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Professor Vicky Henderson

Note: I am on Study leave (sabbatical) in Term 2 of 2023/24.

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.

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 finance.


I am the Theme Lead in Behavioural Finance for the Brain, Behaviour and Society GRPLink opens in a new window at Warwick.

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.


I am teaching ST334 in Term 1 2023/24 (and in 2022/23, 2021/22, 2020/21).

ST957Link opens in a new window (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:


Vicky.Henderson 'at'

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:


Wed 13.30-14.30

In-person but Teams upon request.