I am a University Research Lecturer in the Mathematical and Computational Finance Group. My main research interests are in the areas of stochastic analysis and mathematical finance. In particular, I work with Backward Stochastic Differential Equations (BSDEs), which arise in various areas in stochastic control and mathematical finance. I am interested in problems associated with decision making in the presence of risk and uncertainty.

A key problem in risk-averse decision making is time-consistency - "How can I be sure that tomorrow's decisions will satisfy today's objectives?" To guarantee time-consistency, we must ensure that the objective pursued satisfies certain properties. These properties, in general, are satisfied by solutions to BSDEs.

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I am Professor of Scientific Computing, a member of the Oxford-Man Institute of Quantitative Finance, and Associate Director of the Oxford e-Research Centre. I used to work at MIT and in the Oxford University Computing Laboratory on computational fluid dynamics applied to the analysis and design of gas turbines, but more recently I have moved into computational finance. 

My focus is on improving the accuracy, efficiency and analysis of Monte Carlo and finite difference methods. Recent research highlights include the use of adjoint techniques to compute sensitivities, and a new multilevel Monte Carlo method.

I am also interested in various aspects of scientific computing, including high performance parallel computing, and in the last couple of years I have been working on the exploitation of graphics cards for scientific applications in both finance and computational engineering.

For more details please see my webpage.

I am a Departmental Lecturer at the Mathematical and Computational Finance Group and member of the Oxford-Man Institute of Quantitative Finance. I obtained a DPhil in Mathematics from the University of Oxford.

Currently, my research focuses on applications of Rough Paths Theory for high order approximation of solutions to stochastic differential equations, extensions of the Cubature on Wiener space framework, applications of the Multi-Level Monte Carlo methods for the numerical solution of optimal stopping problems in high dimensions and the software implementation of numerical methods.

For more details, please see my webpage.

I am a University Lecturer in the Mathematical Institute. I obtained my PhD from the University of Cambridge and held post-doctoral positions at the University of Cambridge and the University of California, San Diego. I previously held academic positions at the Universities of Edinburgh and Bristol before moving to Oxford in 2000. 

My research interests are in the area of probability, stochastic processes, mathematical finance and fractals. My main interests in mathematical finance are in modelling and pricing of options. For further information see my webpage.

I am a member of the Numerical Analysis and Computational Finance Groups at the Mathematical Institute of the University of Oxford, and a Tutorial Fellow in Applied Mathematics at Pembroke College Oxford. Before joining Oxford as a University Lecturer, I was a postdoc at the University of Cambridge. I received my PhD in Operations Research from Cornell University in 2000. My first degree was in maths; after studying at EPFL Lausanne for the first two years, I transferred to ETH Zurich where I received a Dipl.Math ETH. 

My research interests focus on convex optimization and convex analysis. On the theory side I'm interested in complexity theory and the probabilistic analysis of algorithms, as well as in condition numbers and the design of algorithms. I also work on the theory of optimal alignments of random sequences. A large deviations approach allows to reduce many of the salient questions to convex analysis. On the applications side, I'm interested in the use of optimization models in mathematical finance, in particular in robust portfolio optimization and risk management. 

I am a University Lecturer in Applied Mathematics. I have in the past served as Director of OCIAM and of the Nomura Centre for Mathematical Finance. My research interests in physical applied mathematics include applications of differential equations. free and moving boundary problems in heat and mass transfer, and fluid dynamics. In mathematical finance, I work on derivatives pricing, asymptotic methods, models in energy markets and models for optimal production of exhaustible resources.

I am a University Lecturer at the Mathematical Institute and a member of the Oxford-Man Institute of Quantitative Finance.  I obtained a Ph.D degree in Financial Engineering from the Chinese University of Hong Kong, and was then a postdoctoral fellow in the same university. I was an assistant professor in the National University of Singapore in September 2006--Jan 2009. 

My general interest is in Mathematical Finance, applied stochastic analysis and optimization. My work focuses on the study on portfolio selection (by stochastic control and martingale method) and optimal stopping in financial market. Recently I also worked on behavioural finance and time consistency in portfolio selection models.

I am the Director (and a founding member) of the Oxford Man Institute of Quantitative Finance, and the Wallis Professor of Mathematics; previously I was the Director of the Wales Institute of Mathematical and Computational Sciences (WIMCS; 2008-2011). I came to Oxford in 2000 having previously been Professor of Mathematics at Imperial College London (1993-2000), and before that I held the Colin Maclaurin Chair at Edinburgh (1985-93).

My long-term research interests are all focused on Rough Paths, Stochastic Analysis, and applications - particularly to Finance and more generally to the summarsing of large complex data. That is to say I am interested in developing mathematical tools that can be used to effectively model and describe high dimensional systems that exhibit randomness. This involves me in a wide range of problems from pure mathematical ones to questions of efficient numerical calculation.

I am a University Lecturer in Mathematical Finance and a Fellow of Lady Margaret Hall.

My PhD is in Theoretical Physics, from Imperial College, London. I was Royal Society Postdoctoral Fellow in Theoretical Physics at the Niels Bohr Institute, Copenhagen, 1989-90. I then traded interest rate derivatives for Security Pacific Hoare Govett, London, and returned to academia as a Research Associate in Financial Mathematics at Imperial College in 1993. I lectured Financial Mathematics at Brunel University before coming to Oxford in 2005. In 2004-2005 I held a Leverhulme Research Fellowship, and in 2005 I participated in and co-organised seminars at the Isaac Newton Institute Programme in Developments in Quantitative Finance. I was principal organiser of the workshop Further Developments in Quantitative Finance, held at the International Centre for Mathematical Sciences, Edinburgh, in July 2007.

My research focuses on applying stochastic control and filtering to optimal hedging and portfolio selection in incomplete markets, in markets with transaction costs, and to markets with partial and insider information.

I am a University Lecturer at the Mathematical Institute, Fellow of St John's College and a member of the Oxford-Man Institute of Quantitative Finance. Before coming to Oxford I was a Marie Curie Post-Doctoral Fellow at Imperial College London. I hold a Ph.D. degree in Mathematics from University Paris VI and Warsaw University.

I've been focusing recently on the robust approach to Mathematical Finance, which does not start with an a priori model but rather with the information available in the markets. My general interest are in Mathematical Finance and its interplay with Probability Theory and I look at a number of different problems where tools from martingale theory and stochastic analysis can be applied. Examples include: market completion using options, volatility derivatives and extrapolation of implied volatility surface, portfolio optimisation under pathwise constraints and hedge-funds managers incentive schemes.

I am a University Lecturer in Mathematical Finance and Tutorial Fellow in Mathematics at St Catherine's College. My doctorate from the University of Heidelberg is in scientific computing, my first degree from Linz in applied mathematics.

Current research includes, mathematically, the numerical analysis of high-dimensional PDEs, non-linear PDEs and variational inequalities, simulation of SPDEs, Bayesian techniques for parameter estimation problems. Application areas include the pricing of equity and credit basket derivatives, calibration of financial instruments, early-exercise options and valuation and investment in incomplete markets

I am the Nomura Chair of Mathematical Finance and Director of the Nomura Centre for Mathematical Finance. Prior to joining Oxford I was Chair of Systems Engineering and Engineering Management at Chinese University of Hong Kong. I am a Fellow of IEEE and a winner of the SIAM Outstanding Paper Prize. I obtained Ph.D. in Fudan University in 1989, and have worked in Kobe University and University of Toronto.

My general research interests are in quantitative finance, stochastic control, and applied probability, while I am recently engaged in the mathematical behavioral finance research.

For more information please visit my webpage.

I am a Senior Research Fellow at the Oxford-Man Institute for Quantitative Finance, a member of the Mathematical and Computational Finance Group and Oriel College. I hold a PhD in Mathematics from the University of Bath, and following this, held postdoctoral positions at ETH Zurich, University of Warwick, and a Nomura Research Fellowship at Oxford. I spent three years as an Assistant Professor at Princeton University and two years as a Reader at University of Warwick before returning to Oxford in September 2008.

My research interests include optimal stopping and optimal control problems, with applications to real options, executive stock options, and recently, behavioural finance. I have worked for several years on utility indifference pricing, in particular, approximate prices via expansions under CRRA, and more recently, horizon-unbiased utilities and associated optimal stopping problems. My earlier research interests include stochastic volatility models, and exotic options, particularly passport options and asian options.

For further details please see my website at the Oxford-Man Institute.

I am a Postdoctoral Research Fellow at the Oxford-Man Institute of Quantitative Finance, starting from Michaelmas Term 2010. Prior to that, I was a student member of the Oxford-Man Institute, whilst completing my D.Phil. (Ph.D.) in Mathematics at the Mathematical Institute under the supervision of Professor Terry Lyons and Dr Zhongmin Qian.

My research interests are mainly focused on mathematical finance and stochastic analysis. I am especially interested in backward stochastic differential equations (BSDEs), rough path theory, optimal investment and credit risk modeling and management.

I am a DPhil student in Mathematical and Computational Finance group which is a part of Mathematical Institute at University of Oxford. I have a Masters degree in Mathematical and Computational Finance from University of Oxford. I also have a BS(Mathematics) from COMSATS Institute of Information Technology, Pakistan. I am a member of Lady Margaret Hall and an associate member of Oxford-Man Institute of Quantitative Finance.

I am working on mortgage backed securities with Dr. Ben Hambly. I worked on the techniques of modelling and pricing these securities in a structural framework for large portfolios. This involves proving the existence and uniqueness of resulting stochastic partial differential equations, solving them numerically and estimating the parameters using market data through calibration. 

I worked in the Mathematical and Computational Finance Group which is part of the Mathematical Institute at the University of Oxford. I completed my BA degree in Mathematics at the University of Cambridge and my MSc in Mathematics & Finance at Imperial College, London. I recently completed my PhD research in Mathematical Finance. The PhD was funded by a CASE Award made jointly between the UK Engineering and Physical Sciences Research Council and Nomura Bank. My PhD supervisor was Dr Christoph Reisinger and I was a Senior Scholar at Hertford College.

I completed a 6 month Post-Doctorate Scholarship as part of the PhD-Plus scheme piloted by the UK Engineering and Physical Sciences Research Council (EPSRC). I then held a Nomura Postdoctorate at the Mathematical Instutute at the University of Oxford in conjuction with a Junior Research Fellowship at Wadham College. I am now an Academic Visitor in Mathematical Finance at Oxford University.

In my research I consider a Bayesian approach to calibrating non-parametric financial models. This enables computation of a distribution of prices for financial derivatives and hence some measure of the model uncertainty in the prices and risk. In addition I have developed analytic consistency properties for Bayesian estimators and designed optimal Bayesian hedging strategies.

Further details regarding my research interests and other academic matters can be found at my homepage.

I am a fourth year D.Phil. student in Mathematical and Computational Finance Group, and a student member of Oxford-Man Institute of Quantitative Finance. My research, supervised by Prof. T. Zariphopoulou, lies on the interaction between Portfolio Choice Theory and Financial Econometrics. Currently, my focus is on dynamic asset allocation models in cointegrated markets, with applications including pairs/spread trading and statistical arbitrage techniques.

I am a second year DPhil student in Mathematical and Computational Finance.  I completed my MMath degree in Mathematics and Statistics at the University of Oxford.  I am supervised by Dr Michael Monoyios and I am a member of St Anne's College.  My research funding is provided by the UK Engineering and Physical Sciences Research Council.

My research interests include optimal portfolio selection over finite and infinite horizons using primal and dual methods of utility maximisation, maturity-independent and dynamic utility functions, and applications to pricing real options, stochastic income streams and American options.

I am a forth year DPhil student working in the Mathematical and Computational Finance Group. I have a Masters degree in Financial Mathematics from King's College London (2008) and a Masters degree in Quantitative Methods in Economics and Information Systems from Warsaw School of Economics (2005).  I am currently working on developing efficient numerical methods to price basket credit derivatives via structural models. My supervisor is Dr. Christoph Reisinger.

I am a third year DPhil student at the Mathematical and Computational Finance Group/Oxford-Man Institute of Quantitative Finance. I hold a BSc in Mathematics (Universite Pierre & Marie Curie - Paris 6), a Diplome d'Ingenieur (MSc in Engineering - Ecole Centrale Paris) as well as an MSc in Mathematical and Computational Finance (University of Oxford). I am a member of the Oxford-Man Institute of Quantitative Finance. My Supervisor is Prof Mike Giles and I am a scholar of Lady Margaret Hall.

My research focuses on improving Monte Carlo methods. I am currently working on the recent Vibrato and Multilevel Monte Carlo techniques and their use for the computation of Greeks.

I am a third year DPhil student at the Mathematical and Computational Finance Group. I hold a Specialist Diploma in Mathematics (Moscow State University). I am working under the supervision of Dr. Jan Obloj.

I am currently working on portfolio optimization problems with pathwise constraints.

I am a second year DPhil student working in the Mathematical and Computational Finance Group and an associate member of the MAN Institute of Quantitative finance. I hold a Diplom in Mathematics and Business Studies from Ludwig- Maximulians University in Munich as well as an MSc in Mathematics fromUniversity of St Andrews. My Supervisor is Dr Ben Hambly and I am a member of St Anne's College.

Currently I am looking at the Merton Problem of optimal investement with intermediate consumptions. Here I am cosidering perturbations to the well known model. In addition l want to look at similar setups but with non-linear weath dynamics trying to find optimal portfolio and consumption quantities for general as well as particularly chosen utility functions.

I'm a second year DPhil student in the Mathematical and Computational Finance Group and a member of Lady Margaret Hall.

I'm supervised by Prof T Zariphopoulou and my research interests are in stochastic control and portfolio optimisation.

I am a third year DPhil student at the Mathematical and Computational Finance Group. I have a Masters degree in Mathematical and Computational Finance from University of Oxford. I also have a BS(Applied Mathematics) from Yerevan State University, Armenia.

My supervisor is Dr Raphael Hauser and I am working on optimisation methods in Operational Risk management, optimisation problems over measure spaces.

I am a second year DPhil student in Mathematical and Computational Finance group.

My research interests lie in probability theory and its interplay with Mathematical Finance. Together with Jan Obłoj I try to develop the robust pricing and hedging framework further to allow for more flexible incorporation of both, market and statistical information. In particular, we try to incorporate statistical confidence intervals on total realised volatility and understand the consequences for pricing, pathwise hedging and forms of arbitrage. Key mathematical tool for doing this include optimality properties of solutions to the Skorokhod embedding problem and pathwise stochastic calculus.

I am a first year DPhil student at the Mathematical and Computational Finance Group under Prof. Thaleia Zariphopoulou. I'm also a member of the Stochastic Analysis Group and Magdalen College.

My research interests are in the areas of Stochastic Analysis, Optimal Control and Mathematical Finance. My current focus is in Portfolio Optimisation, in particular in Forward Utility.

I am a third year DPhil student in the Mathematical and Computational Finance Group at the Mathematical Institute. Previously I completed a MSc in Computer Science from the University of Oxford and a BSc in Mathematics from the Technical University Munich. My current work is kindly supported by EPSRC and Nomura.

I am interested in numerical and computational mathematical finance. My current research focuses on numerical PDE and MC methods for high-dimensional problems. My DPhil supervisor is Dr. Christoph Reisinger. 

I am a third year DPhil student at the Mathematical and Computational Finance Group and also a member of the Oxford-Man Institute of Quantitative Finance. I hold a BSc in Mathematics (Peking University). My Supervisor is Prof Mike Giles.

My research interests include Monte Carlo methods. Currently, I am working on Multilevel Monte Carlo method for jump-diffusion and more general processes.

From January until June 2012, I was a postdoc as part of the  EPSRC Doctoral Prize scheme.

From October 2008 until December 2011, I was a DPhil student in the Mathematical and Computational Finance Group, which is part of the Mathematical Institute at the University of Oxford. My research was kindly supported by the UK Engineering and Physical Sciences Research Council and by Balliol College. My supervisor was Dr Christoph Reisinger. I was a member of Balliol College as well as the Oxford-Man Institute of Quantitative Finance.

My DPhil thesis can be found here. Submission in December 2011; Viva in February 2012; Final in March 2012.

I have a Diplom in Mathematics from RWTH Aachen University in Germany.

I am generally interested in the area of numerical mathematical finance.

For further information, please see my LinkedIn profile.