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

  • Insider Trading with Temporary Price Impact, Weston Barger and Ryan Donnelly, International Journal of Theoretical and Applied Finance, (forthcoming) [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

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

Teaching

King's College London (2020)

  • 7CCMFM04 - Stochastic Analysis

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