I joined the Department as a Reader in September 2013 from the Oxford-Man Institute of Quantitative Finance, University of Oxford. My past positions include ETH Zurich (RiskLab), Oxford (Nomura Research Fellowship), Princeton University (Assistant Professor, ORFE) and Warwick (Reader, WBS). I have spent six months at the Isaac Newton Institute in 2005 and was a co-organiser of the Quantitative Finance program held at the Fields Institute in 2010. I hold a PhD in Mathematics from the University of Bath.

I am on the Leadership Team for the "Behaviour" Interdisciplinary Research SpotlightLink opens in a new window at Warwick and also the Theme Lead in Behavioural Finance. (I was previously the Theme Lead for Behavioural Finance for the Brain, Behaviour and Society GRP.)

My current research interests include: optimal stopping and optimal control problems, especially related with utility indifference pricing, and with applications to real options and corporate finance, executive stock options, and behavioural economics and finance.

Publications

I am an associate editor at: SIAM Journal on Financial Mathematics (2013-), and Review of Derivatives Research (2007-) and a past AE of Journal of Economic Dynamics and Control (2007-2013) and Mathematics and Financial Economics (2010-2023).

I am a former member of the Council of the Bachelier Finance Society.

Teaching:

I am teaching Term 1 of ST347 Actuarial Methods & Life Contingencies in 2024/25.

ST334 Actuarial Methods (Term 1 2023/24, 2022/23, 2021/22, 2020/21).

ST957Link opens in a new window Financial Derivatives (Term 1 2019/20, 2018/19, 2017/18, 2016/17).

PhD applicants: If you are interested in applying for a PhD, please contact me via email.

Masters appplicants: We run a successful MSc Mathematical FinanceLink opens in a new window which is joint between Statistics, Mathematics and WBS.

Contact details:

Email:

Vicky.Henderson 'at' warwick.ac.uk

Tel: +44 (0)24 7657 4811

Fax: +44 (0)24 7652 4532

MSB Room 1.21, Department of Statistics, University of Warwick, Coventry CV4 7AL

Office Hours:

Tues14.30-15.30

Wed 13.30-14.30

In-person but Teams upon request.