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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