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.
Dynamic Inventory Management with Mean-Field Competition, Ryan Donnelly and Zi Li, Applied Mathematical Finance (to appear) [SSRN, arXiv]
Exploratory Control with Tsallis Entropy for Latent Factor Models, Ryan Donnelly and Sebastian Jaimungal, SIAM Journal on Financial Mathematics. 2023, 15(1), pg. 26-53 [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]
Insider Trading with Shareholder Activism and Residual Risk, Pierre Collin-Dufresne and Ryan Donnelly
7CCMFM03 - Financial Markets
7CCMFM04 - Stochastic Analysis
7CCMFM20 - Stochastic Control
6CCM388A - Mathematical Finance I
MATH97232 - Stochastic Control in Finance
MATH97233 - Algorithmic and High-Frequency Trading
CFRM 501 - Investment Science
CFRM 503 - Portfolio Management and Asset Allocation
CFRM 415 - Introduction to Financial Markets
Limit Order Books and Market Microstructure
MATH 471 - Quantitative Risk Management
MMF 1928 - Pricing Theory 1
MMF 1929 - Pricing Theory 2
ESC 103 - Engineering Mathematics and Computation