Times Higher Education Award: 2010 University of the Year

Supporter of LMS Good Practice Award

Dr Alet Roux

Research group:
Stochastic Analysis | Mathematical Finance
BSc BCom (Pret), MPhil (Cantab), PhD (York)
Lecturer

Research interests

Mathematical Finance

Recent Publications

Submitted

Roux, A, Zastawniak T.  Submitted.  American and Bermudan options in currency markets under proportional transaction costs. Finance and Stochastics. Abstract
Cutland, N, Roux A.  Submitted.  Derivative Securities in Discrete Time. :approx340.
Roux, A, Zastawniak T, Zhang N.  Submitted.  Parallel American Option Pricing under Proportional Transaction Costs on Binomial Trees. International Journal of Parallel Programming.

2011

Roux, A, Tien C-Y, Zastawniak T.  2011.  Derivative Securities in Markets with Bid-Ask Spreads. Global and Stochastic Analysis. 1(2):35. Abstract
Roux, A, Zastawniak T, Zhang N.  2011.  Parallel binomial valuation of American options with proportional transaction costs. Advanced Parallel Processing Technology Symposium, Shanghai, China, September 2011. 6965:88--97.

Full publication list

Teaching

Year: 2012/13
Title Course category Term
Modelling of Bonds, Term Structure, and Interest Rate Derivatives Masters Spring
Mathematical Finance Dissertation Masters Summer
Year: 2011/12
Title Course category Term
C++ Programming with Applications in Finance Masters
Autumn
Spring
Modelling of Bonds, Term Structure, and Interest Rate Derivatives Masters Spring
Mathematical Finance Dissertation Masters Summer

See all years

Administration

I am the Course Director of the campus-based MSc in Mathematical Finance.

Edited 4 Oct 2011 - 13:55 by ar521

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roux-alet

Contact Details

Dr Alet Roux
Department of Mathematics
University of York
York, YO10 5DD

alet.roux@york.ac.uk

Tel:+44 1904 32 4596
Fax: +44 1904 32 3071
Office:G/131