2009 | |
| Michael Coulon | Modelling price dynamics through fundamental relationships in electricity and other energy markets
|
| Denis Zuev | New and improved robust portfolio selection models |
| Greg Gyurko | Numerical methods for approximating solutions to rough differential equations |
| | |
2008 |
|
| Simona Greenwood | Volatility Specification In the LIBOR Market Model |
Xue Dong He
| Non-Utility Portfolio Choice
|
| Silja Kinnebrock | Asymptotic results for semimartingales and related processes with econmetric applications |
| Klaus Schmitz | Pricing exotic options using improved strong convergence |
Eric Yu
| Path-Dependency, Credit and Numerical Issues in convertible bond modelling |
| | |
2007 | |
|
|
| Miriam Cisneros | Mathematical Methods for Valuation and Risk Assessment of Investment Projects and Real Options |
| Helen Haworth | Structural Models of Credit with Default Contagion. |
| Dan Jones | From Behavioural Finance to Market Volatility. |
| Mark McDonald | An Investigation into the Dynamics of Correlation Networks in the Foreign Exchange Market. |
| David Smith | Agents, Games and Networks |
| | |
|
|
2006 | |
|
|
| Firth, Neil | High Dimensional American Options. |
| Huehne, Florian | Levy processes and their chaos expansions in finance. |
| Kluge, Tino | Pricing swing options and other electricity derivatives. |
| | |
|
|
2005 | |
|
|
| Buttle, David | Credit Networks and Agent Games. |
| Law, Siu-Lung | Portfolio selection with transaction costs. |
| Mitton, Michael | Derivative Pricing and Optimal execution of Portfolio Transactions in Finitely Liquid Markets. |
| Wallner, Naomi | Modelling correlated default and the pricing of collateralized debt obligations. |
| | |
|
|
2004 | |
|
|
| Dickinson, Andrew | On the analysis of Monte Carlo and Quasi-Monte Carlo Methods |
| | |
|
|
2003 | |
|
|
| Cartea, Alvaro | Option Pricing with Levy-Stable Processes. |
| Babbar, Katia | |
| Victoir, Nicholas | From curbature to rough paths |
| | |
|
|
2002 | |
|
|
| Bakstein, David | A parametric nonlinear model of liquidity in finance. |
| Tassi-Londorfou, Elina | Jump-diffusion models in volatility. |
| Lamper, David | Problems in Mathematical Finance: Market Modelling and Derivative Pricing. |
| | |
|
|
2001 | |
|
|
| Elder, J. | Hedging strategies for financial derivatives. |
| Khadem, V. | Pricing corporate securities and differential games. |
| | |
|
|
2000 | |
|
|
| Penaud, A. | Optimal Decisions in Finance. |
| | |
|
|
1999 | |
|
|
| Epstein, D. | Non-stochastic interest rate modelling. |
| Jackson, N. | Finite-element methods for multifactor options. |
| | |
|
|
1998 | |
|
|
| Clarke, N. | Multigrid methods for multifactor options. |
| Whalley, A.E. | Contingent claims analysis with transaction costs. |
| | |
|
|
1996 | |
|
|
| Apabhai, M.Z. | The mathematical modelling of interest rates. |
| | |
|
|
