Skip to main content

Dr Vicky Henderson

I joined the Department as a Reader in September 2013 from the Oxford-Man Institute of Quantitative Finance, University of Oxford. I am affiliated with the OMI where I now hold Associate Membership. My past positions include ETH Zurich (RiskLab), Oxford (Nomura Research Fellowship), Princeton University (Assistant Professor, ORFE) and Warwick (Reader, WBS). I have spent six months at the Isaac Newton Institute in 2005 and was a co-organiser of the Quantitative Finance program held at the Fields Institute in 2010. I hold a PhD in Mathematics from the University of Bath.

My current research interests include: optimal stopping and optimal control problems, especially related with utility indifference pricing, and with applications to real options and corporate finance, executive stock options, and behavioural finance.

Publications

I am an associate editor at: SIAM Journal on Financial Mathematics (2013-), Mathematics and Financial Economics (2010-) and Review of Derivatives Research (2007-) and a past AE of Journal of Economic Dynamics and Control (2007-2013).

I am on the Council of the Bachelier Finance Society from 2016-2019.

Teaching:

ST957 Financial Derivatives (Term 1 2016/17)

ST333 / ST406 (Term 1 2013/14 & 2014/15)

PhD applicants: If you are interested in applying for a PhD, see my topics on the Department website & the cross-faculty Bridges Leverhulme Doctoral Scholarship Program .

Masters appplicants: We run a successful MSc Financial Mathematics joint between Statistics, Mathematics and WBS.

I am a member of the Bachelier Finance Society, SIAM, the American Economic Association, the American Finance Association, the European Economic Association, and the European Finance Association.

maths_11-vickyhenderson.jpg

Contact details:

Email:

Vicky.Henderson 'at' warwick.ac.uk

Tel: +44 (0)24 7657 4811

Fax: +44 (0)24 7652 4532

Room C0.09 Department of Statistics, Zeeman Building University of Warwick, Coventry CV4 7AL

Office Hours:

Wed 1.30-2.30,

Fri 9.30-10.30

and via email