Michael Kelly has used Mathematica since 1992 and has been a Mathematica consultant since 1995. He has given innumerable seminars on the use of Mathematica in finance. He has used Mathematica, MathLink, and Microsoft Excel to set up financial databases, construct mathematical and statistical models of trading data, write code to simulate newly devised trading strategies, write interface code to communicate with the trading platform to institute automated trading, analyze the PNL of trades, write research reports, evaluate options and futures prices, and implement trading strategies. Dr. Kelly is currently a Wolfram Technology Consultant, specifically consulting with Wolfram Finance Platform.
Dr. Kelly was a senior lecturer in mathematics in the School of Quantitative Methods and Mathematical Sciences at the University of Western Sydney (UWS), Macarthur, transferring in 2000 to the position of senior lecturer in finance in the School of Economics and Finance. While there he taught courses in almost every area of statistics, applied mathematics, and mathematical finance, including courses in linear algebra, hypothesis testing, multivariate statistics, regression, time series, dynamical systems, the philosophy of mathematics, optimization, neural networks, differential equations, stochastic differential equations, option pricing, interest rate models, programming, computational mathematics, and computational finance. Kelly has since moved to Chicago, and until 2007 was associate professor of finance at the Stuart Graduate School of Business, Illinois Institute of Technology. In this capacity he taught two streams of courses: financial modeling, using Microsoft Excel and Mathematica, for master's students, and computational finance for master's and PhD students. Following his teaching career, Dr. Kelly was employed as the research director for DB Trading and Unetich Trading LLC at the Chicago Board of Trade, as well as financial consultant to a number of investment firms and trading companies.
|Organization:||Wolfram Research, Inc., Champaign, Illinois|
|Degrees:||BS in Pure Mathematics, The University of Sydney
PhD in Applied Mathematics (Operations Research), The University of New South Wales
|Interests:||Physics, economics, philosophy, music, art, politics|