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.

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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.

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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.