Daniel Schwarz

Dr Daniel Schwarz

Daniel Schwarz

Dr Daniel Schwarz

MMath

  • DPhil Candidate
  • Member of the Oxford-Man Institute of Quantitative Finance

eMail: Daniel [dot] Schwarz [-at-] maths [dot] ox [dot] ac [dot] uk
Contact Form

Phone Number(s):

Reception/Secretary: +44 1865 273525

Departmental Address:

Mathematical Institute
24-29 St Giles'
Oxford
OX1 3LB
England

Research Interests: 

I am a final year DPhil student working in the Mathematical and Computational Finance Group and a member of St Anne's College. My research is jointly funded by a CASE award from the UK Engineering and Physical Sciences Research Council and KBC Financial Products. My supervisor is Professor Sam Howison. I hold a Masters of Mathematics (MMath) degree from the University of Oxford.

My general interest lies in the area of Mathematical Finance. Currently, I am focusing on price modelling and asset valuation in electricity and carbon emission markets.

Prizes, Awards and Scholarships: 

Student Scholarship, Oxford-Man Institute of Quantitative Finance, 2010-2012

Postgraduate CASE studentship, Engineering and Physical Sciences Research Council and KBC AIM, 2007-2011

Major/Recent Publications: 

D. Schwarz, R. Carmona, M. Coulon: The Valuation of Clean Spread Options:  Linking Electricity, Emissions and Fuels; Key Words: Emission Markets, Cap-and-Trade Schemes, Forward-Backward Stochastic Differential Equations, Environmental Finance; http://arxiv.org/abs/1205.2302 To appear in Quantitative Finance.

D. Schwarz, R. Carmona, M. Coulon: Electricity Price Modeling and Asset Valuation: a Multi-Fuel Structural Approach; Key Words: Electricity Markets, Equilibrium Modelling, Asset Valuation; http://arxiv.org/abs/1205.2299. To appear in Mathematics and Financial Economics.

D. Schwarz, S. Howison: Risk-Neutral Pricing of Financial Instruments in Emission Markets: A Structural Approach;  Key Words: Emission Markets, Cap-and-Trade Schemes, Forward-Backward Stochastic Differential Equations, Environmental Finance; http://arxiv.org/abs/1011.3736. To appear in SIAM Journal on Financial Mathematics.

Teaching: 

Class tutor and / or teaching assistant for:

MSc in Mathematical and Computational Finance: Financial Derivatives 1

MSc in Mathematical and Computational Finance: Financial Derivatives 2

Part-time Postgraduate Diploma/MSc in Mathematical Finance: Module 3, Extensions of the Black-Scholes Framework

Part B, BA/MMath in Mathematics: Techniques of Applied Mathematics

Further Details: 

Member of the Consultative Committee with Graduates (CCG)
Student Representative on the Research Committee
Student Representative on the MPLS Graduate Student Forum

A full CV is available upon request
Last updated by on Wed, 14/11/2012 - 3:44pm.
This page is maintained by . Please use the contact form for feedback and comments.