Number one in the UK and eighth in the world in the Times Higher Education rankings of universities under 50 years old

Supporter of LMS Good Practice Award

Dr Alet Roux

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

Research interests

Mathematical Finance

Recent Publications

2012

Cutland N, Roux A.  2012.  Derivative Securities in Discrete Time. Springer Undergraduate Mathematics Series. :325.
Roux A, Zastawniak T, Zhang N.  2012.  Parallel Binomial American Option Pricing under Proportional Transaction Costs. Applied Mathematics. 3(11)

2011

Roux A, Zastawniak T.  2011.  American and Bermudan options in currency markets under proportional transaction costs. Finance and Stochastics. Abstract
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: 2013/14
Title Course category Term
Modelling of Bonds, Term Structure, and Interest Rate Derivatives Masters Spring
Year: 2012/13
Title Course category Term
Modelling of Bonds, Term Structure, and Interest Rate Derivatives Masters Spring
Mathematical Finance Dissertation Masters Summer

See all years

Administration

 

Edited 3 Dec 2012 - 13:45 by ar521

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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

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