I am a Lecturer of Financial Mathematics at King's College London. In the past I have been a Postdoctoral Researcher at Ecole polytechnique fédérale de Lausanne and a Research Associate at the University of Washington. I completed my PhD in Mathematics at the University of Toronto. My research interests are in stochastic control, limit order book models, algorithmic trading, and market microstructure.

Research

Publications

• Exploratory Control with Tsallis Entropy for Latent Factor Models, Ryan Donnelly and Sebastian Jaimungal, SIAM Journal on Financial Mathematics. (forthcoming) [SSRN, arXiv]

• Optimal Execution: A Review,  Applied Mathematical Finance. 2022, 29:3, 191-212 [SSRN]

• Insider Trading with Temporary Price Impact, Weston Barger and Ryan Donnelly, International Journal of Theoretical and Applied Finance, Vol. 24, No. 2 [SSRN, arXiv]

• Optimal Trading with Differing Trade Signals, Ryan Donnelly and Matthew Lorig, Applied Mathematical Finance. 2020, 27:4, pg. 317-344  [SSRN, arXiv]

• Hedging Non-Tradable Risks with Transaction Costs and Price Impact, Alvaro Cartea, Ryan Donnelly, and Sebastian Jaimungal, Mathematical Finance. 2020, Vol. 30, Iss. 3, pg. 833-868 [SSRN, arXiv]

• Effort Expenditure for Cash Flow in a Mean-Field Equilibrium, Ryan Donnelly and Tim Leung, International Journal of Theoretical and Applied Finance. 2019, Vol. 22, No. 4 [SSRN]

• Optimal Decisions in a Time-Priority Queue, Ryan Donnelly and Luhui Gan, Applied Mathematical Finance. 2018, 25:2, pg. 107-147 [SSRN]

• Portfolio Liquidation and Ambiguity Aversion, Alvaro Cartea, Ryan Donnelly, and Sebastian Jaimungal, High-Performance Computing in Finance. 2018, pg. 77-114 [SSRN]

• Enhancing Trading Strategies with Order Book Signals, Alvaro Cartea, Ryan Donnelly, and Sebastian Jaimungal, Applied Mathematical Finance. 2018, 25:1, pg. 1-35 [SSRN]

• Algorithmic Trading with Model Uncertainty, Alvaro Cartea, Ryan Donnelly, and Sebastian Jaimungal, SIAM Journal on Financial Mathematics. 2017, 8(1), pg. 635-671 [SSRN]

• Valuing Guaranteed Withdrawal Benefits with Stochastic Interest Rates and Volatility, Ryan Donnelly, Sebastian Jaimungal, and Dmitri Rubisov, Quantitative Finance. 2014, 14(2), pg. 369-382 [SSRN]

Working Papers

• Dynamic Inventory Management with Mean-Field Competition, Ryan Donnelly and Zi Li (submitted) [SSRN, arXiv]

• Insider Trading with Shareholder Activism and Residual Risk, Pierre Collin-Dufresne and Ryan Donnelly

Teaching

King's College London

• 7CCMFM03 - Financial Markets

• 7CCMFM04 - Stochastic Analysis

• 7CCMFM20 - Stochastic Control

• 6CCM388A - Mathematical Finance I

Imperial College London (2022)

• MATH97232 - Stochastic Control in Finance

• MATH97233 - Algorithmic and High-Frequency Trading

University of Washington (2017-2020)

• CFRM 501 - Investment Science

• CFRM 503 - Portfolio Management and Asset Allocation

• CFRM 415 - Introduction to Financial Markets

University of Oxford (2018)

• Limit Order Books and Market Microstructure

Ecole polytechnique fédérale de Lausanne (2015-2017)

• MATH 471 - Quantitative Risk Management

University of Toronto (2011-2012)

• MMF 1928 - Pricing Theory 1

• MMF 1929 - Pricing Theory 2

• ESC 103 - Engineering Mathematics and Computation