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Professor Raphael Hauser
Tutor in Mathematics, Tanaka Fellow in Numerical Mathematics, Associate Professor of Numerical Mathematics
- Tutorials and Classes: Applied Mathematics
- Lectures: Integer Programming (Sec B), Optimization Models in Finance (M.Sc), Constructive Mathematics (Prelims)
- Reader in Mathematical Programming at the Oxford Mathematical Institute
- Postdoctoral Research Associate at DAMTP Cambridge
- Ph.D. in Operations Research (Cornell University)
- Diplomierter Mathematiker ETH
- Alma Mater: Ecole Polytechnique Federale de Lausanne & Swiss Federal Institute of Technology Zurich
My research concerns duality theory, and the construction and complexity of algorithms for mathematical optimization problems. Using large-deviations techniques, I'm also applying convex analysis and convex optimization theory to the analysis of optimal alignments of random sequences. My modelling work concerns applications of conic optimization to solve financial problems, particularly in asset management and in risk management.
- R.A. Hauser. "The S-Procedure via Dual Cone Calculus''. arXiv:1305.2444. Under peer review.
- R.A. Hauser, V. Krishnamurthy and R. Tütüncü. "Relative Robust Portfolio Optimization''. arXiv:1305.0144. 2013. Under peer review.
- R.A. Hauser and H. Matzinger. "Letter Change Bias and Local Uniqueness in Optimal Sequence Alignments''. J. Stat. Phys., 2013. DOI 10.1007/s10955-013-0819-4.
- R.A. Hauser and H. Matzinger. "Distribution of Aligned Letter Pairs in Optimal Alignments of Random Sequences''. arXiv:1211.5491. Under peer review.
- S. Amsalu, R. Hauser and H. Matzinger. "A Monte Carlo Approach to the Fluctuation Problem in Optimal Alignments of Random Strings. arXiv:1211.5489. To appear in Markov Processes and Related Fields, 2013.
- 11 Sept 2013. Technical University Munich, Risk Management Reloaded Conference, "A General Duality Theorem for Pessimal Risk Aggregation''. Contributed Talk.
- 19 July 2013. Isaac Newton Institute, Cambridge, Workshop on Positive Polynomials, "Likelihood Maximisation on Phylogenetic Trees''. Invited talk.
- 6-8 June 2013. Ist Portuguese Meeting on Industrial Mathematics, "Conic Programming Techniques in Finance''. 3h Plenary Talk.
- 21 Feb 2013, Internal Seminar, Mathematical Finance Group, Oxford Mathematical Institute. "Robust Portfolio Management under Heavy Tailed Return Distributions''.
- 8 Feb 2013, Numerical Analysis and Scientific Computing Seminar, University of Manchester, Department of Mathematics. "Distribution of Aligned Letter Pairs in Optimal Alignments of Random Sequences''.
- 21 Feb 2012, Internal Seminar, Numerical Analysis Group, Oxford Mathematical Institute. "Loosely Coupled, Communication Poor SVD Algorithms''.