Michael Monoyios

Associate Professor in Financial Mathematics, Mathematical Institute, University of Oxford

Associate Professor in Financial Mathematics at the Mathematical Institute, University of Oxford.

Research Interests: Optimal Valuation, Hedging and Investment in Incomplete Markets; Stochastic Portfolio Theory; Partial and Inside Information Problems

 


Working Paper

Monoyios, M. and Zheng, H. (2015). Optimal consumption with randomly terminating income.
Atoyan, T. and Monoyios, M. (2015). Robust hedging of volatility derivatives for continuous price trajectories.
Atoyan, T. and Monoyios, M. (2015). Model-independent dynamic hedging of path-dependent claims on continuous semimartingales.
Cohen, S., Monoyios, M. and Ruf, J. (2015). Optimal consumption with random endowment over infinite horizons.
Henderson, V., Kladivko, K. and Monoyios, M. (2017). Exercise of ESO's in the presence of a change point.

Published Research

Monoyias, M. and Ng, A. (2011). Optimal exercise of an executive stock option by an insider. International Journal of Theoretical and Applied Finance. 14 (01). 83-106.
Monoyios, M., Ng, A. and Danilova, A. (2010). Optimal investment with inside information and parameter uncertainty. Mathematics and Financial Economics. 3 (1). 13-38.
Monoyios, M. (2010). Utility-based valuation and hedging of basis risk with partial information. Information Applied Mathematical Finance. 17 (6). 519-551.
Monoyios, M. (2009). Optimal investment and hedging under partial and inside information. In: Albrecher, H., Runggaldier, W. and Schachermayer, W. Advanced Financial Modelling. tbc: de Gruyter. 371-410.
Monoyios, M. (2008). Utility Indifference Pricing with Market Incompleteness. In: Ehrhardt, M. Non-linear Models in Mathematical Finance: New Research Trends in Option Pricing. New York: Nova Science Publishers. 67-100.
Monoyios, M. (2013). Malliavin calculus method for asymptotic expansion of dual control problems. SIAM Journal on Financial Mathematics. 4. 884-915.
Monoyios, M. and Ng, A. (2011). Optimal exercise of an executive stock option by an insider. International Journal of Theoretical and Applied Finance. 14. 83-106.