Faculty Profile

Dr. Thomas Lonon

Email: [email protected]
School:  School of Systems & Enterprises
Department:  School of Systems and Enterprises

Ph.D. in Mathematics, Stevens Institute of Technology, Hoboken, NJ Overall GPA 3.85 - 2013

Thesis: “Option Pricing Utilizing a Jump Diffusion Model with a Log Mixture Normal Jump Distribution”

Graduate Certificate in Financial Engineering, Stevens Institute of Technology, Hoboken, NJ - 2008

Masters in Stochastic Systems, Stevens Institute of Technology, Hoboken, NJ - 2007

B.A. in Mathematics Education, Ithaca College, Ithaca, NY - 2003

General Information
  • Financial Engineering: Stochastic Calculus, PDE’s, Jump Diffusion processes, Option pricing,  Black Scholes model, Merton model, Regime switching model, Fixed income securities models, Term structure models, etc.
  • Statistics: Regression, Multivariate Analysis, Maximum Likelihood Estimators, EM algorithm, Bootstrapping and Cross Validation, Testing
  • Empirical Finance: Time series models, GARCH models, Monte Carlo simulations, Discretization of diffusion processes, Trees, Finite difference methods.
  • Programming Languages: R, Matlab, and C++, also using Excel
  • Communication Skills: Professional tutoring Mathematics, Statistics and Probability courses for over 8 years, helped organizing the series of conferences in High-Frequency Data Modeling in Finance at Stevens.

Stevens Institute of Technology, Teaching Assistant

Courses: Calculus II, III, and IV, Probability and Statistics, Stochastic Calculus for Finance. 2009-2013

Northwest Middle School, Greensboro, NC, Algebra Teacher,  Taught 7th and 8th grades. 2003-2004

Professional Service

Akin Bay Company LLC. Worked as aconsultant for Vaud Massarsky, performing statistical analysis of financial data. A proprietary trading strategy was evaluated and its performance estimated using statistical tools. (August 2012)

Honors & Awards

Award for Excellence in Graduate Research (dissertation award) 2013

The Stevens Fellowship for Ph.D. Candidate 2007-2009

Selected Publications
  1. Thomas Lonon. (2012). Option Pricing Utilizing A Jump Diffusion Model With A Log Mixture Normal Jump Distribution - Graduate Student Speaker at 4th Annual Modeling High Frequency Data in Finance Conference, Hoboken, NJ.
  2. Thomas Lonon. An Analytic Formula for European Options; Jump Diffusion Models with a Log Mixture Normal Jump Distribution, working paper, to be submitted 2013.