Kristian R. Miltersen

Copenhagen Business School

Solbjerg Plads 3

Frederiksberg C, DK - 2000

Denmark

  • Copenhagen Business School

SCHOLARLY PAPERS

10

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SSRN CITATIONS
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12

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31

Scholarly Papers (10)

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1.

Dynamic Capital Structure with Callable Debt and Debt Renegotiations

Number of pages: 40 Posted: 24 Jul 2002
Peter O. Christensen, David Lando, Christian Riis Flor and Kristian R. Miltersen
Copenhagen Business School - Department of Finance, Copenhagen Business School, University of Southern Denmark and Copenhagen Business School
Downloads 792 (47,729)
Citation 23

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2.

R&D Investments with Competitive Interactions

Downloads 351 (129,932)
Citation 10

R&D Investments with Competitive Interactions

Number of pages: 51 Posted: 20 Jul 2003
Kristian R. Miltersen, Eduardo S. Schwartz and Eduardo S. Schwartz
Copenhagen Business School and Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area
Downloads 311 (146,964)
Citation 7

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R&D Investments with Competitive Interactions

NBER Working Paper No. w10258
Number of pages: 48 Posted: 14 Jul 2010 Last Revised: 14 Jul 2022
Kristian R. Miltersen, Eduardo S. Schwartz and Eduardo S. Schwartz
Copenhagen Business School and Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area
Downloads 40 (639,713)
Citation 2

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3.

International Comparison of Interest Rate Guarantees in Life Insurance Contracts

Number of pages: 34 Posted: 14 Dec 2007
J David Cummins, Kristian R. Miltersen and Svein-Arne Persson
Temple University - Risk Management & Insurance & Actuarial Science, Copenhagen Business School and Norwegian School of Economics (NHH)
Downloads 330 (138,987)
Citation 4

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life insurance, interest rate guarantees, universal life, bonus account, Sharpe ratios

4.

New No-Arbitrage Conditions and the Term Structure of Interest Rate Futures

Annals of Finance, 2006
Number of pages: 21 Posted: 17 May 2006
Kristian R. Miltersen, J. Aase Nielsen and Klaus Sandmann
Copenhagen Business School, Aarhus University - Department of Theoretical Statistics and Operations Research and University of Bonn - The Bonn Graduate School of Economics
Downloads 245 (188,556)

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No-arbitrage restrictions, term structure of interest rates, interest rate futures, change of measure

5.

Personal Taxes and Corporate Cash Holdings

Number of pages: 57 Posted: 25 Mar 2020 Last Revised: 27 Jul 2022
Jens Dick-Nielsen, Kristian R. Miltersen and Ramona Westermann
Copenhagen Business School - Department of Finance, Copenhagen Business School and Copenhagen Business School
Downloads 106 (378,205)

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Dividend Tax; Capital Gains Tax; Cash holdings; Agency Costs; Tax Savings Motive

6.

Interaction between Dynamic Financing and Investments: The Role of Priority Rules

Number of pages: 40 Posted: 10 Mar 2016
Engelbert J. Dockner, Joril Maeland and Kristian R. Miltersen
WU Vienna University of Economics and Business (deceased), NHH Norwegian School of Economics - Department of Finance and Copenhagen Business School
Downloads 97 (401,378)

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Dynamic capital structure, taxes and optimal debt structure, structural model, credit risk, priority rule, investment and financing decisions

7.

Second Mortgages: Valuation and Implications for the Performance of Structured Financial Products

Number of pages: 41 Posted: 28 Aug 2016
Andra C. Ghent, Kristian R. Miltersen and Walter N. Torous
University of Utah - David Eccles School of Business, Copenhagen Business School and Massachusetts Institute of Technology
Downloads 85 (436,277)

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Mortgage-Backed Securities (MBS), Mortgage Valuation, Credit Ratings.

8.

Real Options with Uncertain Maturity and Competition

NBER Working Paper No. w12990
Number of pages: 51 Posted: 23 Mar 2007 Last Revised: 31 Dec 2022
Kristian R. Miltersen, Eduardo S. Schwartz and Eduardo S. Schwartz
Copenhagen Business School and Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area
Downloads 73 (476,042)

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9.

Dynamic Spanning in the Consumption-Based Capital Asset Pricing Model

Posted: 11 Sep 2001
Peter O. Christensen, Svend Erik Graversen and Kristian R. Miltersen
Copenhagen Business School - Department of Finance, University of Aarhus - Department of Mathematical Sciences and Copenhagen Business School

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Consumption-based capital asset pricing model, CCAPM, dynamic trading

10.

Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates

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Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates

Posted: 18 Aug 1999
Kristian R. Miltersen, Klaus Sandmann and Dieter Sondermann
Copenhagen Business School, University of Bonn - The Bonn Graduate School of Economics and University of Bonn - Institute of Statistics

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Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates

The Journal of Finance, Vol. 52, pp. 409-430, 1997
Posted: 17 May 2006
Kristian R. Miltersen, Klaus Sandmann and Dieter Sondermann
Copenhagen Business School, University of Bonn - The Bonn Graduate School of Economics and University of Bonn - Institute of Statistics

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LIBOR Market, Black Formular