← All authors Sam Howison University of Oxford (from arXiv:1709.08238, 2017) · ORCID · OpenAlex
40 papers in scope · 40 published · 1 on the econ.EM arXiv · 1,713 citations · h-index 21 (over the papers listed here)
Papers (1 of 40)
The good, the bad, and latency: exploratory trading on Bybit and Binance
published 2025 · Quantitative Finance · first circulated 2024
Options-driven volatility forecasting
published 2025 · Quantitative Finance · 7 citations · first circulated 2024
with Nikolas Michael, Mihai Cucuringu
Editorial
published 2021 · European Journal of Applied Mathematics
Fragmentation, Price Formation and Cross-Impact in Bitcoin Markets
published 2021 · Applied Mathematical Finance · 12 citations
Homogenisation applied to thermal radiation in porous media
published 2020 · European Journal of Applied Mathematics · 5 citations
with Caoimhe M. Rooney, Colin P. Please
published 2020 · Applied Mathematical Finance · 1 citations · first circulated 2017
A framework for the construction of generative models for mesoscale structure in multilayer networks
published 2020 · Physical Review Research · 46 citations
Multi-Level Order-Flow Imbalance in a Limit Order Book
published 2018 · Market Microstructure and Liquidity · 2 citations
Quasi-centralized limit order books
published 2017 · Quantitative Finance · 2 citations · first circulated 2015
The Long Memory of Order Flow in the Foreign Exchange Spot Market
published 2016 · Market Microstructure and Liquidity · 8 citations · first circulated 2015
Preface
published 2015 · European Journal of Applied Mathematics
with John R. King, Andrew Lacey, Michael Ward
Limit order books
published 2013 · Quantitative Finance · 301 citations · first circulated 2010
The Effect of Nonsmooth Payoffs on the Penalty Approximation of American Options
published 2013 · SIAM Journal on Financial Mathematics · 17 citations
with Christoph Reisinger, J. H. Witte
Risk-Neutral Pricing of Financial Instruments in Emission Markets: A Structural Approach
published 2012 · SIAM Journal on Financial Mathematics · 21 citations · first circulated 2010
with Daniel Schwarz
Asymptotic Approximations for Asian, European, and American Options with Discrete Averaging or Discrete Dividend/Coupon Payments
published 2012 · SIAM Journal on Financial Mathematics · 2 citations
Games with Exhaustible Resources
published 2010 · SIAM Journal on Applied Mathematics · 49 citations
with Christopher Harris, Ronnie Sircar
Option pricing with Lévy-Stable processes generated by Lévy-Stable integrated variance
published 2009 · Quantitative Finance · 9 citations · first circulated 2003
with Álvaro Cartea
Modelling spikes and pricing swing options in electricity markets
published 2009 · Quantitative Finance · 127 citations
with Ben Hambly, Tino Kluge
Stochastic behavior of the electricity bid stack: from fundamental drivers to power prices
published 2009 · The Journal of Energy Markets · 82 citations
with Michael Coulon
Impact of unexpected events, shocking news, and rumors on foreign exchange market dynamics
published 2008 · Physical Review E · 32 citations
with Mark McDonald, Omer Suleman, Stacy Williams, Neil F. Johnson
A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
published 2007 · Applied Mathematical Finance · 54 citations
with Mario Steinberg
A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options
published 2007 · Applied Mathematical Finance · 21 citations
Matched Asymptotic Expansions in Financial Engineering
published 2005 · Journal of Engineering Mathematics · 44 citations
Detecting a currency’s dominance or dependence using foreign exchange network trees
published 2005 · Physical Review E · 103 citations · first circulated 2004
with Mark McDonald, Omer Suleman, Stacy Williams, Neil F. Johnson
A Comparison of Option Prices Under Different Pricing Measures in a Stochastic Volatility Model with Correlation
published 2005 · Review of Derivatives Research · 35 citations · first circulated 2003
with Vicky Henderson, David Hobson, Tino Kluge
A free boundary problem arising in a model for shallow water entry at small deadrise angles
published 2004 · European Journal of Applied Mathematics · 4 citations
with José M. Oliver
On the pricing and hedging of volatility derivatives
published 2004 · Applied Mathematical Finance · 104 citations · first circulated 2001
with Avraam Rafailidis, Henrik Rasmussen
Predictability of Large Future Changes in a Competitive Evolving Population
published 2001 · Physical Review Letters · 87 citations
with David Lamper, Neil F. Johnson
Application of multi-agent games to the prediction of financial time series
published 2001 · Physica A Statistical Mechanics and its Applications · 55 citations
with Neil F. Johnson, David Lamper, Paul Jefferies, Michael Hart
Trading volume in models of financial derivatives
published 2001 · Applied Mathematical Finance · 16 citations
with David Lamper
Two-dimensional Stokes and Hele-Shaw flows with free surfaces
published 1999 · European Journal of Applied Mathematics · 54 citations
with L. J. Cummings, John R. King
Two-dimensional Stokes flow with suction and small surface tension
published 1999 · European Journal of Applied Mathematics · 6 citations
with L. J. Cummings
Editorial
published 1999 · European Journal of Applied Mathematics · 1 citations
with J. R. Ockendon
Preface to Mathematics of Finance. A theme issue published by the Royal Society
published 1999 · Philosophical Transactions of the Royal Society A Mathematical Physical and Engineering Sciences
with Jeff Dewynne, Paul Wilmott
Computation of deterministic volatility surfaces
published 1998 · The Journal of Computational Finance · 80 citations
with N Jackson, Endre Süli
Mathematical Models in Finance.
published 1996 · Journal of the Royal Statistical Society Series D (The Statistician) · 38 citations
with P. S. Byrne, F. P. Kelly, Paul Wilmott
Cusp development in free boundaries, and two-dimensional slow viscous flows
published 1995 · European Journal of Applied Mathematics · 27 citations
with S. M. Richardson
Applied mathematics and finance
published 1994 · Philosophical Transactions of the Royal Society of London Series A Physical and Engineering Sciences · 2 citations
Some mathematical results in the pricing of American options
published 1993 · European Journal of Applied Mathematics · 63 citations
with J. N. Dewynne, I. Rupf, Paul Wilmott
Complex variable methods in Hele–Shaw moving boundary problems
published 1992 · European Journal of Applied Mathematics · 196 citations
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
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