Number of items at this level: **42**.

## Article

Baker, Ruth E. and Yates, C. A. and Erban, R.
(2010)
*From Microscopic to Macroscopic Descriptions of Cell Migration on Growing Domains.*
Bulletin of Mathematical Biology
.
ISSN 0092-8240
(In Press)

Chapman, S. J.
(2006)
*The Kelly criterion for spread bets.*
IMA Journal of Applied Mathematics, 72
(1).
pp. 43-51.
ISSN 1464-3634

Danilova, Albina and Monoyios, Michael and Ng, Andrew
*Optimal investment with inside information and parameter uncertainty.*
Mathematics and Financial Economics
.
(Unpublished)

Erban, R. and Chapman, S. J.
(2007)
*Time scale of random sequential adsorption.*
Physical Review E, 75
(4).
041116-041120.
ISSN 1539-3755

Erban, Radek and Chapman, S. J.
(2007)
*Reactive boundary conditions for stochastic simulations of reaction-diffusion processes.*
Physical Biology, 4
(1).
pp. 16-28.
ISSN 1478-3975

Hambly, B. M. and Jordan, J. H.
(2003)
*A random hierarchical lattice: the series-parallel graph and its properties.*
Advances in Applied Probability
.
(In Press)

Hambly, B. M. and Kumagai, T.
(2003)
*Heat kernel estimates for symmetric random walks on a class of fractal graphs and stability under rough isometries,.*
Proceedings of Symposia in Pure Mathematics
.
(In Press)

Hambly, B. M. and Lapidus, M. L.
(2003)
*Random fractal strings: their zeta functions, complex dimensions and spectral asymptotics.*
Transactions of the American Mathematical Society
.
(In Press)

Hambly, B. M. and Martin, J. B.
(2005)
*Heavy tails in last passage percolation.*
probability theory and related fields
.
(In Press)

Hambly, B. M. and Meinshausen, N.
(2003)
*Monte Carlo methods for the valuation of multiple exercise options.*
Mathematical Finance
.
(In Press)

Hambly, B. M. and Metz, V. and Teplyaev, A.
(2006)
*Self-similar energies on p.c.f. self-similar fractals.*
Journal of the London Mathematical Society, 74
.
pp. 93-112.

Haworth, Helen and Reisinger, Christoph
(2006)
*Modeling basket credit default swaps with default contagion.*
Journal of Credit Risk
.
(Submitted)

Haworth, Helen and Reisinger, Christoph and Shaw, William T.
(2006)
*Modelling bonds and credit default swaps using a structural model with contagion.*
Quantitative Finance
.
(Submitted)

Haworth, Helen and Reisinger, Christoph and Shaw, William T.
(2006)
*Modelling bonds and credit default swaps using a structural model with contagion.*
Quantitative Finance
.
(Submitted)

Hinch, R. and Chapman, S. J.
(2005)
*Exponentially slow transitions on a Markov chain: the frequency of Calcium Sparks.*
European Journal of Applied Mathematics, 16
(4).
pp. 427-446.
ISSN 0956-7925

Little, Max and McSharry, Patrick E. and Moroz, Irene M. and Roberts, Stephen J.
(2006)
*Testing the assumptions of linear prediction analysis in normal vowels.*
Journal of the Acoustical Society of America, 119
(1).
pp. 549-558.

Monoyios, Michael
(2006)
*Characterisation of optimal dual measures via distortion.*
Decisions in Economics and Finance, 29
.
pp. 95-119.

Monoyios, Michael
(2003)
*Efficient option pricing with transaction costs.*
Journal of Computational Finance, 7
(1).
pp. 107-128.

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

Monoyios, Michael
(2008)
*Marginal utility-based hedging of claims on non-traded assets with partial information.*
preprint
.
(Submitted)

Monoyios, Michael
(2010)
*Optimal exercise of an executive stock option by an insider.*
International Journal of Theoretical and Applied Finance
.
(In Press)

Monoyios, Michael
(2007)
*Optimal hedging and parameter uncertainty.*
IMA Journal of Management Mathematics, 18
.
pp. 331-351.

Monoyios, Michael
(2010)
*Optimal investment with inside information and parameter uncertainty.*
Mathematics and Financial Economics, 3
.
pp. 13-38.

Monoyios, Michael
(2004)
*Option pricing with transaction costs using a Markov chain approximation.*
Journal of Economic Dynamics and Control, 28
.
pp. 889-913.

Monoyios, Michael
(2004)
*Performance of utility based strategies for hedging basis risk.*
Quantitative Finance, 4
.
pp. 245-255.

Monoyios, Michael
*Utility-based valuation and hedging of basis risk with partial information.*
Applied Mathematical Finance
.
(Submitted)

Monoyios, Michael
(2010)
*Utility-based valuation and hedging of basis risk with partial information.*
Applied Mathematical Finance
.
(In Press)

Monoyios, Michael
(2005)
*The minimal entropy measure and an Esscher transform in an incomplete market model.*
.
.
(Submitted)

Monoyios, Michael
(2007)
*The minimal entropy measure and an Esscher transform in an incomplete market model.*
Statistics and Probability Letters, 77
.
pp. 1070-1076.

## Book Section

Monoyios, Michael
(2009)
*Optimal investment and hedging under partial and inside information.*
In:
Radon Series on Computational and Applied Mathematics.
Radon Series on Computational and Applied Mathematics
.
De Gruyter, Berlin.
(In Press)

Monoyios, Michael
(2008)
*Utility indifference pricing with market incompleteness.*
In:
Nonlinear Models in Mathematical Finance: New Research Trends in Option Pricing.
Nova Science Publishers, Hauppage, New York, USA.
ISBN 978 1 60456 931 5
(In Press)

## Technical Report

Amsalu, Saba and Hauser, Raphael and Matzinger, Heinrich
(2012)
*A Monte Carlo Approach to the Fluctuation Problem in Optimal Alignments of Random Strings.*
Technical Report.
Unspecified.
(Submitted)

Cano, B. and Stuart, A. M. and Suli, Endre and Warren, J. O.
(1998)
*Stiff oscillatory systems, delta jumps and white noise.*
Technical Report.
Unspecified.
(Submitted)

Hauser, Raphael and Matzinger, Heinrich
(2012)
*Distribution of Aligned Letter Pairs in Optimal Alignments of Random Sequences.*
Technical Report.
Annals of Probability.
(Submitted)

Hauser, Raphael and Matzinger, Heinrich
(2013)
*Letter Change Bias and Local Uniqueness in Optimal Sequence Alignments.*
Technical Report.
Unspecified.

## Thesis

Belton, A. C. R.
(1998)
*A matrix formulation of quantum stochastic calculus.*
PhD thesis, University of Oxford.

Clarke, Sam
(2007)
*Robust staff level optimisation in call centres.*
Masters thesis, University of Oxford.

Pathmanathan, S.
(2002)
*The poisson process in quantum stochastic calculus.*
PhD thesis, University of Oxford.

Schmitz Abe, Klaus
(2008)
*Pricing exotic options using improved strong convergence.*
PhD thesis, University of Oxford.

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

Yates, Christian A.
(2007)
*On the dynamics and evolution of self-propelled particle models.*
Masters thesis, University of Oxford.

## Other

Shaw, William T.
(2005)
*New methods for simulating the Student T-distribution - Direct use of the inverse cumulative distribution function.*
Submitted to Journal of Computational Finance.
(Submitted)

This list was generated on **Mon Nov 20 03:11:25 2017 GMT**.