Ian Angus

  

Mathematical Institute,
24-19 St. Giles,
Oxford,
OX1 3LB,
UK.

Office: DH53

angus@maths.ox.ac.uk

I am a third year DPhil student in the Mathematical and Computational Finance Group (MCFG) at the Oxford Centre for Industrial and Applied Mathematics (OCIAM). OCIAM is part of the Mathematical Institute in the University of Oxford. I am also a member of St. Anne's College. My research funding is provided by the UK Engineering and Physical Sciences Research Council (EPSRC) and I am supervised by Dr Michael Monoyios. 

  

Research Interests:

  • Dual martingale methods of utility maximisation for optimal portfolio selection with consumption,

  • Maturity independent utility functions and optimal stopping problems,

  • Utility indifference pricing & marginal utility pricing.