Dr Martin Widdicks
Senior Lecturer
Accounting and Finance
The Management SchoolLancaster University
Bailrigg
Lancaster
LA1 4YX
Current Teaching
AcF 215 Advanced Principles of Finance
AcF 324 Quantitative Finance
AcF 801 Asset Pricing
Qualifications
BSc Mathematics, University of Manchester
PhD Mathematical Finance, University of Manchester
Research Interests
Derivative pricing
Employee stock options
Mathematical finance
Real options.
Professional Role
PhD Programme Director (Finance)
Part II Director
Recent publications
- Singular perturbation techniques applied to multi-asset option pricing
Duck, P W., Newton, D P., Widdicks, M. & Yang, C. 2009 In: Mathematical Finance. 19, 3, p. 457-486. 30 p.
Journal article - Extending quadrature methods to value multi-asset and complex path-dependent options
Andricopoulos, A D., Widdicks, M., Newton, D P. & Duck, P W. 2007 In: Journal of Financial Economics. 83, 2, p. 471-499. 29 p.
Journal article - The Black-Scholes equation revisited: asymptotic expansions and singular perturbations
Widdicks, M., Duck, P W., Andricopoulos, A D. & Newton, D P. 2005 In: Mathematical Finance. 15, 2, p. 373-391. 19 p.
Journal article - Enhancing the accuracy of pricing American/Bermudan options
Duck, P W., Newton, D P., Widdicks, M. & Leung, Y. 2005 In: Journal of Derivatives. 12, 4, p. 34-44. 11 p.
Journal article - Curtailing the range for lattice and grid methods
Andricopoulos, A D., Widdicks, M., Duck, P W. & Newton, D P. 2004 In: Journal of Derivatives. 11, 4, p. 55-61. 7 p.
Journal article
