The New Zealand financier, Kirk Stephenson, 47, who was married with an eight-year-old son, died under the wheels of a 160km/h express train at Taplow railway station, Berkshire, the Daily Mail newspaper reported.

Police said Mr Stephenson had thrown himself in front of the Plymouth-to-Paddington train.

The newspaper said Mr Stephenson was believed to have taken his own life after succumbing to personal pressures as the world's financial markets continued their meltdown.

He had breakfast with his wife, Karina Robinson, a successful finance writer, and son Lucas before killing himself.

Mr Stephenson, who arrived in London in 1983 and trained at merchant banker SG Warburg, went on to work at several large organisations, among them the financier Olivant Advisers.

He was paid 333,000 ($A733,000) last year, but is thought to have made millions more from Olivant's core business, based in Guernsey.

Mr Stephenson owned a $A7.9million five-storey house in Chelsea, a holiday home in the West Country, and was Olivant Advisers' chief operating officer.

Sources stressed that neither Mr Stephenson nor his company had financial problems that would have led him to take his own life, and said he had overreacted to the continuing financial turmoil.

The driver sounded his horn and slammed on the brakes but was unable to stop in time.

Mr Stephenson left no note, but the incident is being treated as a suicide by the police, train operator First Great Western and his own firm. NZPA