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Details about Kristoffer Glover

Homepage:https://profiles.uts.edu.au/kristoffer.glover
Workplace:Finance Discipline Group, Business School, University of Technology Sydney, (more information at EDIRC)

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

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

2020

  1. Dynkin games with incomplete and asymmetric information
    Papers, arXiv.org Downloads View citations (6)
    See also Journal Article Dynkin Games with Incomplete and Asymmetric Information, Mathematics of Operations Research, INFORMS (2022) Downloads (2022)

2019

  1. Short Selling with Margin Risk and Recall Risk
    Papers, arXiv.org Downloads 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) Downloads (2022)

2017

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

2014

  1. Optimal prediction of the last-passage time of a transient diffusion
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (2)

2013

  1. The Trade-off Theory Revisited: On the Effect of Operating Leverage
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (2)

2012

  1. A Gold Bubble?
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (16)
  2. Leveraged Investments and Agency Conflicts When Prices Are Mean Reverting
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (2)
  3. The Destruction of a Safe Haven Asset?
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (56)

2011

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

2010

  1. On nonlinear models of markets with finite liquidity: Some cautionary notes
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (5)
  2. The British Russian Option
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (4)

2009

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

Journal Articles

2024

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

2023

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

2022

  1. Dynkin Games with Incomplete and Asymmetric Information
    Mathematics of Operations Research, 2022, 47, (1), 560-586 Downloads
    See also Working Paper Dynkin games with incomplete and asymmetric information, Papers (2020) Downloads View citations (6) (2020)
  2. Financially constrained index futures arbitrage
    Journal of Futures Markets, 2022, 42, (9), 1688-1703 Downloads
  3. Optimally stopping a Brownian bridge with an unknown pinning time: A Bayesian approach
    Stochastic Processes and their Applications, 2022, 150, (C), 919-937 Downloads View citations (4)
  4. SHORT SELLING WITH MARGIN RISK AND RECALL RISK
    International Journal of Theoretical and Applied Finance (IJTAF), 2022, 25, (02), 1-33 Downloads
    See also Working Paper Short Selling with Margin Risk and Recall Risk, Papers (2019) Downloads View citations (1) (2019)

2016

  1. Leveraged investments and agency conflicts when cash flows are mean reverting
    Journal of Economic Dynamics and Control, 2016, 67, (C), 1-21 Downloads View citations (2)

2015

  1. Speculative trading in the gold market
    International Review of Financial Analysis, 2015, 39, (C), 63-71 Downloads View citations (24)

2014

  1. Heterogeneous expectations in the gold market: Specification and estimation
    Journal of Economic Dynamics and Control, 2014, 40, (C), 116-133 Downloads View citations (30)
 
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