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Michael Monoyios

Observed names: M. MONOYIOS, M. Monoyios, MICHAEL MONOYIOS, Monoyios, Michael
ORCID: 0000-0002-2286-418X
Observed ORCID: 0000-0002-2286-418X
OpenAlex ID: A5049267532
Performance of utility-based strategies for hedging basis risk
2004 · Michael Monoyios · Quantitative Finance · 83
Option pricing with transaction costs using a Markov chain approximation
2003 · Michael Monoyios · Journal of Economic Dynamics and Control · 70
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Mean reversion in stock index futures markets: A nonlinear analysis
2002 · Michael Monoyios, Lucio Sarno · Journal of Futures Markets · 54
Optimal hedging and parameter uncertainty
2007 · M. Monoyios · IMA Journal of Management Mathematics · 38
Optimal investment with inside information and parameter uncertainty
2010 · Albina Danilova, Michael Monoyios, et al. · Mathematics and Financial Economics · 30
Characterisation of optimal dual measures via distortion
2006 · Michael Monoyios · Decisions in Economics and Finance · 26
Malliavin Calculus Method for Asymptotic Expansion of Dual Control Problems
2013 · Michael Monoyios · SIAM Journal on Financial Mathematics · 22
The minimal entropy measure and an Esscher transform in an incomplete market model
2007 · Michael Monoyios · Statistics & Probability Letters · 22
The Principle of Minimal Sensitivity Applied to a New Perturbative Scheme in Quantum Field Theory
1989 · H. F. JONES, M. MONOYIOS · International Journal of Modern Physics A · 22
Utility-Based Valuation and Hedging of Basis Risk With Partial Information
2010 · Michael Monoyios · Applied Mathematical Finance · 19
Efficient option pricing with transaction costs
2003 · Michael Monoyios · The Journal of Computational Finance · 14
Marginal utility-based hedging of claims on non-traded assets with partial information
2008 · Monoyios, Michael · Oxford University Research Archive (ORA) (University of Oxford) · 9
Utility indifference pricing with market incompleteness
2008 · Michael Monoyios · Oxford University Research Archive (ORA) (University of Oxford) · 9
Optimal investment and hedging under partial and inside information
2009 · M. Monoyios · De Gruyter eBooks · 8
Executive Stock Option Exercise with Full and Partial Information on a Drift Change Point
2020 · Vicky Henderson, Kamil Kladívko, et al. · SIAM Journal on Financial Mathematics · 7
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Optimal Exercise of an Executive Stock Option by an Insider
2011 · MICHAEL MONOYIOS, ANDREW NG · International Journal of Theoretical and Applied Finance · 6
Preserving unitarity in a novel perturbative technique for solving quantum field theory
1989 · M. Monoyios · The European Physical Journal C · 5
Duality for optimal consumption under no unbounded profit with bounded risk
2022 · Michael Monoyios · The Annals of Applied Probability · 3
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Duality for optimal consumption with randomly terminating income
2021 · Ashley Davey, Michael Monoyios, et al. · Mathematical Finance · 3
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Interpolating actions for supersymmetric quantum field theory
1989 · M. Monoyios · Physical review. D. Particles, fields, gravitation, and cosmology/Physical review. D. Particles and fields · 2
Stability of the Epstein–Zin problem
2024 · Michael Monoyios, Oleksii Mostovyi · Mathematical Finance · 1
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Esscher transforms and martingale measures in incomplete diusion models
2005 · Michael Monoyios · 1
Neural Functionally Generated Portfolios
2025 · Monoyios, Michael, Pricilia, Olivia · arXiv (Cornell University)
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Infinite horizon utility maximisation from inter-temporal wealth
2020 · Monoyios, Michael · RePEc: Research Papers in Economics
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Duality and deep learning for optimal consumption with randomly terminating income
2020 · Ashley Davey, Michael Monoyios, et al. · arXiv (Cornell University)
Works count: 45
Citation count: 454
H-index: 11
I10-index: 11
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