Dr Vicky Henderson

I am a Senior Research Fellow at the Oxford-Man Institute for Quantitative Finance, a member of the Mathematical and Computational Finance Group and Oriel College. I hold a PhD in Mathematics from the University of Bath, and following this, held postdoctoral positions at ETH Zurich, University of Warwick, and a Nomura Research Fellowship at Oxford. I spent three years as an Assistant Professor at Princeton University and two years as a Reader at University of Warwick before returning to Oxford in September 2008.

My research interests include optimal stopping and optimal control problems, with applications to real options, executive stock options, and recently, behavioural finance. I have worked for several years on utility indifference pricing, in particular, approximate prices via expansions under CRRA, and more recently, horizon-unbiased utilities and associated optimal stopping problems. My earlier research interests include stochastic volatility models, and exotic options, particularly passport options and asian options.

For further details please see my website at the Oxford-Man Institute.