utility based option valuation; executive stock options; real options; option valuation and hedging with transaction costs.
Teaching in 2018-2019
IB9X70: Derivative Securities
IB2530: Principles of Finance 1
Formerly Research Fellow at Department of Economics, University of Surrey, and accountant at KPMG Peat Marwick.
Dangerfield, C. E., Whalley, A. E., Hanley, N. and Gilligan, C. A. (2018) "What a difference a stochastic process makes : epidemiological-based real options models of optimal treatment of disease", Environmental and Resource Economics, 70, 3, 691-711
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