Sam Howison

University of Oxford - Nomura Centre for Quantitative Finance, OCIAM

Dr.

Mathematical Institute

24-29 St Giles

Oxford OX1 3LB

United Kingdom

SCHOLARLY PAPERS

9

DOWNLOADS
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Top 21,833

in Total Papers Downloads

2,231

SSRN CITATIONS
Rank 21,820

SSRN RANKINGS

Top 21,820

in Total Papers Citations

12

CROSSREF CITATIONS

23

Scholarly Papers (9)

1.

Option Pricing with Levy-Stable Processes Generated by Levy-Stable Integrated Variance

Quantitative Finance Vol. 9, No. 4, June 2009, pp 397–409
Number of pages: 30 Posted: 02 Oct 2007 Last Revised: 11 Mar 2013
Álvaro Cartea and Sam Howison
University of Oxford and University of Oxford - Nomura Centre for Quantitative Finance, OCIAM
Downloads 657 (39,858)

Abstract:

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stable processes, Lévy, jumps, implied volatility, jumps

2.

Limit Order Books

Number of pages: 42 Posted: 09 Dec 2011 Last Revised: 02 Apr 2013
University of Oxford - Mathematical Institute, University of Oxford, HSBC Bank - FX Research and Trading Group, HSBC Bank (London), HSBC (London) and University of Oxford - Nomura Centre for Quantitative Finance, OCIAM
Downloads 469 (61,579)
Citation 8

Abstract:

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Limit Order Books, Survey, Models, Statistics, Markets

3.

A Comparison of Option Prices Under Different Pricing Measures in a Stochastic Volatility Model with Correlation

Number of pages: 34 Posted: 02 Jan 2004
University of Warwick, University of Bath - School of Mathematical Sciences, University of Oxford - Nomura Centre for Quantitative Finance, OCIAM and University of Oxford - Nomura Centre for Mathematical Finance
Downloads 456 (63,757)
Citation 7

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stochastic volatility, pricing measure, market price of volatility risk, Heston model

4.

Stochastic Behaviour of the Electricity Bid Stack: From Fundamental Drivers to Power Prices

The Journal of Energy Markets, 2, 29-69 (2009)
Number of pages: 27 Posted: 13 Jun 2009 Last Revised: 24 Sep 2015
Sam Howison and Michael Coulon
University of Oxford - Nomura Centre for Quantitative Finance, OCIAM and University of Sussex
Downloads 354 (85,908)
Citation 1

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electricity, bid stack, fundamental, margin, demand, natural gas

5.

Games with Exhaustible Resources

SIAM J. Applied Mathematics 70(7), 2010, pages 2556-2581.
Number of pages: 39 Posted: 11 Mar 2010 Last Revised: 03 Jul 2015
University of Cambridge - Department of Applied Economics, University of Oxford - Nomura Centre for Quantitative Finance, OCIAM and Princeton University - Department of Operations Research and Financial Engineering
Downloads 78 (316,874)
Citation 5

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game theory, differential games, exhaustible resources

6.

Quasi-Centralized Limit Order Books

Number of pages: 43 Posted: 02 Feb 2015 Last Revised: 10 Oct 2016
Imperial College London - Department of Mathematics, University of Oxford and University of Oxford - Nomura Centre for Quantitative Finance, OCIAM
Downloads 70 (336,901)
Citation 2

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Limit order books, quasi-centralized liquidity, market microstructure, foreign exchange, curve collapse

7.

The Long Memory of Order Flow in the Foreign Exchange Spot Market

Number of pages: 38 Posted: 18 Apr 2015 Last Revised: 23 Oct 2015
Imperial College London - Department of Mathematics, University of Oxford and University of Oxford - Nomura Centre for Quantitative Finance, OCIAM
Downloads 62 (359,002)
Citation 5

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Long memory, autocorrelation, foreign exchange market, order flow, market microstructure

8.

Counterparty Credit Limits: An Effective Tool for Mitigating Counterparty Risk?

CFS Working Paper, WP No. 581
Number of pages: 39 Posted: 27 Sep 2017
Imperial College London - Department of Mathematics, University of Vienna - Department of Statistics and Operations Research, University of Oxford - Nomura Centre for Quantitative Finance, OCIAM and California Institute of Technology
Downloads 55 (380,672)
Citation 1

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Counterparty Credit Limits; Counterparty Risk; Price Formation; Market Design; Systemic Risk

9.

Multi-Level Order-Flow Imbalance in a Limit Order Book

Number of pages: 32 Posted: 12 Nov 2019
Ke Xu, Martin Gould and Sam Howison
BNP Paribas, London, Imperial College London - Department of Mathematics and University of Oxford - Nomura Centre for Quantitative Finance, OCIAM
Downloads 30 (478,202)

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multi-level order-flow imbalance, limit order book, price formation, market microstructure