Dr Daniel Schwarz
Dr Daniel SchwarzMMath
Daniel [dot] Schwarz [-at-] maths [dot] ox [dot] ac [dot] uk
Reception/Secretary: +44 1865 273525
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
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.
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
Member of the Consultative Committee with Graduates (CCG)
A full CV is available upon request
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