T. R. (Tom) Hurd
(19562022)
Professor of
Mathematics


Contact
Information:
Dr. T. R. Hurd, Professor of Mathematics McMaster University Hamilton, Ontario L8S 4K1 
The
economic crisis of 200708 was first and foremost a crisis of the financial
system, a particularly complex example of a complex adaptive system. This
course will take a threestranded approach to understanding the scientific and
economic foundations for the transmission of dangerous shocks between financial
institutions, and determining conditions under which
these shocks can amplify into a network wide disruption. The first strand will
consider the structure and dynamics of banks, their balance sheets, and their interconnections.
The second strand will review and extend the general probability theory of
information cascades in random networks, and to determine the different ways a
financial crisis can be considered as a network cascade. The final strand will
develop analytical and simulationbased algorithms for large scale computation
of such idealized cascades. By the end of the course, we will have the means to
model and test financial networks to determine their susceptibility to systemic
collapse.
1.
Zachary Feinstein and T.R. Hurd, "Contingent
Convertible Obligations and Financial Stability", January 2021
preprint at arxiv.org/abs/1909.09239,
32 pages.
2.
T.R. Hurd, "COVID19: Analytics of contagion on
inhomogeneous random social networks", Infectious Disease Modelling, 6,
7590, 2021.
3.
T. R. Hurd, "Bank Panics and Fire Sales, Insolvency
and Illiquidity", International Journal of Theoretical and Applied
Finance, 21:6, 2018.
4.
Eduardo Santos Diaz, Simon Haykin,
T.R. Hurd, "The FifthDegree ContinuousDiscrete Cubature Kalman Filter
for Radar", IET Radar, Sonar & Navigation.
10.1049/ietrsn.2018.5148. , 2018.
5.
P. Jevtic and T. R. Hurd. “The joint mortality of couples
in continuous time”, Insurance Mathematics and Economics, 75, 9097, 2017.
6.
T. R. Hurd, James Gleeson, Sergey Melnik,
"A framework for analyzing contagion in banking networks",
PLOS ONE, 12, 120, DOI 10.1371/journal.pone.0170579, 2017.
7.
T. R. Hurd, Davide Cellai, Sergey Melnik, Quentin Shao, "Double Cascade Model of
Financial Crises", International Journal of Theoretical and Applied
Finance (IJTAF), 19:5, 127, 2016. Download pdf file
8.
T. R. Hurd, "The Construction and Properties of
Assortative Configuration Graphs", in "Recent Progress and Modern
Challenges in Applied Mathematics, Modeling and Computational Science",
Fields Institute Communications, ed. Roderick Melnik,
SpringerVerlag Berlin, 2016. Download pdf file
9.
Yacine AïtSahalia, T. R. Hurd, Portfolio Choice in Markets
with Contagion", Journal of Financial Econometrics, 14, 128, 2015.
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10. T. R. Hurd,
James Gleeson "On Watts' Cascade Model with Random Link Weights", Journal
of Complex Networks, 1, 2543, 2013.
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11. James
Gleeson, T. R. Hurd, Sergey Melnik, Adam Hackett "Systemic
risk in banking networks without Monte Carlo simulation", to appear in
"Advances in Network Analysis and its Applications", Mathematics in
Industry series, ed. E. Kranakis, Springer Verlag,
Berlin Heidelberg New York, 2011
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12. M. Grasselli, T. R. Hurd “The Fields Institute Thematic
Program on Quantitative Finance: Foundations and Applications January to June, 2010” Quantitative Finance, 11, 21  29, 2011
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13. Chuang Yi,
A. Tchernitser, T. R. Hurd "Randomized
structural models of credit spreads", Quantitative Finance, 2010,
http://www.informaworld.com/10.1080/14697688.2010.507213. DOI:
10.1080/14697688.2010.507213
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14. Ienkaran Arasaratnam, Simon Haykin, T. R.
Hurd "Cubature Filtering for ContinuousDiscrete Systems: Theory with
an Application to Tracking", IEEE Transactions on Signal Processing,
2010, 29 pages.
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15. T. R. Hurd, Zhuowei Zhou "A Fourier transform method for spread
option pricing”, SIAM Journal of Financial Mathematics, 1, 142157,
2009.
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16. T. R. Hurd “Credit
Risk Modelling using timechanged Brownian motion”, Int. J. Theor. App. Fin. 12, 1213–1230, 2009.
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17. T. R. Hurd,
A. Kuznetsov "On the first passage time for
Brownian motion subordinated by a Levy process", Journal of Applied
Probability 46.1, 181198, 2009.
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18. T. R. Hurd "Saddlepoint approximations in portfolio credit risk",
in Encyclopedia of Quantitative Finance, ed. R. Cont,
WileyUK, 7 pages, 2008.
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19. Y. AitSahalia, J. CachoDiaz, T. Hurd "Portfolio Choice
with Jumps: A Closed Form Solution" , Annals of Applied Probability,19.2,
277290, 2008.
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20. T. R. Hurd,
A. Kuznetsov "Explicit formulas for Laplace
transforms of stochastic integrals", Markov Processes and Related
Fields, 14, 277290, 2008.
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21. T. R. Hurd,
A. Kuznetsov "Affine Markov chain models of multifirm credit migration", Journal of Credit
Risk 3, 329, 2007.
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22. M. R. Grasselli, T. R. Hurd "Indifference pricing and
hedging for volatility derivatives", Applied Mathematical Finance 14,
303317, 2007.
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23. Jingping Yang, T. R.
Hurd, Xuping Zhang "Saddlepoint
approximation method for pricing CDOs", Journal of Computational
Finance 10, 120, 2006.
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24. T. R. Hurd "A
note on logoptimal portfolios in exponential Levy markets",
Statistics and Decisions, 22, pp. 225236, 2004
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25. M. R. Grasselli, T. R. Hurd "Weiner chaos and the
CoxIngersollRoss model", Proc. R. Soc. A, 461, pp. 459479,
2004
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26. T. Choulli, T. R. Hurd "The role of Hellinger
processes in mathematical finance", Entropy 3, pp. 152163, 2001
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27. J. Boland,
T.R. Hurd, M. Pivato, L. Seco "Measures of
dependence for multivariate Levy distributions", Proceedings of the
Conference on Disordered and Complex Systems, edited by P. Sollich
et al, American Institute of Physics, 2001
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1.
T. R. Hurd, Zhuowei Zhou "Twofactor
capital structure models for equity and credit”, working paper, October
2011
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2.
T. R. Hurd, Zhuowei Zhou "Structural
credit risk using timechanged Brownian motions: a tale of two models”,
working paper, September 2011
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3.
J. Abad, T. R. Hurd "Error bounds for Monte Carlo
based portfolio optimization", working paper, February 2004
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4.
M. R. Grasselli, T. R. Hurd "A
Monte Carlo method for exponential hedging of contingent claims",
working paper, November 2002
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5.
T. Choulli, T. R. Hurd "The
portfolio selection problem via Hellinger processes", working paper,
October 2001
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6.
T. R. Hurd "Pricing formulas, model error and
hedging derivative portfolios", working paper, August 2001
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