Dr Rafal Wojakowski
Reader in Finance
Qualifications: PhD (Finance) HEC Paris; MRes (Economics) Paris School of Economics; MEng (Theoretical Physics) Wroclaw University of Technology
Email: r.wojakowski@surrey.ac.uk
Phone: Work: 01483 68 3477
Room no: 08 MS 02
Office hours
Office Hours (term time): Weds 16:30-18:30 & Thu 12:00-13:00 or any mutually convenient time. Please call or email for an appointment. Always happy to see you!
Further information
Biography
Rafal has published his research in leading journals including: Journal of Corporate Finance, Journal of Banking and Finance, Journal of Economic Dynamics and Control, Journal of Economic Behavior & Organization, European Financial Management, Journal of Business Finance and Accounting and Journal of Applied Probability. Recently, Rafal developed leadership in applying mathematical methods to pricing innovative new types of mortgages. His current research focus on Continuous Workout Mortgages --- a new type of product designed to insure homeowners against drops in house prices --- and involves collaboration with Robert Shiller (Yale University, USA), Shahid Ebrahim (Bangor Business School, UK) and Mark Shackleton (Lancaster University, UK).
Research Interests
Incomplete Markets. Derivatives and Risk Management. Mortgage contracts and Real Estate Finance. Executive compensation. Real Options. Corporate Finance. Household finance. Behavioral finance. Mathematical finance. Stochastic processes and continuous-time finance. Auction theory.
Research Collaborations
Robert Shiller (Yale University, USA)
Shahid Ebrahim (Bangor Business School, UK)
Mark Shackleton (Lancaster University, UK)
Vicky Henderson (University of Oxford, UK)
David Hobson (University of Warwick, UK)
William Shaw (University College London, UK)
Greg Pawlina (Lancaster University, UK)
Jinsha Zhao (Kingston University London, UK)
Radu Tunaru (University of Kent, UK)
Dogan Tirtiroglu (University of Adelaide, Australia)
Bernard Dumas (INSEAD, France)
Peter Carr (Morgan Stanley & New York University, USA)
Marc Chesney (University of Zurich, Switzerland)
Publications
Journal articles
- . (2013) 'Mitigating financial fragility with Continuous Workout Mortgages'. Journal of Economic Behavior and Organization, 85 (1), pp. 269-285.
- . (2012) 'Evaluating Natural Resource Investments under Different Model Dynamics: Managerial Insights'. European Financial Management, 18 (4), pp. 543-575.
- . (2012) 'How should firms selectively hedge? Resolving the selective hedging puzzle'. Journal of Corporate Finance, 18 (3), pp. 560-569.
- . (2011) 'Continuous Workout Mortgages'. National Bureau of Economic Research Working Paper,
- . (2011) 'Participating mortgages and the efficiency of financial intermediation'. Journal of Banking and Finance, 35 (11), pp. 3042-3054.
- . (2007) 'Bounds for In-progress Floating-strike Asian Options Using Symmetry'. Springer Verlag Annals of Operations Research, 151 (1), pp. 81-98.
- . (2007) 'Finite Maturity Caps and Floors on Continuous Flows'. Elsevier Journal of Economic Dynamics and Control, 31 (12), pp. 3843-3859.
- . (2004) 'Strategic entry and market leadership in a two-player real options game'. Journal of Banking and Finance, 28 (1), pp. 179-201.
- . (2002) 'On the equivalence of floating-and fixed-strike Asian options'. Journal of Applied Probability, 39 (2), pp. 391-394.
- . (2002) 'The Expected Return and Exercise Time of Merton-style Real Options'. Journal of Business Finance & Accounting, 29 (3&4), pp. 541-555.
- . (2001) 'On the expected payoff and true probability of exercise of European options'. Applied Economics Letters, 8 (4), pp. 269-271.
Books
- . (2001) Management of Foreign Exchange Risk: Currency Options (El manejo del riesgo cambiario: Las opciones sobre divisas). Mexico : Limusa-CIDE , pp. 1-179.
- . (1995) Foreign Exchange Options: Pricing and Using (Les options de change: Evaluation et utilisation). Paris : Economica , pp. 1-129.
Teaching
Derivative Securities (MSc) MANM137
Departmental Duties
MSc Dissertations
