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Publications

by alumni of

University of Technology Sydney → Business School

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

This page is updated in the first days of each month.

| Working papers | Journal articles |

Working papers

2019

  1. Kristoffer Glover & Hardy Hulley, 2019, "Short Selling with Margin Risk and Recall Risk," Papers, arXiv.org, number 1903.11804, Mar.
  2. Kristoffer Glover, 2019, "With or without replacement? Sampling uncertainty in Shepp's urn scheme," Papers, arXiv.org, number 1911.11971, Nov, revised Mar 2022.

2018

  1. Tiziano De Angelis & Erik Ekstrom & Kristoffer Glover, 2018, "Dynkin games with incomplete and asymmetric information," Papers, arXiv.org, number 1810.07674, Oct, revised Jul 2020.

2017

  1. Marta Leniec & Kristoffer Glover & Erik Ekström, 2017, "Dynkin games with heterogeneous beliefs," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2017-2, Jan.

2014

  1. Kristoffer Glover & Hardy Hulley, 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, number 2014-5, Jan.

2013

  1. Kristoffer Glover & Gerhard Hambusch, 2013, "The Trade-off Theory Revisited: On the Effect of Operating Leverage," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 329, Apr.

2012

  1. Kristoffer Glover & Gerhard Hambusch, 2012, "Leveraged Investments and Agency Conflicts When Prices Are Mean Reverting," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 314, Sep.
  2. Dirk G Baur & Kristoffer Glover, 2012, "The Destruction of a Safe Haven Asset?," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 174, Sep.
  3. Dirk G Baur & Kristoffer Glover, 2012, "A Gold Bubble?," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 175, Oct.

2011

  1. Kristoffer Glover & Hardy Hulley & Goran Peskir, 2011, "Three-Dimensional Brownian Motion and the Golden Ratio Rule," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 295, Aug.

2010

  1. Kristoffer Glover & Peter W Duck & David P Newton, 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, number 2010-5, Jan.
  2. Kristoffer Glover & Goran Peskir & Farman Samee, 2010, "The British Russian Option," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 269, Jan.

2009

  1. Kristoffer Glover & Goran Peskir & Farman Samee, 2009, "The British Asian Option," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 249, May.

Journal articles

2024

  1. Kristoffer Glover & Goran Peskir, 2024, "Quickest Detection Problems for Ornstein–Uhlenbeck Processes," Mathematics of Operations Research, INFORMS, volume 49, issue 2, pages 1045-1064, May, DOI: 10.1287/moor.2021.0186.

2023

  1. Kristoffer J. Glover & Paul V. Johnson & Geoffrey W. Evatt & Mingliang Cheng, 2023, "Capital ideas: optimal capital accumulation strategies for a bank and its regulator," The European Journal of Finance, Taylor & Francis Journals, volume 29, issue 18, pages 2075-2106, December, DOI: 10.1080/1351847X.2023.2179414.

2022

  1. Glover, Kristoffer, 2022, "Optimally stopping a Brownian bridge with an unknown pinning time: A Bayesian approach," Stochastic Processes and their Applications, Elsevier, volume 150, issue C, pages 919-937, DOI: 10.1016/j.spa.2020.03.007.
  2. Tiziano De Angelis & Erik Ekström & Kristoffer Glover, 2022, "Dynkin Games with Incomplete and Asymmetric Information," Mathematics of Operations Research, INFORMS, volume 47, issue 1, pages 560-586, February, DOI: 10.1287/moor.2021.1141.
  3. Kristoffer Glover & Hardy Hulley, 2022, "Financially constrained index futures arbitrage," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 42, issue 9, pages 1688-1703, September, DOI: 10.1002/fut.22293.
  4. Kristoffer Glover & Hardy Hulley, 2022, "Short Selling With Margin Risk And Recall Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 25, issue 02, pages 1-33, March, DOI: 10.1142/S0219024922500078.

2016

  1. Glover, Kristoffer J. & Hambusch, Gerhard, 2016, "Leveraged investments and agency conflicts when cash flows are mean reverting," Journal of Economic Dynamics and Control, Elsevier, volume 67, issue C, pages 1-21, DOI: 10.1016/j.jedc.2016.03.006.

2015

  1. Baur, Dirk G. & Glover, Kristoffer J., 2015, "Speculative trading in the gold market," International Review of Financial Analysis, Elsevier, volume 39, issue C, pages 63-71, DOI: 10.1016/j.irfa.2015.02.004.

2014

  1. Baur, Dirk G. & Glover, Kristoffer J., 2014, "Heterogeneous expectations in the gold market: Specification and estimation," Journal of Economic Dynamics and Control, Elsevier, volume 40, issue C, pages 116-133, DOI: 10.1016/j.jedc.2014.01.001.

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