Coronavirus (Covid-19): Latest updates and information
Skip to main content Skip to navigation

Elizabeth Whalley

Associate Professor in Finance

MMath (Cambridge), MA (Cambridge), MSc (Oxford), DPhil (Oxford)

Research Interests

Real Options, including environmental/bioeconomic applications, strategic competition and behavioural factors

Dynamic Corporate Finance, including utility-based valuation of Executive Stock Options

Option valuation incorporating market imperfections e.g. transaction costs

Student Feedback and Support Hours

Friday 3 p.m. - 5 p.m..


Formerly Research Fellow at Department of Economics, University of Surrey, and accountant at KPMG Peat Marwick

Teaching 2018-19

Derivative Securities on M.Sc. in Finance/Finance and Economics/Accounting and Finance

Principles of Finance 1 and Principles of Finance 2, 2nd year undergraduate modules for non-WBS students

Selected publications

CE Dangerfield, AE Whalley, N Hanley and CA Gilligan, "What a difference a stochastic process makes: epidemiological-based real options models of optimal treatment of disease". Environmental and Resource Economics (2018).

V Henderson, J Sun and AE Whalley. "Portfolios of American options under general preferences: results and counterexamples", Mathematical Finance, (2014). Earlier version here.

AE Whalley, "Optimal partial hedging of options with transaction costs", Journal of Futures Markets, (2011). Earlier version here.

AE Whalley, "Optimal R&D investment for a risk-averse entrepreneur", Journal of Economic Dynamics and Control, (2011). Earlier version here.

AKL Milne and AE Whalley, "Time to Build, Option Value and Investment Decisions, A comment", Journal of Financial Economics , 56 325-332 (2000).

AE Whalley and P Wilmott, "Optimal hedging of options with small but arbitrary transaction cost structure", European Journal of Applied Mathematics, 10 117-139 (1999).

AKL Milne and AE Whalley, "Bank Capital and Risk Taking", Bank of England Working Paper (1998).

D Epstein, N Mayor, P Schonbucher, AE Whalley and P Wilmott, "The Valuation of a Firm Advertising Optimally", The Quarterly Review of Economics and Finance, 38 149-166 (1998).

AE Whalley and P Wilmott, "An Asymptotic Analysis of an Optional Hedging Model for Option Pricing with Transactions Costs", Mathematical Finance, 7 307-324 (1997).

Working papers

CE Dangerfield, AE Whalley, N Hanley, J Healey and CA Gilligan, "The effects of variation in management objectives on responses to invading diseases under uncertainty: Forest Pathogens".

M Roberts, CA Gilligan, N Hanley, AE Whalley and JR Healey, "The effect of forest management options on forest resilience to pathogens".

AE Whalley and Z Zhang, "The impact of optimism on the order and timing of entry under duopolistic competition".

D Lin, D Liu and AE Whalley, "The impact of product market characteristics on firms' strategies in patent litigation".

V Henderson, J Sun and AE Whalley, "Executive Stock Options: Portfolio effects".

V Henderson, J Sun and AE Whalley, "The Value of Being Lucky: Option Backdating and Non-diversifiable Risk".

V Henderson and AE Whalley, "Holding On: Modelling Optimism and Stock Sales", in preparation.

S Rossetto and AE Whalley, "To pre-empt or not to pre-empt: simultaneous vs sequential entry in equilibrium", in preparation.


Elizabeth Whalley
Room 2.212
Finance Group
Warwick Business School
University of Warwick

T: + 44 (0) 24 765 28431
F: + 44 (0) 24 765 23779