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(Unpublished)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)
*Matched asymptotic expansions in financial engineering.*
Journal of Engineering Mathematics
.
(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 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 **Sun Dec 11 05:11:23 2016 GMT**.