Rafal M. Wojakowski

University of Surrey

Reader in Finance

Faculty of Business, Economics and Law

The Surrey Business School

Guildford, Surrey GU2 7XH

United Kingdom

http://www.surrey.ac.uk/sbs/people/rafal_wojakowski/index.htm

Lancaster University - Management School

Lancaster, LA1 4YX

United Kingdom

http://www.lums.lancs.ac.uk/profiles/rafal-wojakowski/

  • University of Surrey

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    • Tel: +44 1483 683477

  • Lancaster University - Management School

    • Email
    • Tel: +44 (1524) 593630
    • Fax: (01524) 847321
SCHOLARLY PAPERS

11

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Rank 40,364

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Top 40,364

in Total Papers Downloads

2,705

TOTAL CITATIONS
Rank 26,752

SSRN RANKINGS

Top 26,752

in Total Papers Citations

15

Scholarly Papers (11)

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1.

Strategic Entry and Market Leadership in a Two-Player Real Options Game

Journal of Banking and Finance, Vol. 28, No. 1, 2004
Number of pages: 33 Posted: 16 Mar 2002 Last Revised: 22 Jan 2013
Mark B. Shackleton, Andrianos E. Tsekrekos, Rafal M. Wojakowski and Rafal M. Wojakowski
Lancaster University - Department of Accounting and Finance, Athens University of Economics and Business - Department of Accounting and Finance and University of SurreyLancaster University - Management School
Downloads 748 (73,815)
Citation 1

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Real options, Intertemporal optimal exchange, Two-player stochastic game, Expected active times and probabilities

2.

On the Equivalence of Floating and Fixed-Strike Asian Options

Journal of Applied Probability, Vol. 39, No. 2, pp. 391--394, 2002, LUMS Working Paper No. 2001/005
Number of pages: 7 Posted: 13 Dec 2001 Last Revised: 09 Mar 2008
Vicky Henderson, Rafal M. Wojakowski and Rafal M. Wojakowski
University of Warwick and University of SurreyLancaster University - Management School
Downloads 611 (95,639)
Citation 2

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Asian option, floating-strike Asian option, put call symmetry, change of numeraire, time reversal, Brownian motion

3.

Participating Mortgages and the Efficiency of Financial Intermediation

Downloads 370 (174,339)
Citation 3

Participating Mortgages and the Efficiency of Financial Intermediation

Number of pages: 28 Posted: 14 Feb 2009
Muhammed Shahid Ebrahim, Mark B. Shackleton, Rafal M. Wojakowski and Rafal M. Wojakowski
Durham Business School, Lancaster University - Department of Accounting and Finance and University of SurreyLancaster University - Management School
Downloads 171 (376,589)

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Participating Mortgage (PM), Shared Appreciation Mortgage (SAM), Shared Income Mortgage (SIM), Shared Equity Mortgage (SEM), Profit Caps and Floors.

Participating Mortgages and the Efficiency of Financial Intermediation

Number of pages: 38 Posted: 15 Mar 2010
Muhammed Shahid Ebrahim, Mark B. Shackleton, Rafal M. Wojakowski and Rafal M. Wojakowski
Durham Business School, Lancaster University - Department of Accounting and Finance and University of SurreyLancaster University - Management School
Downloads 54 (832,837)
Citation 2

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Participating mortgage, Shared appreciation mortgage, Shared income mortgage, Shared equity mortgage, Profit caps and floors, Prepayment risk intensity

Participating Mortgages and the Efficiency of Financial Intermediation

Number of pages: 28 Posted: 17 Mar 2009
Muhammed Shahid Ebrahim, Mark B. Shackleton, Rafal M. Wojakowski and Rafal M. Wojakowski
Durham Business School, Lancaster University - Department of Accounting and Finance and University of SurreyLancaster University - Management School
Downloads 52 (848,611)

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Participating Mortgage (PM), Shared Appreciation Mortgage (SAM), Shared Income Mortgage (SIM), Shared Equity Mortgage (SEM), Profit Caps and Floors.

Participating Mortgages and the Efficiency of Financial Intermediation

Number of pages: 33 Posted: 25 Mar 2008
Muhammed Shahid Ebrahim, Mark B. Shackleton, Rafal M. Wojakowski and Rafal M. Wojakowski
Durham Business School, Lancaster University - Department of Accounting and Finance and University of SurreyLancaster University - Management School
Downloads 49 (873,426)
Citation 1

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Participating Mortgage (PM), Shared Appreciation Mortgage (SAM), Shared Income Mortgage (SIM), Shared Equity Mortgage (SEM), Profit Caps and Floors

Participating Mortgages and the Efficiency of Financial Intermediation

Number of pages: 33 Posted: 06 Mar 2008
Muhammed Shahid Ebrahim, Mark B. Shackleton, Rafal M. Wojakowski and Rafal M. Wojakowski
Durham Business School, Lancaster University - Department of Accounting and Finance and University of SurreyLancaster University - Management School
Downloads 44 (917,813)

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Participating Mortgage (PM), Shared Appreciation,Mortgage (SAM), Shared Income Mortgage (SIM), Shared Equity Mortgage (SEM), Profit Caps and Floors

4.

Finite Maturity Caps and Floors on Continuous Flows

Journal of Economic Dynamics and Control, Vol. 31, No. 12, pp. 3843-3859, 2007
Number of pages: 20 Posted: 22 Mar 2002 Last Revised: 09 Mar 2008
Mark B. Shackleton, Rafal M. Wojakowski and Rafal M. Wojakowski
Lancaster University - Department of Accounting and Finance and University of SurreyLancaster University - Management School
Downloads 354 (183,064)
Citation 3

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Finite maturity, caps and floors, continuous flows, time integral of options, implied volatilities

5.

Continuous Workout Mortgages

Downloads 328 (198,785)

Continuous Workout Mortgages

Number of pages: 41 Posted: 27 Apr 2011
Robert J. Shiller, Rafal M. Wojakowski, Rafal M. Wojakowski, Muhammed Shahid Ebrahim and Mark B. Shackleton
Yale University - Cowles Foundation, University of SurreyLancaster University - Management School, Durham Business School and Lancaster University - Department of Accounting and Finance
Downloads 137 (454,790)

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Continuous Workout Mortgage (CWM), Repayment, Interest-only, House price index, Prepayment intensity, Cap and floor on continuous flow

Continuous Workout Mortgages

Cowles Foundation Discussion Paper No. 1794
Number of pages: 42 Posted: 23 Apr 2011
Robert J. Shiller, Rafal M. Wojakowski, Rafal M. Wojakowski, Muhammed Shahid Ebrahim and Mark B. Shackleton
Yale University - Cowles Foundation, University of SurreyLancaster University - Management School, Durham Business School and Lancaster University - Department of Accounting and Finance
Downloads 104 (565,637)

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Continuous Workout Mortgage (CWM), Repayment, Interest-only, House price index, Prepayment intensity, Cap and floor on continuous flow

Continuous Workout Mortgages

NBER Working Paper No. w17007
Number of pages: 41 Posted: 09 May 2011 Last Revised: 22 Jun 2023
Robert J. Shiller, Rafal M. Wojakowski, Rafal M. Wojakowski, Muhammed Shahid Ebrahim and Mark B. Shackleton
Yale University - Cowles Foundation, University of SurreyLancaster University - Management School, Durham Business School and Lancaster University - Department of Accounting and Finance
Downloads 87 (637,792)

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6.

Continuous Workout Mortgages: Efficient Pricing and Systemic Implications

Cowles Foundation Discussion Paper No. 2116
Number of pages: 65 Posted: 20 Dec 2017 Last Revised: 16 Mar 2018
Robert J. Shiller, Rafal M. Wojakowski, Rafal M. Wojakowski, Muhammed Shahid Ebrahim and Mark B. Shackleton
Yale University - Cowles Foundation, University of SurreyLancaster University - Management School, Durham Business School and Lancaster University - Department of Accounting and Finance
Downloads 139 (448,451)
Citation 2

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Negative Equity, House Price Index Indexation, Repayment Mortgage, Insurance, Embedded Option to Default, Prepayment Intensity

7.

Evaluating Natural Resource Investments Under Different Model Dynamics: Managerial Insights

European Financial Management, Vol.18, No.4, pp. 543-577, 2012
Number of pages: 49 Posted: 06 May 2011 Last Revised: 28 Aug 2012
Andrianos E. Tsekrekos, Mark B. Shackleton, Rafal M. Wojakowski and Rafal M. Wojakowski
Athens University of Economics and Business - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and University of SurreyLancaster University - Management School
Downloads 117 (513,658)

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Natural resource investment, Real options, Factor models, Commodity prices, least–squares Monte Carlo simulation

8.

Can Trade Credit Rejuvenate Islamic Banking?

Forthcoming, Review of Quantitative Finance and Accounting
Number of pages: 66 Posted: 29 Jul 2022
Wahyu Jatmiko, Muhammed Shahid Ebrahim, Abdullah Iqbal, Rafal M. Wojakowski and Rafal M. Wojakowski
University of Southampton - Southampton Business School, Durham Business School, University of Kent, Canterbury and University of SurreyLancaster University - Management School
Downloads 38 (952,729)
Citation 4

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Crisis; Islamic banking; Mark-up (Murabaha) financing; Trade credit; Universal banking.

9.

Continuous Workout Mortgages, Refinancing and Prepayments

46th Annual AREUEA Conference Paper
Posted: 01 Dec 2010 Last Revised: 11 Apr 2011
Muhammed Shahid Ebrahim, Mark B. Shackleton, Rafal M. Wojakowski and Rafal M. Wojakowski
Durham Business School, Lancaster University - Department of Accounting and Finance and University of SurreyLancaster University - Management School

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10.

On the Expected Payoff and True Probability of Exercise of European Options

Applied Economics Letters, Vol. 8, No. 4, 2001
Posted: 06 Mar 2008
Mark B. Shackleton, Rafal M. Wojakowski and Rafal M. Wojakowski
Lancaster University - Department of Accounting and Finance and University of SurreyLancaster University - Management School

Abstract:

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Rate of return on option, Actual probability, Change of numeraire, True probability of exercise, Put call parity

11.

Bounds for In-Progress Floating-Strike Asian Options Using Symmetry

Annals of Operation Research, Vol. 151, No. 1, 2007
Posted: 06 Mar 2008
Vicky Henderson, David Hobson, William Shaw, Rafal M. Wojakowski and Rafal M. Wojakowski
University of Warwick, University of Warwick, King's College, London and University of SurreyLancaster University - Management School

Abstract:

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Asian options, Floating strike Asian options, Put call symmetry, Bounds, Change of numéraire