WILL WRIGHT

RESEARCH INTERESTS

Mathematical finance

• • Pricing and sensitivities in the LIBOR and cross-currency LIBOR market models.

  • Development of numerical methods for stochastic volatility simulations.

  • Pricing the no-negative equity guarantee in reverse mortgages contracts.

  • Efficient pricing of option contracts governed by linear parabolic PDEs.

  • Sparse grids approximations of linear parabolic PDEs in high dimensions.

Auction theory

• • Hui: A Vietnamese auction for generating capital.

ODEs and PDEs

• • General linear methods; unifying Runge-Kutta and linear multistep methods.

  • Exponential integrators for large systems of discretized parabolic PDEs.

Preprints

• • A Krylov subspace method for option pricing:

    • J. Niesen and W. M. Wright;

    • SSRN, (2011), 1-22.

  • Efficient pricing and greeks in the cross-currency LIBOR market model:

    • C. J. Beveridge, M. S. Joshi and W. M. Wright;

    • SSRN, (2010), 1-35.

  • A Krylov subspace algorithm for evaluating the φ-functions appearing in exponential integrators:

    • J. Niesen and W. M. Wright;

    • arXiv, (2009), 1-20.

Published

• • Energy-preserving Runge-Kutta methods:

    • E. Celledoni, R. I. McLachlan, D. I. McLaren, B. Owren, G. R. W. Quispel and W. M. Wright;

    • ESAIM: Mathematical Modelling and Numerical Analysis, 43:4 (2009), 645-649.

  • The scaling and modified squaring method for matrix functions related to the exponential:

    • B. Skaflestad and W. M. Wright;

    • Applied Numerical Mathematics, 59:3 (2009), 783-799.

  • On the Hopf algebraic structure of Lie group integrators:

    • H. Z. Munthe-Kaas and W. M. Wright;

    • Foundations of Computational Mathematics, 8:2 (2008), 227-257.

  • Energy-preserving methods and B-series:

    • E. Celledoni, R. I. McLachlan, D. I. McLaren, B. Owren, G. R. W. Quispel and W. M. Wright:

    • Nordic Seminar in Computational Mechanics, CIMNE, (2008), 1-4.

  • Expint — A Matlab package for exponential integrators:

    • H. Berland, B. Skaflestad and W. M. Wright;

    • ACM Transactions on Mathematical Software, 33:1 (2007), 4-20.

  • Error propagation of general linear methods for ordinary differential equations:

    • J. C. Butcher, Z. Jackiewicz and W. M. Wright;

    • Journal of Complexity, 23:4 (2007), 560-580.

  • A class of explicit exponential general linear methods:

    • A. Ostermann, M. Thalhammer and W. M. Wright;

    • BIT Numerical Mathematics, 46:2 (2006), 409-431.

  • Applications of doubly companion matrices:

    • J. C. Butcher and W. M. Wright;

    • Applied Numerical Mathematics, 56:3 (2006), 358-373.

  • A review of exponential integrators for first order semi-linear problems:

    • B. V. Minchev and W. M. Wright;

    • Technical Report NTNU, (2005), 1-44.

  • The construction of practical general linear methods:

    • J. C. Butcher and W. M. Wright;

    • BIT Numerical Mathematics, 43:4 (2003), 695-721.

  • A transformation relating explicit and diagonally implicit general linear methods:

    • J. C. Butcher and W. M. Wright;

    • Applied Numerical Mathematics, 44:3 (2003), 313-327.

  • Explicit general linear methods with inherent Runge-Kutta stability:

    • W. M. Wright;

    • Numerical Algorithms, 31:1 (2002), 381-399.

  • The construction of order 4 DIMSIMs for ordinary differential equations:

    • W. M. Wright;

    • Numerical Algorithms, 26:2 (2001), 123-130.

Theses

• • General linear methods with inherent Runge-Kutta stability:

    • Ph.D. thesis;

    • The University of Auckland, 2003.

  • General linear methods for ordinary differential equations:

    • M.Sc. thesis;

    • The University of Auckland, 1999.