My research is currently focused on pricing new types of mortgages, including the Continuous Workout Mortgage --- a new type of product designed to insure homeowners against decrease in house prices --- in collaboration with Robert Shiller (Yale University, USA).
My contributions to Finance Theory are published in leading journals including the 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.
I have a PhD in Finance from HEC Paris, an M.Res in Economic Policy from Paris School of Economics and an M.Eng in Mathematical Physics from Wroclaw University of Technology.
Areas of specialism
University roles and responsibilities
- PGR Director, 3-year PhD in Management, Surrey Business School
- PGR Director, PhD in Finance and Accounting, Department of Finance and Accounting
- PGR Director, PhD in Healthcare Management, Surrey Business School
Affiliations and memberships
In the media
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.
- Doctoral Finance (PhD)
- Derivative Securities (MSc) MANM137
- Lancaster University Management School (LUMS): Doctoral Finance (PhD), Derivatives pricing (MSc), Advanced Topics in Finance (MSc), Quantitative Methods for Finance (MSc), Financial Markets (MSc), Advanced Principles of Finance, Bond Markets, Fixed income securities (MSc);
- HEC School of Management, Paris, France: Finance Theory, Microeconomics, Corporate Finance, Econometrics, Mathematical Finance (MSc Finance);
- Sciences Po, Paris, France: Emerging Markets;
- Warsaw University of Technology, Poland: Financial Markets (MBA);
- Warsaw School of Economics, Poland: Investments (MBA).
options (1973) employed in many real option situations where the
possibility of exercise is both perpetual and American in nature. Using
risk-neutral and risk-adjusted pricing techniques, Merton-style options
are shown to have an expected return that is a "constant percentage" of
the option value and independent of the proximity to the critical exercise
boundary. Merton options thus remain at the same point on the Security
Market Line, unlike European options whose position and rate of return
change dynamically. We also present formulae for the expected time and
discounted times to exercise and analyse the dependency of these variables
and Systemic Implications,Journal of Economic Behavior and Organization Elsevier
fixed rate home loan coupled with negative equity insurance, to advocate its viability in
mitigating financial fragility. In order to tackle the many issues that CWMs embrace, we
perform a range of tasks. We optimally price CWMs and take a systemic market-based
approach, stipulating that mortgage values and payments should be linked to housing
prices and adjusted downward to prevent negative equity. We illustrate that amortizing
CWMs can be the efficient home financing choice for many households. We price CWMs
as American option style, defaulting debt in conjunction with prepayment within a continuous
time, analytic framework. We introduce random prepayments via the intensity
approach of Jarrow and Turnbull (1995). We also model the optimal embedded option to
default whose exercise is motivated by decreasing random house prices. We adapt the
Barone-Adesi and Whaley (1987) (BAW) approach to work within amortizing mortgage
context. We derive new closed-form and new analytical approximation methodologies
which apply both for pricing CWMs, as well as for pricing the standard US 30-year Fixed
Rate Mortgage (FRM).
to default. We adapt the pragmatic approach of a margin loan in the configuring of collateralized
debt to yield a quasi-default-free facility. We link our practical method to the current Basel III
(2017) regulatory framework. Our new concept of the Loan Valuation Adjustment (LVA) and
novel method to minimize the LVA converts the risky loan into a quasi risk-free loan and achieves
value maximization for the lending financial institution. As a result, entrepreneurial activities
are promoted and economic growth invigorated. Information asymmetry, costly bailouts and
resulting financial fragility are reduced while depositors are endowed with a safety net equivalent
to deposit insurance but without the associated moral hazard between risk-averse lenders and
Papers in refereed journals
 Robert J. Shiller, Rafal M. Wojakowski, M. Shahid Ebrahim, and Mark B. Shackleton. Continuous Workout Mortgages: Efficient pricing and systemic implications. Journal of Economic Behavior & Organization, forthcoming, 2017.
 Rafał M. Wojakowski, M. Shahid Ebrahim, and Mark B. Shackleton. Reducing the impact of real estate foreclosures with amortizing participation mortgages. Journal of Banking and Finance, 71:62 – 74, October 2016.
 Robert J. Shiller, Rafal M. Wojakowski, M. Shahid Ebrahim, and Mark B. Shackleton. Mitigat- ing financial fragility with Continuous Workout Mortgages. Journal of Economic Behaviour and Organisation, 85:269–285, 2013.
 Rafal M. Wojakowski. How should firms selectively hedge? resolving the selective hedging puzzle. Journal of Corporate Finance, 18(3):560 – 569, 2012.
 M. Shahid Ebrahim, Mark B. Shackleton, and Rafał M. Wojakowski. Participating mortgages and the efficiency of financial intermediation. Journal of Banking and Finance, 35(11):3042–3054, November 2011.
 Andrianos Tsekrekos, Mark B. Shackleton, and Rafal M. Wojakowski. Evaluating natural re- source investments under different model dynamics: Managerial insights. European Financial Management, 18(2):543–577, 2012.
 Mark Shackleton and Rafal M.W̃ ojakowski Wojakowski. Finite maturity caps and floors on con- tinuous flows. Journal of Economic Dynamics and Control, 31(12):3843–3859, October 2007.
 Vicky Henderson, David Hobson, William Shaw, and Rafał Wojakowski. Bounds for in-progress floating-strike Asian options using symmetry. Annals of Operations Research, 151(1):81–98, April 2007.
 Mark Shackleton, Andrianos Tsekrekos, and Rafał Wojakowski. Strategic entry and market leadership in a two-player real options game. Journal of Banking & Finance, 28(1):179–201, January 2004.
 San-Lin Chung, Mark Shackleton, and Rafał Wojakowski. Efficient quadratic approximation of floating strike Asian option values. Finance, 24(1):49–62, June 2003.
 Rafał Wojakowski and Mark Shackleton. Real probability of exercising and expected values of option payoff. Rynek Terminowy (Futures Markets), 20(2):125–127, 2003. Refereed paper.
 Vicky Henderson and Rafał Wojakowski. On the equivalence of floating- and fixed-strike Asian options. Journal of Applied Probability, 39(2):391–394, June 2002.
 Mark Shackleton and Rafał Wojakowski. The expected return and exercise time of Merton style Real Options. Journal of Business Finance and Accounting, 29(3-4):541–555, April/May 2002.
 Mark Shackleton and Rafał Wojakowski. On the expected payoff and true probability of exercise of European options. Applied Economics Letters, 8(4):269–271, April 2001.
 Marc Chesney, Fausto Hernandez Trillo, Bernard Marois, and Rafał Wojakowski. El Manejo Del Riesgo Cambiario: Las Opciones Sobre Divisas (Foreign Exchange Risk Management: Currency Options). Editorial Limusa-CIDE, Mexico, 2001. ISBN: 968-18-6052-7.
 Marc Chesney, Bernard Marois, and Rafał Wojakowski. Les options de change: évaluation et utilisation (Foreign Exchange Options: Pricing and Using). Collection: Gestion, Série: Politique générale, Finance et Marketing. Economica, Paris, 1995. In French, ISBN 2–7178–2967–9, 129 pages.
Papers in edited collections
 Rafał Wojakowski and Mark Shackleton. On option expected returns. In Michael Kohlmann and Shanjian Tang, editors, Mathematical Finance, Trends in Mathematics, pages 265–374. Birkhäuser Verlag, Basel Switzerland, 2001. ISBN 3–7643–6553–6.
 Mark Shackleton and Rafał Wojakowski. Reversible real options. In Michael Kohlmann and Shanjian Tang, editors, Mathematical Finance, Trends in Mathematics, pages 339–344, Basel Switzerland, 2001. Birkhäuser Verlag. ISBN 3–7643–6553–6.
 Marc Chesney, Bernard Marois, and Rafał Wojakowski. Options de change: évaluation (For- eign exchange options: Pricing). In Yves Simon, editor, Encyclopédie des marchés financiers, chapter 69, pages 1398–1422. Economica, Paris, 1997. Commissioned chapter, in French, ISBN 2–7178–3043–X.