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Sam Howison

15 works· latest 2013· 1 institutionscluster: provisionalORCID 0000-0001-7938-370X

h-index15

i1015

Citations2,959

Works here15

Most cited in this library

The Mathematics of Financial Derivatives1995 · 1,037 citations
Option pricing: Mathematical models and computation1994 · 805 citations
Limit order books2013 · 310 citations
Modelling spikes and pricing swing options in electricity markets2009 · 112 citations
Detecting a currency’s dominance or dependence using foreign exchange network trees2005 · 102 citations

Works

15 shown

Limit order books

Quantitative Finance·2013·6 authors

310citations

Games with Exhaustible Resources

SIAM Journal on Applied Mathematics·2010·3 authors·Open access

47citations

Modelling spikes and pricing swing options in electricity markets

Quantitative Finance·2009·3 authors

112citations

A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options

Applied Mathematical Finance·2007·1 author

50citations

Matched Asymptotic Expansions in Financial Engineering

Journal of Engineering Mathematics·2005·1 author

44citations

Detecting a currency’s dominance or dependence using foreign exchange network trees

Physical Review E·2005·5 authors·Open access

102citations

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

Review of Derivatives Research·2005·4 authors·Open access

On the pricing and hedging of volatility derivatives

Applied Mathematical Finance·2004·3 authors

94citations

Predictability of Large Future Changes in a Competitive Evolving Population

Physical Review Letters·2001·3 authors·Open access

88citations

Application of multi-agent games to the prediction of financial time series

Physica A Statistical Mechanics and its Applications·2001·4 authors·Open access

55citations

Computation of deterministic volatility surfaces

The Journal of Computational Finance·1998·2 authors

77citations

Mathematical Models in Finance.

Journal of the Royal Statistical Society Series D (The Statistician)·1996·3 authors

37citations

The Mathematics of Financial Derivatives

Cambridge University Press eBooks·1995·3 authors·book

1,037citations

Option pricing: Mathematical models and computation

·1994·3 authors·book

805citations

Some mathematical results in the pricing of American options

European Journal of Applied Mathematics·1993·4 authors

62citations