Prof. Michael Monoyios
Associate Professor, Financial Mathematics
Mathematical Institute
University of Oxford
Radcliffe Observatory Quarter
Woodstock Road
Oxford OX2 6GG
tel: + 44(0)1865 280617
Office: S1.35
email: my surname at maths dot ox dot ac dot uk
I am an Associate Professor in Financial Mathematics, a member of
the Mathematical and
Computational Finance Group, a Fellow of Lady
Margaret Hall, and part of the Oxford
Probability group.
I obtained BSc Physics and PhD Theoretical Physics degrees from
Imperial College, London, 1983--1989. This was followed by a Royal
Society Postdoctoral Fellowship in Theoretical Physics at the Niels
Bohr Institute, Copenhagen, 1989-1990. From 1990 to 1993 I was a
trader of interest rate derivatives for Security Pacific Hoare Govett,
London. I returned to academia as a Research Associate in Mathematical
Finance at Imperial College, 1993-1995. From 1996-2004 I was at Brunel
University as a Senior Lecturer in Mathematical Finance. I joined the
Mathematical Institute at Oxford in October 2005.
My research interests focus on applications of stochastic control and
filtering to optimal investment and hedging problems in incomplete
markets. I have worked on problems involving transaction costs, basis
risk, and with partial and inside information. My current projects are
centred on inter-temporal utility maximisation problems.
Last modified April 16, 2024
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