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New People at OFRC


Claire McDonald (Finance)

Stock markets, asset pricing, behavioral finance, loss aversion and ambiguity aversion

Michael Monoyios (Mathematical Finance)

Stochastic control in hedging, risk, uncertainty, transaction costs, numerical methods for singular control

Dr Celine Rochon (Finance)

International finance, monetary economics,

market microstructure, strategic market games



New Research in Financial Economics

Towards a Measure of Financial Fragility

Oriol Aspachs, Charles A.E. Goodhart, Dimitrios P. Tsomocos, Lea Zicchino

Devaluation without Common Knowledge

Celine Rochon

Dynamic Matching and Bargaining: The Role of Deadlines.

Sjaak Hurkensy, Nir Vulkan

Evaluation of macroeconomic models for financial stability analysis

Gunnar Bardsen, Kjersti-Gro Lindquist, Dimitrios P.Tsomocos

Commitment to Overinvest and Price Informativeness

James Dow, Itay Goldstein, Alexander Guembel

Sovereign Debt Without Default Penalties

Alexander Guembel, Oren Sussman

The economics of the EU's corporate-insolvency law and the quest for harmonisation by market forces

Oren Sussman


See all papers in Financial Economics



New Research in Mathematical Finance

A matched asymptotic expansions approach to continuity corrections for discretely sampled options. Part 2: Bermudan options

by Sam Howison

A matched asymptotic expansions approach to continuity corrections for discretely sampled options. Part 1: barrier options

by Sam Howison and Mario Steinberg

Matched asymptotic expansions in financial engineering

by Sam Howison


See all papers in Mathematical Finance



5th OFR Symposium


The OFR Summer Symposium is a major event in the academic and financial community. It attracts worldwide interest and prestigious speakers from the whole spectrum of financial research. The fifth Summer Symposium will take place between Tuesday 6 June and Thursday 15 June 2006 at Said Business School.


Click here for

further information.

Sponsored by 


New Centre on Taxation

A unique research centre focusing on taxation policies and policy options affecting business in the UK is to be established at Oxford University, Said Business School.

The University and The Hundred Group, representing the largest listed companies in the UK, are to co-operate in setting up the Centre. The Hundred Group will be making 5 million available to support the work of the Centre over an initial five-year period.

For more info click here.

Clarendon Lectures in Finance 2005

Prof. Maureen O'Hara : Robert W. Purcell Professor of Management, Professor of Finance

Microstructure in a Theory of Finance

- Markets and Asset Pricing

- Markets and Corporate Finance

- The role of Microstructure


New Masters in Financial Economics


Oxford University is to launch a new Masters in Financial Economics in 2005. The MFE is a unique course, providing an intensive nine-month professional training in financial economics, and provides its graduates with a headstart in the worlds of business finance and financial research.

More information is available on the Said Business School website.


MFE brochure


Reading Group in Financial Econometrics

Tuesdays, 2.45-3.45, Clay Room, Nuffield College. Organised by Jeremy Large, Kevin Sheppard and Neil Shephard. Click here for further info.


WRDS Database

Members of the OFRC have access to the WRDS datasets which contains a large amount of all kinds of financial data. Anyone who wants to use WRDS just needs to go to http://wrds.wharton.upenn.edu/ , click on Account Request and fill in their details. Faculty, D.Phil. students and post-docs can all register for individual accounts on WRDS.