Vicky Henderson 
Senior Reseach Fellow, Oxford-Man Institute of Quantitative Finance and Mathematical Institute, University of Oxford and Oriel College

Contact Information:

Address	The Oxford-Man Institute Eagle House, Walton Well Rd, Oxford. OX2 6ED. UK.
Phone	44 (0)1865 616 620
Fax	44 (0)1865 616 601
E-mail	vicky.henderson@oxford-man.ox.ac.uk

Research Interests:

• Utility indifference pricing, optimal stopping; optimal control; American options, behavioral finance
• real options, executive stock options, warrants
• stochastic volatility, exotic options

 I was a co-organiser of the program on Quantitative Finance held at the Fields Institute (Toronto) Jan-July 2010

I am an associate editor at:
Journal of Economic Dynamics and Control
Mathematics and Financial Economics
Review of Derivatives Research

Working Papers:

• A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk, with G. Liang. arXiv link  OMI Working paper
  
• Portfolios of American Options under General Preferences: Results and Counterexamples, with J. Sun and E. Whalley, February 2011. OMI Working paper OMI11.02
  
• Performance Based Compensation and Direct Earnings Management, with A. Camara, March 2009
• The Curious Incident of the Investment in the Market: Real Options and a Fair Gamble, with D Hobson , March 2005

 Publications:

• Prospect Theory, Liquidation and the Disposition Effect, to appear in Management Science
• Optimal Liquidation of Derivative Portfolios, with D. Hobson, Mathematical Finance, 21, 3, 2011, 365-382
• Is Corporate Control Effective when Managers face Investment Timing Decisions in Incomplete Markets?, Journal of Economic Dynamics and Control, 34, 6, June 2010, 1062-1076
  
• Utility Indifference Pricing - An Overview,  Chapter 2 of Indifference Pricing: Theory and Applications, ed. R. Carmona, Princeton University Press, 2009.
  
• Risk Aversion and Block Exercise of Executive Stock Options, with M. Grasselli, Journal of Economic Dynamics and Control,  33, 2009, 109-127.
  
• An explicit solution for an optimal stopping/optimal control problem which models an asset sale, with D. Hobson, Annals of Applied Probability, 18(5), 2008, 1681-1705
  
• Perpetual American Options in Incomplete Markets: The Infinitely Divisible Case, with D. Hobson, Quantitative Finance, 8(5), August 2008, 461-469.
  
• Optimal Timing for an Indivisible Asset Sale, with J. Evans and D. Hobson, Mathematical Finance, 18 (4), October 2008, 545-567
  
• Horizon-Unbiased Utility Functions, with D. Hobson, Stochastic Processes and their Applications, Vol 117, Issue 11, 2007, 1621-1641
  
• Valuing the Option to Invest in an Incomplete Market, Mathematics and Financial Economics,  1, 2, July 2007, 103-128
  
• Bounds for Floating-Strike Asian Options using Symmetry, with D. Hobson, W. Shaw and R. Wojakowski, Annals of Operations Research, 151, 81-98, 2007
  
• Is There an Informationally Passive Benchmark for Option Pricing Incorporating Maturity?, with D. Hobson and T. Kluge, Quantitative Finance, 7(1), February 2007, 75-86
  
• A Note on Irreversible Investment, Hedging and Optimal Consumption Problems, with D Hobson, International Journal of Theoretical and Applied Finance, 9, 6, September 2006, 997-1007
  
• Explicit Solutions to an Optimal Portfolio Choice Problem with Stochastic Income, Journal of Economic Dynamics and Control, 29(7), July 2005, 1237-1266
  
• The Impact of the Market Portfolio on the Valuation, Incentives and Optimality of Executive Stock Options, Quantitative Finance, 5(1), February 2005, 1-13.
  
• A Comparison of Option Prices under Different Pricing Measures in a Stochastic Volatility Model with Correlation , with D Hobson, S Howison and T Kluge, Review of Derivatives Research, 8, 5-25, 2005
  
• Analytical Comparisons of Option Prices in Stochastic Volatility models, Mathematical Finance, 15,1, Jan 2005, 49-59
  
• Coupling and Option Price Comparisons in a Jump Diffusion model, with D. Hobson, Stochastics and Stochastics Reports, Vol 75, 3, June 2003, p79-101
  
• Substitute Hedging, with D. Hobson, RISK, 15(5), May 2002, p71-75.  Reprinted in Exotic Options: The Cutting Edge Collection, RISK Books, London, 2003
  
• On the Equivalence of Floating and Fixed-Strike Asian Options, with R. Wojakowski, Journal of Applied Probability, Vol 39, No 2, June 2002
  
• Valuation of Claims on Non-Traded Assets using Utility Maximization, Mathematical Finance, Vol 12, No 4, October 2002, p351-373
  
• Real Options with Constant Relative Risk Aversion, with D Hobson, Journal of Economic Dynamics and Control, Vol 27(2), Dec 2002, p329-355.
  
• A New Class of Commodity Hedging Strategies: A Passport Option Approach, with D Hobson and G Kentwell, International Journal of Theoretical and Applied Finance, Vol 5, 3, 2002, p255-278.
  
• Passport Options with Stochastic Volatility, with D Hobson, Applied Mathematical Finance, 8, 2, June 2001, p97-119.
  
• Price Comparison Results and Super-Replication: An Application to Passport Options, Appl. Stochastic Models Bus. Ind., Vol 16, 4, 2000 p297-310
  
• Local Time, Coupling and the Passport Option, with D Hobson, Finance and Stochastics, 4, 1, Jan 2000 p69-80.

Other Publications:

• Employee Stock Options, with J. Sun, in Encyclopedia of Quantitative Finance, Cont R. (Ed). John Wiley and Sons Ltd. Chichester. UK. p561-566. 2010.
• Passport Options, in Encyclopedia of Quantitative Finance, Cont R. (Ed). John Wiley and Sons Ltd. Chichester. UK. p1368-1372. 2010
• Asian Options, in Encyclopedia of Quantitative Finance, Cont R. (Ed). John Wiley and Sons Ltd. Chichester. UK. p87-91. 2010
• Average Strike Options, in Encyclopedia of Quantitative Finance, Cont R. (Ed). John Wiley and Sons Ltd. Chichester. UK. p120-122. 2010
• The Black Scholes Model, Encyclopedia of Actuarial Science, Eds: J. Teugels and B. Sundt, John Wiley and Sons, Ltd, 2004
• Passport Options Outside the Black Scholes World, in Mathematical Finance, Birkhauser 2001, Eds M Kohlmann and S Tang
• A Probabilistic Approach to Passport Options, PhD thesis, University of Bath, December, 1999. Available from University Library or by request

Grants/Awards:

• National Science Foundation Career Award - Awarded 2005 (whilst at Princeton University)

Presentations and Seminars:

• SIAM Financial Mathematics, July 2012
  
• Seminar, Toulouse School of Economics, 20 March 2012
  
• LSE, 23 February 2012
  
• Lancaster University Management School, 20 January 2012
  
• 
  
• Seminar, OMI, University of Oxford, 22 November 2011
  
• Seminar, Princeton University, 7 November 2011
  
• Mathematical Finance and PDEs Conference, Rutgers, 3 November 2011
  
• Risk and Stochastics Day, LSE, 28 March 2011
  
• Seminar, Imperial College London, 17 November 2010
  
• Seminar, Dublin City University, 29 October 2010
  
• A.Ma.Me.F Workshop Berlin, 27-29 September, 2010
  
• Bachelier World Congress, Toronto, June 2010
  
• Incomplete Markets Conference, Cass Business School, April 2010
  
• Stochastics Control and Finance Workshop, Imperial College London, 12-14 April 2010
  
• FERC Conference, Warwick Business School, 24-25 September 2009
  
• Man Investments Quant Forum, 29-30 July 2009
  
• 25th Nordic and 1st British-Nordic Congress of Mathematicians, Oslo, 8-11 June 2009
• Seminar, Vienna University of Technology, 28th April, 2009
• Oxford-Princeton Meeting, Princeton University, 27-28th March, 2009
• Seminar, Kings College London, 24th February, 2009
• Seminar, TU and Humbolt Universitat, Berlin, 29th January 2009
• Seminar, University of Amsterdam, 26th Sept, 2008
• Symposium on Stochastic Models in Finance and Economics, University of Southern Denmark, 15-16 August, 2008
• Bachelier Finance Society Fifth World Congress, London, 15-19 July 2008
• Stochastic Methods in Finance, Turin, 3-5 July 2008
• Chicago-Paris Workshop on Financial Mathematics, Paris, 27-29 June 2008
• Oberwolfach program - Stochastic Analysis in Finance and Insurance, 27 Jan-2 Feb 2008
•  American Finance Association Meetings, New Orleans, 4-6 Jan 2008 (Discussant)
  
  
• Further Developments in Quantitative Finance, ICMS, Edinburgh, 9-13th July 2007   
• Oxford-Princeton Mathematical Finance Workshop, 18-19th May 2007, University of Oxford
• Finance Workshop, Warwick Business School, 16th May  
• EFM Symposium on Corporate Governance and Shareholder Activisim, Bocconi University, Milan, 3-5 May 2007
• Mathematical Finance seminar, University of Oxford, 9th February, 2007
  
  
• Quantitative Methods in Finance conference, Sydney, 13-16 December 2006 
• Seminar, Finance Group, School of Management, University of Bath, 18 October, 2006
• Workshop on Mathematical Finance & Insurance, Lijiang, China, 27 May-3rd June 2006
• Seminar, Haas School of Business, UC Berkeley, April 27th 2006
• Seminar, Stanford GSB, April 26th 2006
• SAMSI conference, North Carolina, 27-28 February, 2006
• Seminar, Columbia University, 24 February, 2006
• American Finance Association Meetings, Boston, 6-8 January 2006
• North American Winter Meetings of Econometric Society, Boston, 6-8 January, 2006
  
  
• Princeton-Cambridge Finance Workshop, Princeton, 16-17 September, 2005
• Daiwa International Workshop on Financial Engineering, Kyoto University, 21-26 July, 2005
• 9th Annual International Real Options Conference, EDC and University of Cergy, Paris, 22-25th June 2005
• Seminar, Mathematical Finance, Tanaka Business School, Imperial College London, 15th June 2005
• Finance seminar, London School of Economics, 3rd June 2005
• Seminar, Accounting and Finance, Cass Business School, City University, London, 25th May 2005
•  Seminar, Accounting and Finance, Lancaster University Management School, 16th March,  2005
• Seminar, Accounting and Finance, Warwick Business School, 3rd March, 2005
• Cambridge Finance seminar, INI, University of Cambridge, 22nd February, 2005
• Finance seminar, University of Manchester, 28th January, 2005
  
  
• Quantitative Methods in Finance conference, Sydney, 15-18th December, 2004
• Fields Institute, Toronto, Seminar series on Quantitative Finance, 24th November, 2004
• Seminar, Boston University Management School, 12th November, 2004
• Bendheim Center for Finance seminar, Princeton University, 15th September, 2004
• Bachelier Finance Society Third World Congress, Chicago, 21-24th July, 2004
• Real Options, 8th Annual Conference, (ROG, CIRANO & CIREQ), Montreal, 16-19th June 2004
• Banff Workshop on Semimartingale Theory and Practice in Finance, 5th-10th June 2004, Banff International Research Station, Canada
• Cornell Finance Workshop, 26th-27th March 2004, Cornell University
• Oxford-Princeton Mathematical Finance Workshop, Oxford, 19th-21st March 2004
• Mathematical Finance seminar, Kings College London, 16th March 2004
• Mathematical Finance seminar, University of Texas at Austin, 13th Feb 2004
• American Institute of Mathematics and NSF Workshop on Numerical Probabilistic Methods for High-Dimensional problems in finance, AIM, Palo Alto, California, 5-8 Dec 20003
• Stanford University, Mathematical Finance seminar, 5th Dec 2003.
• 10th Annual CAP Workshop on Derivative Securities and Risk Management, 7th Nov 2003, Columbia University, New York.
• Volatility Forecasting and Modelling Techniques, RISK course, London 26th June 2003
• Frankfurt Mathematical Finance Workshop, April 2003
• Seminar at Waseda University, 17th March 2003
• Seminar at University of Tokyo, 17th March 2003
• Columbia-JAFEE Conference on Mathematical Finance, Hitotsubashi University, Tokyo, 16th March 2003
• Nomura Conference, Hitotsubashi University, Tokyo, 14th March 2003
• CFR Seminar, Judge Institute of Management Studies, University of Cambridge, 14th February 2003
• Seminar, Department of Actuarial Mathematics and Statistics,  Heriot-Watt University, Edinburgh, 7th February, 2003

Ph.D. Students:

· Jia Sun