Dr Martin Widdicks

Senior Lecturer

Current Teaching

AcF 215 Advanced Principles of Finance

AcF 324 Quantitative Finance

AcF 801 Asset Pricing

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

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

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

Real R&D Options
Newton, D.P., Paxson, D.A., Widdicks, M. 2004 In: International Journal of Management Reviews. 5-6, 2, p. 113-130. 18 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

Universal option pricing using quadrature
Andricopoulos, A.D., Widdicks, M., Duck, P.W., Newton, D.P. 2003 In: Journal of Financial Economics. 67, 3, p. 447-471. 25 p.
Journal article

On the enhanced convergence of standard lattice methods for option pricing
Widdicks, M., Andricopoulos, A.D., Newton, D.P., Duck, P.W. 2002 In: Journal of Futures Markets. 22, 4, p. 315-338. 24 p.
Journal article