Raphael Hauser

Associate Professor in Numerical Mathematics, University of Oxford

I am a member of the Numerical Analysis and Computational Finance Groups at the Mathematical Institute of the University of Oxford, and a Tutorial Fellow in Applied Mathematics at Pembroke College Oxford. Before joining Oxford as a University Lecturer, I was a postdoc at the University of Cambridge. I received my PhD in Operations Research from Cornell University in 2000. My first degree was in maths; after studying at EPFL Lausanne for the first two years, I transferred to ETH Zurich where I received a Dipl.Math ETH.

My research interests focus on convex optimization and convex analysis. On the theory side I'm interested in complexity theory and the probabilistic analysis of algorithms, as well as in condition numbers and the design of algorithms. I also work on the theory of optimal alignments of random sequences. A large deviations approach allows to reduce many of the salient questions to convex analysis. On the applications side, I'm interested in the use of optimization models in mathematical finance, in particular in robust portfolio optimization and risk management.


Working Paper

Troha, M. and Hauser, R. (2014). The existence and uniqueness of a power price equilibrium.
Troha, M. and Hauser, R. (2014). Calculation of a power price equilibrium.
Troha, M. and Hauser, R. (2014). The existence and uniqueness of a power price equilibrium.
Troha, M. and Hauser, R. (2014). Calculation of a power price equilibrium.
Troha, M. and Hauser, R. (2014). The impact of startup costs and the grid operator on the power price equilibrium.
Hauser, R. and Simoes, G (2016). Robust portfolio optimisation for medium frequency trading strategies and heavy-tailed returns.
Simoes, G., McDonald, M., Williams, S., Fenn, D. and Hauser, R (2016). Robust portfolio optimisation with specified competitors.