Contacting Members

Dr Michael Monoyios

Dr Michael Monoyios

Dr Michael Monoyios

BSc, PhD, DIC, ARCS

  • University Lecturer in Financial Mathematics;
  • Tutorial Fellow in Applied Mathematics at Lady Margaret Hall

Personal Web Page

eMail: Michael [dot] Monoyios [-at-] maths [dot] ox [dot] ac [dot] uk
Contact Form

Phone Number(s):

Reception/Secretary: +44 1865 273525
Direct: +44 1865 280617

Office: DH34

Departmental Address:

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

Research Interests: 

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.

Prizes, Awards and Scholarships: 

Leverhulme Research fellow, 2004-2005

Major/Recent Publications: 

Optimal exercise of an executive stock option by an insider International Journal of Theoretical and Applied Finance 14 (2011) 83-106 (With Andrew Ng);

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;

Teaching: 

I teach various aspects of stochastic calculus, portfolio optimisation, and derivative valuation and hedging in incomplete markets. The specific courses include: asset pricing and portfolio theory; stochastic control and dynamic asset allocation; mathematical models of financial derivatives; I give classes on martingales through measure theory; courses I have taught in the past include: binomial models and discrete martingales; utility and portfolio theory; stochastic integration; stochastic optimisation; stochastic volatility; valuation, hedging and investment in incomplete markets. I also tutor Applied Mathematics to undergraduates at my college, Lady Margaret Hall.
Last updated by on Thu, 17/03/2011 - 7:00pm.
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