Dr Martin Widdicks
BSc Mathematics, University of Manchester
PhD Mathematical Finance, University of Manchester
Senior Lecturer
Department
Accounting and Finance
Professional Role
PhD Programme Director (Finance)
Part II Director
Current Teaching
AcF 215 Advanced Principles of Finance
AcF 324 Quantitative Finance
AcF 801 Asset Pricing
Research Interests
Derivative pricing
Employee stock options
Mathematical finance
Real options.
Journal article (8)
Publications
- Duck P W, Newton D P, Widdicks M and Yang C, 2009, 'Singular perturbation techniques applied to multi-asset option pricing', Mathematical Finance, vol 19, no. 3, pp. 457-486.
View details - Andricopoulos A D, Widdicks M, Newton D P and Duck P W, 2007, 'Extending quadrature methods to value multi-asset and complex path-dependent options', Journal of Financial Economics, vol 83, no. 2, pp. 471-499.
View details - Duck P W, Newton D P, Widdicks M and Leung Y, 2005, 'Enhancing the accuracy of pricing American/Bermudan options', Journal of Derivatives, vol 12, no. 4, pp. 34-44.
View details - Widdicks M, Duck P W, Andricopoulos A D and Newton D P, 2005, 'The Black-Scholes equation revisited: asymptotic expansions and singular perturbations', Mathematical Finance, vol 15, no. 2, pp. 373-391.
View details - Newton D P, Paxson D A and Widdicks M, 2004, 'Real R&D Options', International Journal of Management Reviews, vol 5-6, no. 2, pp. 113-130.
View details - Andricopoulos A D, Widdicks M, Duck P W and Newton D P, 2004, 'Curtailing the range for lattice and grid methods', Journal of Derivatives, vol 11, no. 4, pp. 55-61.
View details - Andricopoulos A D, Widdicks M, Duck P W and Newton D P, 2003, 'Universal option pricing using quadrature', Journal of Financial Economics, vol 67, no. 3, pp. 447-471.
View details - Widdicks M, Andricopoulos A D, Newton D P and Duck P W, 2002, 'On the enhanced convergence of standard lattice methods for option pricing', Journal of Futures Markets, vol 22, no. 4, pp. 315-338.
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