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Martin Widdicks

Senior Lecturer of Finance and Director, MSF Program

Education

Ph.D. Mathematical Finance, University of Manchester, 2002.
B.Sc. Mathematics, University of Manchester, 1999.

Positions

Senior Lecturer in Finance, University of Manchester, 2004 - 2007
Visiting Assistant Professor of Finance, University of Illinois at Urbana-Champaign, 2005 - 2007
Lecturer in Finance, University of Manchester, 2003 - 2004

Research Interests

Derivative pricing models, Mathematical finance.

Research

Journal Articles

"Do compensation plans with performance targets provide better incentives?." M. Widdicks, H. Pinto, Journal of Corporate Finance, 2014


"Singular Perturbation Techniques Applied to Multiasset Option Pricing." M. Widdicks, D. Newton, P. Duck, C. Yang, Mathematical Finance, (19) 3 457 - 486 2009


"Extending quadrature methods to value multi-asset and complex path-dependent options." M. Widdicks, A. Andricopoulos, P. Duck, D. Newton, Journal of Financial Economics, (83) 2 471-499 2007


"Enhancing the accuracy of pricing American/Bermudan options." M. Widdicks, P. Duck, D. Newton, Y. Leung, Journal of Derivatives, (12) 4 34 - 44 2005


"The Black-Scholes equation revisited: asymptotic expansions and singular perturbations." M. Widdicks, A. Andricopoulos, P. Duck, D. Newton, Mathematical Finance, (15) 373 - 391 2005


"Curtailing the range for lattice and grid methods." M. Widdicks, A. Andricopoulos, P. Duck, D. Newton, Journal of Derivatives, (11) 55 - 61 2004


"Universal option pricing using quadrature." M. Widdicks, A. Andricopoulos, P. Duck, D. Newton, Journal of Financial Economics, (67) 447 - 471 2003


"On the enhanced convergence of lattice methods for option pricing." M. Widdicks, A. Andricopoulos, P. Duck, D. Newton, Journal of Futures Markets, (22) 315 - 338 2002

 

Contact Information
331 Wohlers Hall
1206 South Sixth Street
Champaign IL 61820

(217) 244-6856
widdicks@illinois.edu

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