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 October 3, 2017
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