Mathematical Finance Programme - Lecturers
Dr Jamil Baz: Interest Rate Products and Markets
Jamil Baz is an Executive Vice-President with PIMCO, where he manages global portfolios. Prior to this, Jamil was a Managing Director in the Proprietary Trading Group of Goldman Sachs, the Chief Investment Strategist of Deutsche Bank and a Managing Director with Lehman Brothers. Jamil holds degrees from the Ecole des Hautes Etudes Commerciales ("Diplôme"), the London School of Economics (MSc), the Massachusetts Institute of Technology (SM) and Harvard University (AM, PhD). He has taught Financial Economics at Georgetown University and Harvard University.
Dr John Crosby: Jump Diffusion, Equity Exotics
John gained a first class honours degree in Applied Mathematics and Theoretical Physics at Girton College, Cambridge University before going on to gain an M.Sc. in Electrical Engineering at University College, Oxford University. As well as being a former fx options trader, John has headed quant teams at Monis, Barclays Capital and Lloyds where he has developed derivatives models across all asset classes. He is best known for publishing several papers in the area of commodity and hybrid derivatives and for being a co-author of the Carr-Crosby fx options model. John is an executive director in the front-office quantitative analytics group at UBS and a visiting Professor at Glasgow University.
Dr Jeff Dewynne: Varity of Core Topics including Financial Modelling and Numerical Analysis
Jeff Dewynne is a senior fellow in the School of Finance and Economics at the University of Technology Sydney. Previously, he was the founding course director of the Diploma and MSc and a lecturer in mathematics at the University of Oxford. He is also the co-director of the Oxford Centre for Computational Finance, the co-founding Editor-in-Chief of Applied Mathematical Finance and has co-authored two books on mathematical finance.
Prof Mike Giles: Advanced Numerical Analysis
Mike Giles is a professor of scientific computing at the University of Oxford, and a tutorial fellow in mathematics at St Hugh's College.
After many years of developing new algorithms in computational fluid dynamics with applications to aircraft engine design, he has recently moved into computational finance working on both Monte Carlo and finite difference methods. He and Paul Glasserman of Columbia Business School were named Quants of the Year 2007 by Risk magazine for their research on the use of adjoint techniques for efficient Monte Carlo estimation of Greeks.
Dr Patrick Hagan: Interest Rate Modelling
Patrick Hagan received his BS and PhD in Applied Mathematics from Caltech. Over the years he has worked at Bloomberg and several banks designing trading systems for fixed income, credit, and foreign exchange derivatives, as well as developing the component models, calibration methods, and numerical algorithm. He is now Head of Quantitative Analysis at JP Morgan's Chief Investment Office. Before entering finance he was Deputy Director of the CNLS and a member of the Computer Research and Applications group at Los Alamos. He has also worked at Exxon Science Laboratories, and has taught at Caltech, Stanford, the Institute for Mathematics and its Applications, and NYU.
Prof Ben Hambly: Stochastic Approaches to Finance
Ben Hambly is a lecturer in mathematical finance at the University of Oxford. His interests include probabilistic approaches to finance, stochastic volatility, credit risk modelling, energy pricing and higher-dimensional American style options.
Dr Raphael Hauser: Optimisation and Portfolio Theory
Raphael Hauser studied mathematics and theoretical physics at ETH Zurich, from where he graduated in 1993, having written a master thesis in the representation theory of C*-algebras. He spent the next two years teaching as an assistant at ETH and as a lecturer at the Fachhochschule of Lucerne, specialising in the area of applied probability. In 1995 he joined the PhD programme in Operations Research at Cornell University in Ithaca (NY), where he wrote a thesis in the area of interior-point methods for conic optimisation. In 1999 Raphael took up a position as a postdoctoral research associate at the Department of Applied Mathematics and Theoretical Physics of the University of Cambridge, and in October 2001 he joined the faculty of the Numerical Analysis Group of the Oxford University Computing Laboratory where he is currently a reader. His research areas are optimisation and applied probability. Raphael is also a Tutorial Fellow of Pembroke College Oxford.
Prof Sam Howison: Variety of topics including Stochastic Volatility and Energy Derivatives
Sam Howison is a lecturer in mathematics at the University of Oxford. He is the Director of the Oxford Centre for Industrial and Applied Mathematics and the Nomura Centre for Quantitative Finance. He is a co-author of Option Pricing and The Mathematics of Financial Derivatives and a member of the editorial boards of a number of prestigious mathematical journals. His research interests include market models, stochastic volatility, jump diffusion, transaction costs, energy derivatives and exotic derivatives.
Dr Chris Hunter: Interest Rates and Hybrid Products
Chris Hunter is a Quantitative Analyst for Fixed Income Research & Strategies Team (FIRST) at BNP Paribas Bank, based in New York. He is also a visiting lecturer in the Mathematics department at Kings College, London. Chris obtained a PhD in general relativity from the University of Cambridge, where he worked under the supervision of Professor Stephen Hawking FRS.
Dr Daniel Jones: Behavioural Finance
Daniel Jones was the Global Head of Quantitative Research for KBC Alternative Investment Management until May 2007, when he decided to take a career break and accompany his wife on her research year to Mongolia. He currently trades his own capital full-time, using a totally systematic approach, and continues to be actively involved in academic research in OCIAM. He holds an MA in Mathematics from Cambridge and a DPhil in Mathematics from Oxford.
Dr Michael Monoyios: Core Finance Topics, Incomplete Markets and Utility Methods
Michael Monoyios is a University Lecturer in Financial Mathematics in the Mathematical Institute. His PhD was in Theoretical Particle Physics at Imperial College, followed by a postdoctoral work as a Royal Society Research fellow at the Niels Bohr Insitute, Copenhagen. Michael then worked as a trader of interest rate derivative securities for two years, with Security Pacific Hoare Govett in the City of London. He returned to academia via Financial Mathematics. His research interests are in optimal hedging in incomplete markets, problems involving transaction costs, parameter and model uncertainty, and information-based models of insider trading.
Jan Obloj is a University Research Lecturer at the Mathematical Institute and a member of the Oxford-Man Institute of Quantitative Finance. Before coming to Oxford he was a Marie Curie Post-Doctoral Fellow at Imperial College London. He holds a Ph.D. degree in mathematics from University Paris IV and Warsaw University.
His general interest are in Mathematical Finance and its interplay with Probability Theory and he looks at a number of different problems where tools from martingale theory and stochastic analysis can be applied. Recent areas of focus include: robust pricing and hedging of exotic derivatives via Skorokhod embedding problem, market completion using options, volatility derivatives and extrapolation of implied volatility surface, portfolio optimisation under pathwise constraints and hedge-funds managers incentive schemes.
Prof Kevin Parrott: Advanced Finite Difference Methods
Kevin Parrott has focused on the numerical solution of partial differential equations. He has a PhD in computational astrophysics. After a ten year period at Oxford where he co-ordinated an academic group developing and applying numerical methods to industrial problems, Kevin is now a mathematics professor at the University of Greenwich.
Dr Riccardo Rebonato: Interest Rate, Equity and FX Modelling
Riccardo Rebonato is the Global Head of Market Risk, CM & Head of Quantitative Research, GBM at the Royal Bank of Scotland Group, London. He holds doctorates in nuclear engineering and science of materials/solid state physics. Formerly Riccardo was Head of the Complex Derivatives Trading Desk and of the Complex Derivatives Research Group at Barclays Capital. He sits on the Board of Directors at ISDA and on the Board of Trustee's at GARP. He is the author of several articles in academic journals and of books on Mathematical Finance.
Dr Christoph Reisinger: Core Finance Topics, Numerical Methods, Calibration
Christoph Reisinger is Course Director of the MSc in Mathematical Finance. He holds a PhD in applied mathematics from the Interdisciplinary Centre for Scientific Computing in Heidelberg. His research interests include the numerical analysis of financial derivatives and their calibration, with an emphasis on high-dimensional and path-dependent products.
Prof Kees Oosterlee: Numerical Methods
Cornelis Oosterlee is a full professor on "Hierarchical Numerical Methods" in Applied Mathematics at the Delft University of Technology, the Netherlands and also works at the CWI, Centre for Mathematics and Computer Science in Amsterdam. His research interests in Numerical Analysis include robust and efficient iterative solution methods for discrete partial differential equations, multigrid methods, Fourier methods, and high performance computing. His main field of application is Computational Finance. He is a co-author of a book called "Multigrid" (Academic Press, 2001), an associate editor for the SIAM journal of Scientific Computing and for the Journal of Computational Finance.
Dr Jochen Theis: Interest Rate Modelling
Jochen is Director of Quantitative Risk Management for Merrill Lynch in London. Previously, he worked as a quantitative analyst at Citigroup, the Royal Bank of Scotland and Dresdner Kleinwort Benson. After obtaining a Diploma in Mathematics at Mainz, Germany, he studied for a PhD in Mathematics at Cambridge and is currently revising his thesis.
Dr Antony Ware: Natural Gas Markets
Dr. Ware received his DPhil in 1991 from Oxford University and since then has held academic positions in Oxford, Durham and Calgary. His research interests are in numerical analysis, computational finance and the mathematical modelling of energy markets. Tony Ware is Director of the Mathematical and Computational Finance Laboratory at the University of Calgary, which consults with various energy companies including Nexen, TransAlta, Enmax and Direct Energy. In Calgary he serves on the board for the local chapters of PRMIA and GARP. He is currently on sabbatical, visiting OCIAM. Prior to his sabbatical leave he was leader of the MITACS project `Modelling trading and risk in the market', which involves researchers from five universities across Canada and works with companies from the financial services, banking, insurance and energy sectors.