetime member of the American Mathematical Society, the Bachelier Finance Society, and the International Society on General Relativity and Gravitation.

Research Interests

Mathematical physics, mathematical finance

Publications

Article

Hughston, Lane P. and Sánchez-Betancourt, Leandro. 2020. Pricing with Variance Gamma Information. Risks, 8(4), ARTN105. ISSN 2227-9091

Bouzianis, George and Hughston, Lane P.. 2020. Optimal Hedging in Incomplete Markets. Applied Mathematical Finance, ISSN 1350-486X

Brody, Dorje; Hughston, Lane P. and Meister, Bernhard. 2020. Theory of Cryptocurrency Interest Rates. SIAM Journal for Financial Mathematics, 11(1), pp. 148-168. ISSN 1945-497X

Bouzianis, George and Hughston, Lane P.. 2019. Determination of the Lévy Exponent in Asset Pricing Models. International Journal of Theoretical and Applied Finance, 22(1), ARTN1950008. ISSN 0219-0249

Brody, Dorje C.; Hughston, Lane P. and Meier, David M. 2018. Lévy-Vasicek Models and the Long-Bond Return Process. International Journal of Theoretical and Applied Finance, 21(3), p. 1850026. ISSN 0219-0249

Brody, DC and Hughston, Lane P.. 2018. Social Discounting and the Long Rate of Interest. Mathematical Finance, 28(1), pp. 306-334. ISSN 0960-1627

Brody, Dorje C. and Hughston, Lane P.. 2016. Thermodynamics of quantum heat bath. Journal of Physics A: Mathematical and Theoretical, 49(42), p. 425302. ISSN 1751-8113

Hughston, Lane P. and Salamon, S. M.. 2016. Surveying points in the complex projective plane. Advances in Mathematics, 286, pp. 1017-1052. ISSN 0001-8708

Brody, Dorje C.; Hughston, Lane P. and Meier, David M. 2015. Fragile entanglement statistics. Journal of Physics A: Mathematical and Theoretical, 48(42), p. 425301. ISSN 1751-8113

Brody, DC and Hughston, Lane P.. 2015. Universal Quantum Measurements. Journal of Physics: Conference Series, 624, ARTN012002. ISSN 1742-6588

Book Section

Brody, DC and Hughston, Lane P.. 2018. Quantum State Reduction. In: Shan Gao, ed. Collapse of the Wave Function. Cambridge: Cambridge University Press, pp. 47-73. ISBN 9781316995457

Bender, Carl M.; Brody, Dorje C.; Hughston, Lane P. and Meister, Bernhard K.. 2016. Geometric Aspects of Space-Time Reflection Symmetry in Quantum Mechanics. In: , ed. Geometric aspects of space-time reflection symmetry in quantum mechanics. 184 Berlin: Springer Verlag, pp. 185-199. ISBN 978-3-319-31354-2

Hoyle, E; Hughston, Lane P. and Macrina, A.. 2015. Stable-1/2 bridges and insurance. In: , ed. Stable-1/2 bridges and insurance. 104 Poland: Banach Center Publications, Volume 104, Institute of Mathematics, Polish Academy of Sciences, Warsaw, pp. 95-120.