Oxford Centre for Industrial and Applied Mathematics

University Lecturer in Mathematics

I am a University Lecturer in the Mathematical
Institute, of which I am currently Chairman. My
college is Christ Church.
This link takes you to the maths part of the college website and is
especially useful if you are thinking of applying to study maths at
Oxford.

Here is a list of my
publications. PDF files are pre-publication versions.

Here is a link to the Workshop on Hele-Shaw free boundary problems, held in Oxford August 24-26 1998. This page will take you to the bibliography of papers on that subject.

And here is a link to a pdf of the evergreen Colemanballs paper "If I remember rightly, cos(pi/2)=1".Here are some recent talks:

- Discrete sampling of barrier options, Bachelier Finance Congress 2004.
- The Hele-Shaw problem- 1898-2004, BAMC plenary talk 2004.
- Impact of a drop on a thin layer of liquid, with associated preprint, Euromech 450, Marseille, 2004.
- Discrete sampling of barrier and Bermudan options, given in various seminars.
- An overview of work on splashing given at Frontiers in Applied and Computational Mathematics, NJIT 2006.
- A talk on Games with Exhaustible Resources, given in various places 2009-10.
- A talk on Self-Referential Options, including a model for carbon allowance prices, Oxford-Man Institute, June 2010.

Annie (who is an
artist; her website is here), Toby and I
made this coracle ourselves with the help of Peter Faulkner of
Leintwardine in Shropshire. Photo by Kate Lewin, after the annual OCIAM
cricket match.

I am co-Editor-in-Chief of the
European Journal of
Applied
Mathematics.

I am an editor of Applied
Mathematical Finance and
SIAM Journal on
Financial Mathematics

My research interests are mostly in the applications of differential equations to real-world problems. I have particular interests in free and moving boundary problems and applications of complex variable methods in continuum mechanics, and in the mathematics of finance.

There are very many free and moving boundary problems in materials science and fluid dynamics. One of the simplest is the Hele-Shaw problem which is also a model for groundwater flows. It is a special case of the Stefan model for melting or solidification of a pure material, which is of enormous practical and theoretical importance, and I have devoted considerable effort to it in the belief that it encapsulates the essential features of the more complex situation. I have also worked on the Stefan model itself and on the related alloy solidification problem.

I am involved with other free boundary problems from materials science; of particular current interest are the macroscopic modelling of dislocation arrays in materials, and models of superconductivity. The former area is basic to our understanding of plasticity, and the latter has become a major world-wide research area as a result of the recent discovery of high-Tc superconductors.

More generally, work with industry has included
problems in
lubrication theory, circuit device analysis (thermistors), ship
hydrodynamics, analysis of thin layer flows and paints, and the
mathematics of colour vision.

Much of this work underpins two books:

Applied
Partial Differential
Equations (OUP, revised edition 2001), by John Ockendon, Sam
Howison, Andrew Lacey and Sasha Movchan

Practical
Applied Mathematics:
modelling, analysis, approximation, by Sam Howison, to appear
from CUP early in 2005. Here is a nice review
from the Times Higher Education Supplement, and here is a short list
of errors of one sort or another.

My work in finance deals with the valuation of derivative securities, especially exotic and American, and the modelllng of markets. I have co-authored two books on the subject:

Option
Pricing: Mathematical Models
and Computation *Oxford Financial
Press, 1993
*and

Mathematics of
Financial Derivatives
*CUP, 1995*

I had intended to write a follow up to this but
for a variety of
reasons this never happened. Here, though, is a draft chapter on barrier options in the Black-Scholes framework;
it
comes
with
a
health
warning.

I was a member of the Applied Mathematics subpanel for RAE2008. This entailed a lot of reading: here is a picture of me and my pile (on its way to the shredder).

Tel: 01865-2-73534

E-mail: howison@maths.ox.ac.uk