Prof Michael Monoyios

I am an Associate Professor of Financial Mathematics in the Mathematical Institute, and a Tutorial Fellow in Applied Mathematics at LMH. I am also an Associate Member of the Oxford-Man Institute of Quantitative Finance.

I have a BSc Physics and PhD Theoretical Physics from Imperial College, London. I was later a Royal Society Postdoctoral Fellow in Theoretical Physics at the Niels Bohr Institute, Copenhagen, and then a trader of interest rate derivatives for Security Pacific Hoare Govett, London. I re-entered academia in the field of Mathematical Finance, first as a Research Associate at Imperial College, and then as a Senior Lecturer at Brunel University. I joined the Mathematical Institute at Oxford in 2005.

I am a member of the Mathematical and Computational Finance Group and of the Oxford Probability Group.

My research focuses on applications of stochastic control to optimal investment and hedging in incomplete markets. I have worked on problems involving transaction costs, basis risk, and with partial and inside information. I am also interested in Stochastic Portfolio Theory, model-free hedging techniques, and asymptotic methods.

I teach Applied Mathematics in College tutorials, covering a range of courses in the first two years of the curriculum. Courses I have tutored include: Introductory Calculus, Dynamics, Fourier Series and PDEs, Multivariable Calculus, Quantum Theory, Special Relativity, and Calculus of Variations.

For the Mathematical Institute I have taught a variety of courses on the Department's two MSc courses in the area of Mathematical and Computational Finance. I have also taught Mathematical Models of Financial Derivatives at the undergraduate level.

I have received two teaching awards for contributions to teaching and learning while in Oxford. In 2007 I received a University award for contributions to the development of the Mathematical Finance MSc. In 2014 I received a Mathematical Institute Department Teaching Award for contributions to the teaching of the Mathematical Finance MSc courses and the undergraduate courses.

Courses

Mathematics

Mathematics and Philosophy

Mathematics and Statistics

Mathematics and Computer Science

• M Monoyios, Malliavin calculus method for asymptotic expansion of dual control problems, SIAM Journal on Financial Mathematics 4 (2013) 884-915
• M Monoyios and A Ng ,Optimal exercise of an executive stock option by an insider, International Journal of Theoretical and Applied Finance 14 (2011) 83-106
• A Danilova, M Monoyios and A Ng, Optimal investment with inside information and parameter uncertainty, Mathematics and Financial Economics 3 (2010) 13-38
• M Monoyios, Utility-based valuation and hedging of basis risk with partial information, Applied Mathematical Finance 17 (2010) 519-551
• M Monoyios, Performance of utility-based strategies for hedging basis risk, Quantitative Finance 4 (2004) 245-255