Publications

Books

J Armstrong
C++ for Financial Mathematics
Chapman and Hall/CRC Financial Mathematics Series, (2017)
Website
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Working Papers/Submitted

J Armstrong, A Sullivan
A Critical Analysis of Athena Swan as a Policy-Scoring Scheme

SSRN
J Armstrong, A Sullivan
A Time-Series Analysis of the Impact of Athena Swan on the Representation of Women in Senior Roles

SSRN
J Armstrong, C Buescu
Collectivised Post-Retirement Investment

Arxiv
J Armstrong
The Geometry of Risk

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Peer Reviewed Journals

J Armstrong, A Ionescu
Ito Stochastic Differentials
Stochastic Processes and their Applications (2024)
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Arxiv
J Armstrong, D Brigo, B Hanzon
Optimal Projection Filters with Information Geometry
Information Geometry (2023)
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J Armstrong, D Brigo, A Tse
The importance of dynamic risk constraints for limited liability operators
Annals of Operations Research (2023)
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Arxiv
J Armstrong, D Brigo, E Rossi-Ferrucci
Projections of SDEs onto Submanifolds
Information Geometry (2023)
Link
J Armstrong, T King
Curved Schemes for SDEs on, or near, Manifolds
Proceedings of the Royal Society A (2022)
Arxiv
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J Armstrong, T King
Anomalous Recurrence Properties of Markov Chains on Manifolds of Negative Curvature
Journal of Applied Probability (2022)
Arxiv
J Armstrong, D Brigo, T Cass, E Rossi-Ferrucci
Non-Geometric Rough Paths on Manifolds
Journal of the London Mathematical Society (to appear)
Arxiv
Link
J Armstrong, D Brigo
Coherent risk measures alone are ineffective in constraining portfolio lossess
Journal of Banking and Finance, 2021
Arxiv
Link
J Armstrong, C Bellani, D Brigo, T Cass
Option pricing models without probability: a rough paths approach
Mathematical Finance, 2021
Arxiv
Link
S Alvares Maffra, J Armstrong, T Pennanen
Stochastic modeling of assets and liabilities with mortality risk
Scandinavian Actuarial Journal, 2021
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J Armstrong
Classifying Financial Markets up to Isomorphism
Proceedings of the Royal Society A, 476 [2241] 2020
Link
Arxiv
J Armstrong, D Brigo
Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility
Journal of Banking and Finance, 101 p122-135 (2019)
Blog
Link
Arxiv
J Armstrong, D Brigo, E Rossi-Ferrucci
Optimal approximation of SDEs on submanifolds: the Ito-vector and Ito-jet projections
Proceedings of the London Mathematical Society, 119, 1 p176-213 (2018)
Arxiv
Link
J Armstrong, T Pennanen, U Rakwongwan
Pricing index options by static hedging under finite liquidity
International Journal of Theoretical and Applied Finance, 21 [06] (2018)
Arxiv
Link
J Armstrong
The Markowitz Category
SIAM Journal on Financial Mathematics, 9 [3] (2018) 994–1016
Arxiv
Link
J Armstrong, D Brigo
Rogue traders versus value-at-risk and expected shortfall
Risk Magazine, April 2018
Link
J Armstrong, D Brigo
Intrinsic SDES as Jets
Proceedings of the Royal Society A, 474 [2210] (2018)
Arxiv
Link
J Armstrong, M Forde, H Zhang
Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion
SIAM Journal on Financial Mathematics, 8 [1] (2017) 82–113
Link
Arxiv
J Armstrong, D Brigo
Nonlinear filtering via stochastic PDE projection on mixture manifolds in L2 direct metric
Mathematics of Control, Signals, and Systems, 28 [1] (2016) 1-33
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J Armstrong
The twistor discriminant locus of the Fermat cubic
New York Journal of Mathematics, 21 (2015) 485-510
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S Amari, J Armstrong
Curvature of Hessian Manfiolds
Differential Geometry and its Applications, 33 (2014) 1–12
Arxiv
Link
J Armstrong, S Salamon
Twistor topology of the Fermat cubic
SIGMA. Symmetry, Integrability and Geometry: Methods and Applications, 10 [061] (2014)
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J Armstrong, M Povero, S Salamon
Twistor Lines on Cubic Surfaces
Rend. Sem. Mat. Univ. Pol. Torino, 71 (2013)
Arxiv
J Armstrong
An ansatz for almost-Kähler, Einstein 4-manifolds
Journal für die reine und angewandte Mathematik (Crelles Journal), 542 (2002) 53-84
Link
V Apostolov, J Armstrong, T Draghici
Local models and integrability of certain almost Kähler 4-manifolds
Mathematische Annalen, 323 (2002) 633-666
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V Apostolov, J Armstrong
Symplectic 4-manifolds with Hermitian Weyl tensor
Transactions of the American Mathematical Society, 352 [10] (2000) 4501-4513
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V Apostolov, J Armstrong, T Draghici
Local rigidity of certain classes of almost Kähler 4-Manifolds
Annals of Global Analysis and Geometry, 21 [2] (2002) 151-176
Arxiv
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J Armstrong
On four-dimensional almost-Kähler Manifolds
Quarterly Journal of Mathematics, 48 [4] (1997) 405-415
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Proceedings

J Armstrong, D Brigo
Ito stochastic differential equations as 2-Jets
Geometric Science of Information: Second International Conference, GSI 2015. Springer. (543-551)
Link
Arxiv
J Armstrong, D Brigo
Stochastic PDE projection on manifolds: Assumed-density and Galerkin filters
Lecture Notes in Computer Science. Springerā€Verlag Berlin Heidelberg, Vol. 9389, p. 713-722 10 p., April 2016
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S Amari, J Armstrong
The Pontrjagin Forms of Hessian Manifolds
Geometric Science of Information: Second International Conference, GSI 2015. Springer. (240-247)
Link
J Armstrong, D Brigo
Stochastic PDE Projection on Manifolds: Assumed-Density and Galerkin Filters
Geometric Science of Information: Second International Conference, GSI 2015. Springer. (713-722)
Link
J Armstrong, D Brigo
Stochastic filtering by projection: the example of the cubic sensor
Geometric Science of Information: First International Conference, GSI 2013. Springer. (685-692)
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Other

A Sullivan, J Armstrong
REF 2028 must promote academic freedom
Times Higher Education, 5 October 2023
Link
J Armstrong
What the Royal Society of Chemistry gets wrong about free speech
The Spectator, 17 May 2023
Link
J Armstrong
Climate activism must not be allowed to undermine climate science
The Spectator, 25 April 2023
Link
J Armstrong
EDI contra science
The Critic, 1 April 2023
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J Armstrong
World Athletics’ trans policy isn’t scientific
The Spectator, 29 January 2023
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J Armstrong
LSE is right to cut ties with Stonewall
The Spectator, 22 January 2023
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J Armstrong
It’s not just social science that could do with more mathematics
The Spectator, 7 January 2023
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J Armstrong
Academic freedom is being stifled at Imperial College London
The Spectator, 28 December 2022
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J Armstrong
The sinister attempts to ‘decolonise’ mathematics
The Spectator, 13 November 2022
Link
J Armstrong, A Sullivan
The subversion of Athena Swan
The Critic, 11 August 2022
Link
A Sullivan, J Armstrong

BERA Blog, 30 November 2021
Link
J Armstrong, D Brigo
Basel risk limits will not curb rogue traders
Bracken, The Banker, April 2018
Link
J Armstrong, D Brigo
Curbing Rogue Behaviour
Comment, Risk Magazine, April 2018
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J. Armstrong, N. Shepherd-Barron
Appendix to: An Exceptional Locus in the Perfect Compactification of Ag
Recent Developments in Algebraic Geometry: To Miles Reid for his 70th Birthday, London Mathematical Society 2021
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D. Redwood, L. Carrera, J. Armstrong, T. Pennanen
What level of pension contribution is needed to obtain an adequate retirement income?
Pensions Policy Institute, October 2013
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J Armstrong
Almost Kahler Geometry
D. Phil. thesis. Oxford University, 1998
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