The Mathematical Institute, University of Oxford, Eprints Archive

Items where Research Group is "Mathematical and Computational Finance Group" and Year is 2013

Up a level
Export as [feed] Atom [feed] RSS 1.0 [feed] RSS 2.0
Group by: Creators | Item Type | No Grouping
Number of items: 13.

Article

Monoyios, Michael (2013) Malliavin calculus method for asymptotic expansion of dual control problems. SIAM Journal on Financial Mathematics, 4 . pp. 884-915.

Technical Report

Hauser, Raphael and Krishnamurthy, Vijay and Tütüncü, Reha (2013) Relative Robust Portfolio Optimization. Technical Report. Unspecified. (Submitted)

Thesis

Ang, Xing Xian (2013) A Mixed PDE/Monte Carlo approach as an efficient way to price under high-dimensional systems. Masters thesis, Oxford University.

Brackmann, Hendrik (2013) Hedging Strategies Under Temporary Market Impact. Masters thesis, Oxford University.

Lam, Derek (2013) Time Series Modelling of Monthly WTI Crude Oil Returns. Masters thesis, Oxford University.

Ngan, Kevin (2013) Application of the LCS Problem to High Frequency Financial Data. Masters thesis, Oxford University.

Pereira Simoes Matos, Goncalo (2013) Modelling Alternative Energy in the Electricity Market. Masters thesis, Oxford University.

Serknas, Dominykas (2013) Time Series Model for Forecasting Intraday Volatilities. Masters thesis, Oxford University.

Spears, Trent (2013) On estimating the risk-neutral and real-world probability measures. Masters thesis, Oxford University.

Tan, Vincent (2013) Utility-Based Hedging of Stochastic Income. Masters thesis, Oxford University.

Xia, Yuan (2013) Multilevel Monte Carlo for jump processes. PhD thesis, University of Oxford.

Zhang, Xin (2013) Constructing Subordinated Di�usions Calibrated To A Finite Call Price Surface. Masters thesis, Oxford University.

Zheng, Xiaowei (2013) High frequency dynamics of order flow. Masters thesis, Oxford University.

This list was generated on Mon Nov 20 11:11:57 2017 GMT.