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Professor Sam Howison
- Editor-in-Chief, European Journal of Applied Mathematics
Personal Web Page
eMail:
Sam [dot] Howison [-at-] maths [dot] ox [dot] ac [dot] uk
Contact Form
Phone Number(s):
Reception/Secretary: +44 1865 273525
Direct: +44 1865 273534
Office:
SGF2
Departmental Address:
Mathematical Institute
24-29 St Giles'
Oxford
OX1 3LB
England
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Research Interests:
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.
Recent Publications (from MathSciNet):
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MR2678051 (2011j:91044) Harris, Chris; Howison, Sam; Sircar, Ronnie Games with exhaustible resources.
SIAM J. Appl. Math. 70 (2010), no. 7, 2556–2581. (Reviewer: Wen Shen), 91A23 (35Q91 49N70 91B38 91B76)
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MR2599022 (2011e:91196) Hambly, Ben; Howison, Sam; Kluge, Tino Modelling spikes and pricing swing options in electricity markets.
Quant. Finance 9 (2009), no. 8, 937–949. (Reviewer: Alejandro Balbas), 91G20 (91G60)
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MR2598934 (2011m:91166) Fenn, Daniel J.; Howison, Sam D.; McDonald, Mark; Williams, Stacy; Johnson, Neil F. The mirage of triangular arbitrage in the spot foreign exchange
market.
Int. J. Theor. Appl. Finance 12 (2009), no. 8, 1105–1123, 91G30
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MR2567595 (2011e:91192) Cartea, Álvaro; Howison, Sam Option pricing with Lévy-stable processes generated by Lévy-stable
integrated variance.
Quant. Finance 9 (2009), no. 4, 397–409. (Reviewer: Erik J. Baurdoux), 91G20 (60G51 60G52 91G70)
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MR2431696 Howison, Sam; Lacey, Andrew; Ward, Michael Vladimir Entov.
European J. Appl. Math. 19 (2008), no. 4, 351, 01A70
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MR2388213 (2008m:76015) Edwards, Carina M.; Howison, S. D.; Ockendon, H.; Ockendon, J. R. Non-classical shallow water flows.
IMA J. Appl. Math. 73 (2008), no. 1, 137–157. (Reviewer: Maurizio Brocchini), 76B15 (86A05)
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MR2321124 (2008c:91069) Howison, Sam A matched asymptotic expansions approach to continuity corrections for
discretely sampled options. II. Bermudan options.
Appl. Math. Finance 14 (2007), no. 1, 91–104, 91B28 (35C20)
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MR2321123 (2008c:91068) Howison, Sam; Steinberg, Mario A matched asymptotic expansions approach to continuity corrections for
discretely sampled options. I. Barrier options.
Appl. Math. Finance 14 (2007), no. 1, 63–89, 91B28 (35C20)
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MR2273615 (2007j:76143) Howison, S. D.; Loutsenko, I.; Ockendon, J. R. A class of exactly solvable free-boundary inhomogeneous porous medium
flows.
Appl. Math. Lett. 20 (2007), no. 1, 93–97. (Reviewer: Yurii V. Obnosov), 76S05 (35J25 76D27 76M40)
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MR2211377 (2007a:35160) Addison, J. A.; Howison, S. D.; King, J. R. Ray methods for free boundary problems.
Quart. Appl. Math. 64 (2006), no. 1, 41–59. (Reviewer: Elena Comparini), 35R35 (35K05 41A60)
More publications
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