Associate Professor in Financial Mathematics; Tutorial Fellow in Applied Mathematics at Lady Margaret Hall
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
I am an Associate Professor in Mathematical Finance and a Fellow of Lady Margaret Hall.
I obtained BSc Physics and PhD Theoretical Physics degrees fromImperial College, London, 1983--1989. I was a Royal Society Postdoctoral Fellow in Theoretical Physics at the Niels Bohr Institute, Copenhagen, 1989-1990. From 1990 to 1992 I was a trader of interest rate derivatives for Security Pacific Hoare Govett, London. I returned to academia as a Research Associate at Imperial College, 1993-1995. From 1996-2004 I was at Brunel University as a Senior Lecturer in Mathematical Finance.
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. In October 2005 I joined the Mathematical Institute at Oxford. I was principal organiser of the workshop Further Developments in Quantitative Finance, held at the International Centre for Mathematical Sciences, Edinburgh, in July 2007. In 2011 I organised a London Mathematical Society Short Course on Duality, Malliavin Calculus and BSDEs in Mathematical Finance.
My research has focussed on applications of stochastic control to optimal investment, consumption and and hedging in incomplete markets. I have worked on problems involving transaction costs, basis risk, and partial and inside information. Other interests include pathwise hedging, stochastic portfolio theory, and asymptotic methods. For more details visit my webpage
I have taught various courses in stochastic calculus, portfolio optimisation, and derivative valuation. Courses have included: asset pricing and portfolio theory; stochastic control and dynamic asset allocation; mathematical models of financial derivatives; binomial models and discrete martingales; utility and portfolio theory; stochastic integration; stochastic optimisation; stochastic volatility; valuation, hedging and investment in incomplete markets. I have given classses in martingales through measure theory and mathematical models of financial derivatives. I tutor Applied Mathematics to undergraduates at my college, Lady Margaret Hall.
Prizes, awards, and scholarships:
Leverhulme Research Fellow, 2004-2005
University of Oxford Teaching Award, 2007
Departmental Teaching Award, 2014
Major / recent publications:
Executive stock option exercise with full and partial information on a drift change point (February 2020) (With Vicky Henderson, Kamil Kladivko and Christoph Reisinger)
Optimal investment with inside information and parameter uncertainty Mathematics and Financial Economics 3 (2010) 13-38 (With Albina Danilova and Andrew Ng)
Utility-based valuation and hedging of basis risk with partial information Applied Mathematical Finance 17 (2010) 519-551
Optimal investment and hedging under partial and inside information. In Advanced Financial Modelling, H. Albrecher, W. J. Runggaldier and W. Schachermayer (eds.) Radon Series on Computational and Applied Mathematics 8 (2009) 371-410
Utility indifference pricing with market incompleteness, in: Nonlinear Models in Mathematical Finance: New Research Trends in Option Pricing (ed. Ehrhardt M) (2008) Nova Science Publishers, Hauppage, New York
Optimal hedging and parameter uncertainty IMA Journal of Management Mathematics 18 (2007) 331-351
The minimal entropy measure and an Esscher transform in an incomplete market model Statistics and Probability Letters 77 (2007) 1070-1076
Characterisation of optimal dual measures via distortion Decisions in Economics and Finance 29 (2006) 95-119
Performance of utility-based strategies for hedging basis risk Quantitative Finance 4 (2004) 245-255
Option pricing with transaction costs using a Markov chain approximation Journal of Economic Dynamics and Control 28 (2004) 889-913
Efficient option pricing with transaction costs Journal of Computational Finance 7 (2003) 107-128