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I run my own independent consultancy, specialising in the application of probability and statistics to business, especially financial markets. I hold a PhD in applied mathematics, the RSS graduate diploma in statistics, and have held CStat status since 2000. Prior to starting my consultancy in 2014, I have accumulated over 14 years of industry experience, working for banks such as JP Morgan, Lehman Brothers, BNP Paribas and others. I have written two industry leading books on financial derivatives. Clark, I.J. (2011) Foreign Exchange Option Pricing: A Practitioner's Guide, Wiley Finance. Clark, I.J. (2014) Commodity Option Pricing: A Practitioner's Guide, Wiley Finance.
EFFICIENT FRONTIER CONSULTING LTD I am able to undertake short to medium term (from a few hours to several months) consulting engagements. Work can be undertaken on the theoretical/modelling side, involving delivery of in-house seminars and technical reports, or can also involve the construction of prototype code together with documentation and a comprehensive test suite. Any area of consultancy involving quantitative analysis, risk and technical trading is within scope and you are very welcome to make a no-obligation initial enquiry via my web page.
My specialisations are option pricing using Monte Carlo simulation and finite difference methods, risk, model validation and financial data science. My asset class specialisations are foreign exchange, commodities and fixed income. I code in R, Python, C++14 and Matlab.