Details about Kristoffer Glover
Access statistics for papers by Kristoffer Glover.
Last updated 2024-06-09. Update your information in the RePEc Author Service.
Short-id: pgl29
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Working Papers
2022
- With or without replacement? Sampling uncertainty in Shepp's urn scheme
Papers, arXiv.org
2020
- Dynkin games with incomplete and asymmetric information
Papers, arXiv.org View citations (6)
See also Journal Article Dynkin Games with Incomplete and Asymmetric Information, Mathematics of Operations Research, INFORMS (2022) (2022)
2019
- Short Selling with Margin Risk and Recall Risk
Papers, arXiv.org View citations (1)
See also Journal Article SHORT SELLING WITH MARGIN RISK AND RECALL RISK, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2022) (2022)
2017
- Dynkin games with heterogeneous beliefs
Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (6)
2014
- Optimal prediction of the last-passage time of a transient diffusion
Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (2)
2013
- The Trade-off Theory Revisited: On the Effect of Operating Leverage
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)
2012
- A Gold Bubble?
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (16)
- Leveraged Investments and Agency Conflicts When Prices Are Mean Reverting
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)
- The Destruction of a Safe Haven Asset?
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (56)
2011
- Three-Dimensional Brownian Motion and the Golden Ratio Rule
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (13)
2010
- On nonlinear models of markets with finite liquidity: Some cautionary notes
Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (5)
- The British Russian Option
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (4)
2009
- The British Asian Option
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (5)
Journal Articles
2024
- Quickest Detection Problems for Ornstein–Uhlenbeck Processes
Mathematics of Operations Research, 2024, 49, (2), 1045-1064
2023
- Capital ideas: optimal capital accumulation strategies for a bank and its regulator
The European Journal of Finance, 2023, 29, (18), 2075-2106
2022
- Dynkin Games with Incomplete and Asymmetric Information
Mathematics of Operations Research, 2022, 47, (1), 560-586 
See also Working Paper Dynkin games with incomplete and asymmetric information, Papers (2020) View citations (6) (2020)
- Financially constrained index futures arbitrage
Journal of Futures Markets, 2022, 42, (9), 1688-1703
- Optimally stopping a Brownian bridge with an unknown pinning time: A Bayesian approach
Stochastic Processes and their Applications, 2022, 150, (C), 919-937 View citations (4)
- SHORT SELLING WITH MARGIN RISK AND RECALL RISK
International Journal of Theoretical and Applied Finance (IJTAF), 2022, 25, (02), 1-33 
See also Working Paper Short Selling with Margin Risk and Recall Risk, Papers (2019) View citations (1) (2019)
2016
- Leveraged investments and agency conflicts when cash flows are mean reverting
Journal of Economic Dynamics and Control, 2016, 67, (C), 1-21 View citations (2)
2015
- Speculative trading in the gold market
International Review of Financial Analysis, 2015, 39, (C), 63-71 View citations (24)
2014
- Heterogeneous expectations in the gold market: Specification and estimation
Journal of Economic Dynamics and Control, 2014, 40, (C), 116-133 View citations (30)
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