## 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.

In 2004-2005 I held a Leverhulme Research Fellowship, and in 2005 I
participated in and co-organised seminars at the Isaac Newton
Institute Programme in Developments in Quantitative Finance.

I was principal organiser of the workshop Further Developments in
Quantitative Finance, held at the International Centre for
Mathematical Sciences, Edinburgh, in July 2007. In 2011 I organised a
London Mathematical Society Short Course on Duality, Malliavin
Calculus and BSDEs in Mathematical Finance.

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 November 3, 2017

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