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

12

DOWNLOADS
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Top 25,226

in Total Papers Downloads

1,936

SSRN CITATIONS
Rank 32,513

SSRN RANKINGS

Top 32,513

in Total Papers Citations

11

CROSSREF CITATIONS

9

Scholarly Papers (12)

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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 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 Surrey
Downloads 705 (36,861)
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 and Rafal M. Wojakowski
University of Warwick and University of Surrey
Downloads 453 (65,285)
Citation 4

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

3.

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 and Rafal M. Wojakowski
Lancaster University - Department of Accounting and Finance and University of Surrey
Downloads 300 (104,885)
Citation 1

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

4.

Participating Mortgages and the Efficiency of Financial Intermediation

Downloads 172 (180,715)
Citation 1

Participating Mortgages and the Efficiency of Financial Intermediation

Number of pages: 28 Posted: 14 Feb 2009
Muhammed Shahid Ebrahim, Mark B. Shackleton and Rafal M. Wojakowski
Durham Business School, Lancaster University - Department of Accounting and Finance and University of Surrey
Downloads 128 (231,334)

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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 and Rafal M. Wojakowski
Durham Business School, Lancaster University - Department of Accounting and Finance and University of Surrey
Downloads 12 (615,570)

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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 and Rafal M. Wojakowski
Durham Business School, Lancaster University - Department of Accounting and Finance and University of Surrey
Downloads 12 (615,570)
Citation 1

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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 and Rafal M. Wojakowski
Durham Business School, Lancaster University - Department of Accounting and Finance and University of Surrey
Downloads 11 (622,836)

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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 and Rafal M. Wojakowski
Durham Business School, Lancaster University - Department of Accounting and Finance and University of Surrey
Downloads 9 (637,229)

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

5.

Continuous Workout Mortgages

Downloads 151 (201,892)

Continuous Workout Mortgages

Number of pages: 41 Posted: 27 Apr 2011
Robert J. Shiller, Rafal M. Wojakowski, Muhammed Shahid Ebrahim and Mark B. Shackleton
Yale University - Cowles Foundation, University of Surrey, Durham Business School and Lancaster University - Department of Accounting and Finance
Downloads 84 (310,076)

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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, Muhammed Shahid Ebrahim and Mark B. Shackleton
Yale University - Cowles Foundation, University of Surrey, Durham Business School and Lancaster University - Department of Accounting and Finance
Downloads 46 (424,693)

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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
Robert J. Shiller, Rafal M. Wojakowski, Muhammed Shahid Ebrahim and Mark B. Shackleton
Yale University - Cowles Foundation, University of Surrey, Durham Business School and Lancaster University - Department of Accounting and Finance
Downloads 21 (553,262)

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6.

Evaluating Natural Resource Investments Under Different Model Dynamics: Managerial Insights

Downloads 65 (355,307)
Citation 3

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 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 Surrey
Downloads 65 (359,830)

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

7.

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, Muhammed Shahid Ebrahim and Mark B. Shackleton
Yale University - Cowles Foundation, University of Surrey, Durham Business School and Lancaster University - Department of Accounting and Finance
Downloads 52 (395,750)
Citation 1

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

8.

The Expected Return and Exercise Time of Merton-Style Real Options

Journal of Business Finance & Accounting, Vol. 29, pp. 541-555, 2002
Number of pages: 15 Posted: 17 May 2002
Rafal M. Wojakowski and Mark B. Shackleton
University of Surrey and Lancaster University - Department of Accounting and Finance
Downloads 37 (452,836)
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9.

Can Loan Valuation Adjustment (LVA) Approach Immunize Collateralized Debt from Defaults?

Financial Markets, Institutions & Instruments, Vol. 28, Issue 2, pp. 141-158, 2019
Number of pages: 18 Posted: 05 Apr 2019
Rafal M. Wojakowski, M. Shahid Ebrahim, Aziz Jaafar and Murizah Osman Salleh
University of Surrey, Durham University Business School, Bangor Business School and Central Bank of Malaysia
Downloads 1 (674,874)
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agency cost, collateral, financial fragility, financial innovation, financial regulation, loan default

10.

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 and Rafal M. Wojakowski
Durham Business School, Lancaster University - Department of Accounting and Finance and University of Surrey

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11.

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 and Rafal M. Wojakowski
Lancaster University - Department of Accounting and Finance and University of Surrey

Abstract:

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

12.

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 and Rafal M. Wojakowski
University of Warwick, University of Warwick, King's College, London and University of Surrey

Abstract:

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