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, J Dalby
Optimal mutual insurance against systematic longevity risk

Arxiv
John Armstrong, Andreas Vollmer
Abundant Superintegrable Systems and Hessian Structures

Arxiv
Reza Arabpour, John Armstrong, Luca Galimberti, Anastasis Kratsios, Giulia Livieri
Low-dimensional approximations of the conditional law of Volterra processes: a non-positive curvature approach

Arxiv
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, J Dalby
Optimal post-retirement investment under longevity risk in collective funds

Arxiv
J Armstrong, G Tatlow
Deep Gamma Hedging

Arxiv
J Armstrong, A Ionescu
Gamma Hedging and Rough Paths

Arxiv
J Armstrong, I Jackman
The decolonisation of mathematics

Arxiv
J Armstrong
The Geometry of Risk

Link

Peer Reviewed Journals

J Armstrong, A Sullivan
A Critical Analysis of Athena Swan as a Policy-Scoring Scheme
British Educational Research Journal (2024)
Link
J Armstrong, A Sullivan
The QAA's subject benchmarks and critical pedagogy: The example of ‘gateway to King's’
British Educational Research Journal (2024)
Link
J Armstrong, A Sullivan
LGBT+ Representation Higher Education in England and Wales
British Journal of Sociology of Education (2024)
SSRN
Link
J Armstrong, A Ionescu
Ito Stochastic Differentials
Stochastic Processes and their Applications (2024)
Link
Arxiv
J Armstrong, D Brigo, B Hanzon
Optimal Projection Filters with Information Geometry
Information Geometry (2023)
Link
J Armstrong, D Brigo, A Tse
The importance of dynamic risk constraints for limited liability operators
Annals of Operations Research (2023)
Link
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
Link
J Armstrong, T King
Anomalous Recurrence Properties of Markov Chains on Manifolds of Negative Curvature
Journal of Applied Probability (2022)
Arxiv
Link
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
Link
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
Link
J Armstrong
The twistor discriminant locus of the Fermat cubic
New York Journal of Mathematics, 21 (2015) 485-510
Link
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)
Link
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
Link
V Apostolov, J Armstrong
Symplectic 4-manifolds with Hermitian Weyl tensor
Transactions of the American Mathematical Society, 352 [10] (2000) 4501-4513
Link
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
link
J Armstrong
On four-dimensional almost-Kähler Manifolds
Quarterly Journal of Mathematics, 48 [4] (1997) 405-415
Link

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
Link
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)
Link

Other

J Armstrong
The baffling decision to defund a national academy for mathematics
The Spectator, 3 October 2024
Link
J Armstrong
"Social justice" is damaging education
The Critic, 21 August 2024
Link
J Armstrong
Neither mathematics nor rationality are ‘European’
Times Higher Education, 7 June 2024
Link
J Armstrong
Why academia failed to challenge trans ideology
The Spectator, 13 April 2024
Link
J Armstrong
When sex matters more than gender identity
The Critic, 22 December 2023
Link
J Armstrong
KCL's sinister diversity and inclusion policies
The Spectator, 26 November 2023
Link
A Sullivan, J Armstrong
REF 2028 must promote academic freedom
Times Higher Education, 5 October 2023
Link
J Armstrong
Diversity and inclusion does not belong in the maths curriculum
The Spectator, 28 May 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
Link
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
Link
J Armstrong
It’s not just social science that could do with more mathematics
The Spectator, 7 January 2023
Link
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
Has Athena Swan lost its way?
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
Link
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
Link
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
Link