Number of items at this level: **37**.

## A

Addison, J. A. and Howison, S. D. and King, J. R. (2005) Ray methods for Free Boundary Problems. Quarterly of Applied Mathematics . (In Press)

Addison, J. A. and Howison, S. D. and King, J. R. (2006) Ray methods for free boundary problems. Quarterly of Applied Mathematics, 64 . pp. 41-59.

## B

Bakstein, David and Howison, Sam (2003) A non-arbitrage liquidity model with observable parameters for derivatives. Mathematical Finance . (Submitted)

Buttle, D. (2004) Credit networks and agent games. PhD thesis, University of Oxford.

## C

Cisneros-Molina, Myriam (2006) Mathematical methods for valuation and risk assessment of investment projects and real options. PhD thesis, University of Oxford.

## E

Epstein, D. (1999) Uncertain interest rate modelling. PhD thesis, University of Oxford.

## F

Fenn, Daniel (2010) Network communities and the foreign exchange market. PhD thesis, University of Oxford.

Firth, Neil Powell (2005) High dimensional American options. PhD thesis, University of Oxford.

## G

Giles, M. B. and Burgos, Sylvestre (2011) Computing Greeks using multilevel path simulation. Technical Report. .. (Unpublished)

Giles, M.B. and Reisinger, Christoph (2012) Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance. SIAM Journal on Financial Mathematics, 3 (1). pp. 572-592.

Gupta, Alok and Reisinger, Christoph and Whitley, Alan Model Uncertainty and its Impact on Derivative Pricing. In: Rethinking Risk Measurement and Reporting. RISK, pp. 623-661. (In Press)

## H

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

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

Haworth, H. (2006) Structural models of credit with default contagion. PhD thesis, University of Oxford.

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)

Henderson, Vicky and Hobson, David and Howison, Sam and Kluge, Tino (2003) A comparison of option prices under different pricing measures in a stochastic volatility model with correlation. Review of Derivatives Research . (In Press)

Howison, Sam (2005) A matched asymptotic expansions approach to continuity corrections for discretely sampled options. Part 2: Bermudan options. Applied Mathematical Finance . (In Press)

Howison, Sam (2005) Matched asymptotic expansions in financial engineering. Journal of Engineering Mathematics . (In Press)

Howison, Sam and Rafailidis, Avraam and Rasmussen, Henrik (2003) On the pricing and hedging of volatility derivatives. Applied Mathematical Finance . (In Press)

Howison, Sam and Steinberg, Mario (2005) A matched asymptotic expansions approach to continuity corrections for discretely sampled options. Part 1: barrier options. Applied Mathematical Finance . (In Press)

## K

Khadem, Varqa (2001) Pricing corporate securities and stochastic differential games. PhD thesis, University of Oxford.

Kluge, T. (2006) Pricing swing options and other electricity derivatives. PhD thesis, University of Oxford.

## L

Law, S. L. (2005) Financial optimization problems. PhD thesis, University of Oxford.

## M

Malvaez, Laura (2005) Valuation of inflation-indexed derivatives with three factor model. Masters thesis, University of Oxford.

Martin, Matthew (2007) A two-asset jump diffusion model with correlation. Masters thesis, University of Oxford.

Matzke, Christina (2005) Generating functional analysis of a model economy with hetrogeneous adaptive consumers. Masters thesis, University of Oxford.

Mitton, M. D. (2007) Derivative pricing and optimal execution of portfolio transactions in finitely liquid markets. PhD thesis, University of Oxford.

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

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

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)

## R

Reisinger, Christoph and Giles, M. B. (2011) Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance. Working Paper. N/A. (Submitted)

## S

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

Schmitz Abe, Klaus and Giles, M. B. (2006) Pricing exotic options using strong convergence properties? In: ECMI 2006.

Schmitz Abe, Klaus and Shaw, William T. (2005) Measure order of convergence without an exact solution, Euler vs Milstein scheme. International Journal of Pure and Applied Mathematics, 24 (3). pp. 365-381.

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)

## V

van Aarde, J. (2001) Pricing techniques for the oil industry. Masters thesis, University of Oxford.

## Y

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

This list was generated on **Thu Jul 31 20:12:17 2014 BST**.