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

Working Papers

2022

1. With or without replacement? Sampling uncertainty in Shepp's urn scheme
   Papers, arXiv.org

2020

2. 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) View citations (2) (2022)

2019

3. 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

4. Dynkin games with heterogeneous beliefs
   Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (6)

2014

5. 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 (3)

2013

6. 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

7. A Gold Bubble?
   Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (16)
8. Leveraged Investments and Agency Conflicts When Prices Are Mean Reverting
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)
9. The Destruction of a Safe Haven Asset?
   Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (60)

2011

10. Three-Dimensional Brownian Motion and the Golden Ratio Rule
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (13)

2010

11. 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)
12. The British Russian Option
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (4)

2009

13. The British Asian Option
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (5)

Journal Articles

2024

1. Quickest Detection Problems for Ornstein–Uhlenbeck Processes
   Mathematics of Operations Research, 2024, 49, (2), 1045-1064

2023

2. Capital ideas: optimal capital accumulation strategies for a bank and its regulator
   The European Journal of Finance, 2023, 29, (18), 2075-2106

2022

3. Dynkin Games with Incomplete and Asymmetric Information
   Mathematics of Operations Research, 2022, 47, (1), 560-586 View citations (2)
   See also Working Paper Dynkin games with incomplete and asymmetric information, Papers (2020) View citations (6) (2020)
4. Financially constrained index futures arbitrage
   Journal of Futures Markets, 2022, 42, (9), 1688-1703 View citations (1)
5. 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)
6. 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

7. 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

8. Speculative trading in the gold market
   International Review of Financial Analysis, 2015, 39, (C), 63-71 View citations (25)

2014

9. Heterogeneous expectations in the gold market: Specification and estimation
   Journal of Economic Dynamics and Control, 2014, 40, (C), 116-133 View citations (31)