utility based option valuation; executive stock options; real options; option valuation and hedging with transaction costs.
Teaching in 2016-2017
IB9X70: Derivative Securities
IB2530: Principles of Finance 1
Formerly Research Fellow at Department of Economics, University of Surrey, and accountant at KPMG Peat Marwick.
Henderson, V., Sun, J. and Whalley, A. E. (2014) "Portfolios of American options under general preferences : results and counterexamples", Mathematical Finance, Volume 24, Number 3, 533-566
Elizabeth Whalley (2011) "Optimal partial hedging of options with small transaction costs", Journal of Futures Markets, Vol.31, No.9, 855-897
Elizabeth Whalley (2011) "Optimal R&D investment for a risk-averse entrepreneur", Journal of Economic Dynamics and Control, Volume 35, Number 4, 413-429
Whalley, A. E. and Wilmott, P. (1997) "An Asymptotic Analysis of an Optional Hedging Model for Option Pricing with Transactions Costs
", Mathematical Finance, 7, 3, 307-324
Dewynne, J. N., Whalley, A. E. and Wilmott, P. (1994) "Path-Dependent Options and Transaction Costs", Philosophical Transactions : Physical Sciences and Engineering, 347, 1684, 517-529