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.

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

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 Diusions 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.

This list was generated on **Thu Dec 18 05:12:17 2014 GMT**.