Number of items at this level: **77**.

## Article

Shaw, William T.
(2004)
*Recovering holomorphic functions from their real or imaginary parts without the Cauchy-Riemann equations.*
SIAM Review, 46
(4).
pp. 717-728.

## Technical Report

Zhu, Shengxin
(2012)
*Compactly supported radial basis functions: How and why?*
Technical Report.
SIAM.
(Submitted)

## Thesis

Ahmad, Ferhana
(2008)
*Market Models for Inflation.*
Masters thesis, University of Oxford.

Anastiasiades, Georgios
(2009)
*Utility indifference pricing and hedging - Temperature modeling and its significance in the construction of weather derivatives.*
Masters thesis, Mathematical Institute.

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

Azar, Ghady
(2014)
*On sensitivities in utility-based hedging and parameter uncertainty.*
Masters thesis, Oxford University.

Bennani-Hijazi, Driss
(2008)
*Pricing Spread Options using Matched Asymptotic Expansions.*
Masters thesis, University of Oxford.

Boon, Terry
(2008)
*Shared appreciation mortgages: property derivatives and unconventional loan interest charges.*
Masters thesis, University of Oxford.

Borowski, Mateusz
(2014)
*A Large Market Model with Stochastic Volatility and Application to Pricing Credit Derivatives.*
Masters thesis, Oxford University.

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

Burgos, Sylvestre
(2009)
*Investigation into Vibrato Monte Carlo for the Computation of
*

Greeks of Discontinuous Payoffs.
Masters thesis, Mathematical Institute.

Cao, Bo
(2009)
*Disposition Effect on Two Classical Expected Utility Models:
*

Exponential and Power.
Masters thesis, Mathematical Institute.

Carter, Sarah
(2008)
*Pricing Basket Temperature Derivatives.*
Masters thesis, University of Oxford.

Charara, Razan
(2008)
*Matched Asymptotic Expansions for Valuing Spread Options.*
Masters thesis, University of Oxford.

Chassenieux, Thomas
(2009)
*Indifference Price and Optimal Hedging Performance for Variance Swaps.*
Masters thesis, Mathematical Institute.

Chatzimichalis, Konstantinos
(2008)
*Investigation of Portfolio Choice that Tracks a Continuously Moving Target.*
Masters thesis, University of Oxford.

Chen, Longyun
(2010)
*Multilevel Monte Carlo adapted to bermudan options using randomized stopping rule.*
Masters thesis, Mathematical Institute.

Cheung, Ho Loon Alan
(2011)
*Utility Maximisation: Non-concave utility and non linear expectation.*
Masters thesis, oxford university.

Christodoulou, Stavros
(2011)
*Monte Carlo Based Numerical Pricing of Multiple Strike-Reset Options.*
Masters thesis, oxford university.

Couffignals, Eric
(2010)
*Quasi-Monte Carlo simulations for Longstaff Schwartz pricing of american options.*
Masters thesis, Mathematical Institute.

Dechauffour, Quentin
(2014)
*Fractional Kelly Strategy and Time Consistent Investment : A Statistical Analysis.*
Masters thesis, Oxford University.

Dehaene, Charles
(2008)
*Portfolio Selection in Incomplete Markets with Utility Maximisation.*
Masters thesis, University of Oxford.

England, William
(2008)
*Modeling Commodity Futures Contracts.*
Masters thesis, University of Oxford.

Gandhi, Chetak
(2009)
*A Comparison Between Goal Reaching and Yaari's Models.*
Masters thesis, Mathematical Institute.

Gesell, Sebastian
(2011)
*Semi-robust static Hedging of Barrier Options.*
Masters thesis, oxford university.

Han, Wang
(2009)
*Time-Inconsistency: Performance of the Local Mean-Variance
*

Optimal Portfolio.
Masters thesis, Mathematical Institute.

Hao, Ni
(2009)
*Robust hedging of digital double touch barrier options.*
Masters thesis, Mathematical Institute.

Hippler, Steffan
(2008)
*Pricing Bermudan Swaptions in the LIBOR Market Model.*
Masters thesis, University of Oxford.

Hoffman, Frederick
(2011)
*Credit Valuation Adjustment.*
Masters thesis, oxford university.

Jiang, Hongyu
(2008)
*Behavioural Financial Decision Making Under Uncertainty.*
Masters thesis, University of Oxford.

Jiang, Yan
(2009)
*Optimal Selling Strategy With Piecewise Linear Drift Function.*
Masters thesis, Mathematical Institute.

Jin, Lixing
(2011)
*A new approach to BSDE.*
Masters thesis, oxford university.

Karagiannis, Konstantinos
(2010)
*Static hedging under cev model with drift.*
Masters thesis, Mathematical Institute.

Keegan, Sinead
(2008)
*Vibrato Monte Carlo and the calculation of greeks.*
Masters thesis, University of Oxford.

Keegan, Sinead
(2008)
*Vibrato Monte Carlo and the calculation of greeks.*
Masters thesis, University of Oxford.

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

Lam, Kwok-Chung Ivan
(2011)
*Indifference Pricing in a Basis Risk Model with Stochastic Volatility.*
Masters thesis, oxford university.

Li, Kai
(2008)
*Continuous Time Mean-Variance Portfolio Selection Problem.*
Masters thesis, University of Oxford.

Li, Yusong
(2011)
*Forward Performance Measurement with Applications in Indifference Valuation.*
Masters thesis, oxford university.

Lin, Peter
(2008)
*Monte Carlo simulation algorithms for the pricing of American options.*
Masters thesis, University of Oxford.

Lin, Sensen
(2008)
*Finite Difference Schemes for Heston Model.*
Masters thesis, University of Oxford.

Liu, Peng
(2008)
*Numerical Methods For American Option Pricing.*
Masters thesis, University of Oxford.

Liu, Peng
(2008)
*Numerical Methods For American Option Pricing.*
Masters thesis, University of Oxford.

Lu, Yuqian
(2008)
*Default Forecasting in KMV.*
Masters thesis, University of Oxford.

McMillan, Charles
(2014)
*Evaluating Asian Options and their Greeks via asymptotic expansion.*
Masters thesis, Oxford University.

Morariu-Patrichi, Maxime
(2014)
*Robust pricing under constraints on the realised volatility.*
Masters thesis, Oxford University.

Mu, Zongyan
(2014)
*The 80% Rule in Mean-Variance Portfolio Selection with Random Interest Rate.*
Masters thesis, Oxford University.

Newbury, James
(2011)
*Applications of Malliavin calculus to the pricing and hedging of Bermudan options.*
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.

Photiou, George
(2010)
*Extend the ideas of Kan and Zhou paper on Optimal Portfolio Construction under parameter uncertainty.*
Masters thesis, Mathematical Institute.

Pitcher, Courtney
(2008)
*Investigation of a Behavioural Model for Financial Decision Making.*
Masters thesis, University of Oxford.

Primozic, Tom
(2011)
*Estimating expected first passage times using multilevel Monte Carlo algorithm.*
Masters thesis, oxford university.

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

Shi, Haizhou
(2010)
*Backward stochastic differential equations in finance.*
Masters thesis, Mathematical Institute.

Siriviriyakul, Prach
(2014)
*Using tree based regression to solve BSDE.*
Masters thesis, Oxford University.

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

Spilda, Juraj
(2010)
*Adjoint methods for computing sensitivities in local volatility surfaces.*
Masters thesis, Mathematical Institute.

Su, Quanrong
(2014)
*Structure of asymptotic expansions of put prices, Deltas and Gammas.*
Masters thesis, Oxford University.

Sun, Tiantang
(2008)
*Markov Functional Market Model nd Standard Market Model.*
Masters thesis, University of Oxford.

Sun, Zhengyuan
(2014)
*Interacting Particle System and its Application in Pricing Bermudan Options.*
Masters thesis, Oxford University.

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

Thom, Howard
(2009)
*Longstaff Schwartz Pricing of Bermudan Options and their Greeks.*
Masters thesis, Mathematical Institute.

Vasilev, Nikolay
(2014)
*Optimal Switching on a Finite Time Horizon.*
Masters thesis, Oxford University.

Wang, Jiaxing
(2014)
*Multilevel Change of Measure for Complex Digital Options.*
Masters thesis, Oxford University.

Wang, Yue
(2010)
*Tracking a financial index using modern control theory.*
Masters thesis, Mathematical Institute.

Whitley, Alan
(2009)
*Pricing of European, Bermudan and American Options under the
*

Exponential Variance Gamma Process.
Masters thesis, Mathematical Institute.

Wong, Man Kuan
(2011)
*Correlation-sensitive Calibration of a Stochastic Volatility LIBOR Market Model.*
Masters thesis, oxford university.

Xu, Xingjian
(2011)
*Fake Geometric Brownian Motion And Its Option Pricing.*
Masters thesis, oxford university.

Yee, Zhao Wei
(2011)
*Models for indices.*
Masters thesis, oxford university.

Yudaken, Lisa
(2010)
*Numerical pricing of shout options.*
Masters thesis, Mathematical Institute.

Zamen, Ahmed Murtaza
(2008)
*Financial benchmark tracking problems under a stochastic linear quadratic control framework.*
Masters thesis, University of Oxford.

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

Zhao, Junchen
(2010)
*Parametric arbitrage-free models for implied smile dynamics.*
Masters thesis, Mathematical Institute.

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

Zhou, Sihong
(2010)
*Extended credit grades with local volatility.*
Masters thesis, Mathematical Institute.

liu, qing
(2011)
*Time-Homogeneous Diffusion with a given marginal subordinated by different time changes.*
Masters thesis, oxford university.

This list was generated on **Tue Jun 30 20:11:25 2015 BST**.