Dr Terence Chan FRSE

• 3rd Year Director of Studies

I do research into probability theory and stochastic processes, with applications in physics, mathematical finance and risk modelling.

Specifically, my main areas of research are:

• Levy processes and applications
• theory and applications of stochastic partial differential equations.

• Pricing contingent claims on stocks driven by Levy processes', Annals of Applied Probability Vol. 9 (1999) 504--528.
• Scaling limits of Wick ordered KPZ equation, Communications in Mathematical Physics Vol. 209 (2000) 671--690.
• On the valuation of constant barrier options under spectrally one-sided exponential Levy models and Carr's approximation for American Puts (with F. Avram and M. Usabel), Stochastic Processes
  & their Applications Vol. 100} (2002) 75--107.
• Pricing perpetual American options driven by spectrally one-sided Levy processes, in "Exotic Option Pricing and Advanced Levy Models" (ed. A. Kyprianou, W. Schoutens & P. Wilmott), Wiley, 2005
• Smoothness of scale functions for spectrally negative Levy processes (with A. E. Kyprianoui and M Savov), Probability & Related Fields, DOI 10.1007/s00440-010-0289-4.

I obtained a PhD in mathematics from the University of Cambridge in 1990. After a 4-month stint as a Research Associate in Cambridge, I took up my present position at Heriot-Watt in August 1990.