Scholar
Michael Monoyios
Google Scholar ID: 8fCJGYAAAAAJ
Associate Professor of Mathematical Finance, University of Oxford
Citations & Impact
Citations
142
H-index
7
i10-index
6
Publications
20
Co-authors
3
Publications
Resume
Research Experience
- 1989–1990: Royal Society Postdoctoral Fellow in Theoretical Physics at the Niels Bohr Institute, Copenhagen
- 1990–1993: Trader of interest rate derivatives at Security Pacific Hoare Govett, London
- 1993–1995: Research Associate in Mathematical Finance at Imperial College
- 1996–2004: Senior Lecturer in Mathematical Finance at Brunel University
- October 2005–present: Associate Professor at the Mathematical Institute, University of Oxford
Background
- Associate Professor in Financial Mathematics at the University of Oxford
- Member of the Mathematical and Computational Finance Group
- Fellow of Lady Margaret Hall, University of Oxford
- Part of the Oxford Probability group
- Research interests focus on applications of stochastic control and filtering to optimal investment and hedging problems in incomplete markets
- Worked on problems involving transaction costs, basis risk, partial and inside information
- Recent projects focused on duality methods for inter-temporal utility maximisation
- Current work centers on aspects of Fernholz's Stochastic Portfolio Theory