Items where Author is "Shackleton, M B"

Journal Article

Ebrahim, Shahid and Shackleton, M B and Wojakowski, R M (2011) Participating mortgages and the efficiency of financial intermediation. Journal of Banking and Finance, 35 (11). pp. 3042-3054. ISSN 0378-4266

Shackleton, M B and Dias, J C (2011) Hysteresis effects under stochastic interest rates. European Journal of Operational Research, 211. pp. 594-600. ISSN 0377-2217

Aretz, K and Shackleton, M B (2011) Omitted debt risk, financial distress and the cross-section of expected equity returns. Journal of Banking and Finance, 35 (5). pp. 1213-1227. ISSN 0378-4266

Shackleton, M B and Taylor, S J and Yu, P (2010) A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices. Journal of Banking and Finance, 34 (11). pp. 2678-2693. ISSN 0378-4266

Chung, S L and Ko, K and Shackleton, M B and Yeh, C T (2010) Efficient quadrature and node positioning for exotic option valuation. Journal of Futures Markets, 30 (11). pp. 1026-1057. ISSN 0270-7314

Shackleton, M B and Sodal, S (2010) Harvesting and recovery decisions under uncertainty. Journal of Economic Dynamics and Control, 34 (12). pp. 2533-2546. ISSN 0165-1889

Shackleton, M B and Dias, J C (2009) Durable vs disposable equipment choice under interest rate uncertainty. European Journal of Finance, 15 (2). pp. 157-167. ISSN 1351-847X

Pong, S and Shackleton, M B and Taylor, S J (2008) Distinguishing short and long memory volatility specifications. The Econometrics Journal, 11 (3). pp. 617-637. ISSN 1368-4221

Hwang, S and Keswani, A and Shackleton, M B (2008) Surprise vs anticipated information announcements: Are prices affected differently? An investigation in the context of stock splits. Journal of Banking and Finance, 32 (5). pp. 643-653. ISSN 0378-4266

Liu, X and Shackleton, M B and Taylor, S J and Xu, X (2007) Closed-form transformations from risk-neutral to real-world distributions. Journal of Banking and Finance, 31 (5). pp. 1501-1520. ISSN 0378-4266

Shackleton, M B and Wojakowski, R M (2007) Finite maturity caps and floors on continuous flows. Journal of Economic Dynamics and Control, 31 (12). pp. 3843-3859. ISSN 0165-1889

Chung, S L and Shackleton, M B (2007) Generalised Geske-Johnson interpolation of option prices. Journal of Business Finance and Accounting, 34 (5-6). pp. 976-1001. ISSN 1468-5957

Keswani, A and Shackleton, M B (2006) How real option disinvestment flexibility augments project NPV. European Journal of Operational Research, 168 (1). pp. 240-252. ISSN 0377-2217

Chung, S L and Shackleton, M B (2005) On the errors and comparison of Vega estimation methods. Journal of Futures Markets, 25 (1). pp. 21-38. ISSN 0270-7314

Chung, S L and Shackleton, M B (2005) On the use and improvement of Hull and White's control variate technique. Applied Financial Economics, 15 (16). pp. 1171-1179. ISSN 0960-3107

Shackleton, M B and Sodal, S (2005) Smooth pasting as rate of return equalization. Economics Letters, 89 (2). pp. 200-206. ISSN 0165-1765

Pong, E and Shackleton, M B and Taylor, S J and Xu, X (2004) Forecasting currency volatility: a comparison of implied volatilities and AR(FI)MA models. Journal of Banking and Finance, 28 (10). pp. 2541-2563. ISSN 0378-4266

Chung, S L and Shackleton, M B and Chang, C C (2004) Pricing options with American style average reset features. Quantitative Finance, 4 (3). pp. 292-300. ISSN 1469-7688

Shackleton, M B and Tsekrekos, A and Wojakowski, R M (2004) Strategic entry and market leadership in a two-player real options game. Journal of Banking and Finance, 28 (1). pp. 179-201. ISSN 0378-4266

O'Brien, F and Shackleton, M B (2004) An empirical investigation of option returns: overpricing and the role of higher systematic moments. Derivatives Use, Trading and Regulation, 10 (4). pp. 300-330. ISSN 1357-0927

Chung, S L and Shackleton, M B and Wojakowski, R M (2003) Efficient quadratic approximation of floating strike Asian option values. Finance, 24 (1). pp. 49-62. ISSN 0752-6180

Wojakowski, R M and Shackleton, M B (2003) Rzeczywiste prawdopodobienstwo wykonania i wartosci oczekiwane wyplaty opcji (Real probability of exercising and expected values of option payoff). Rynek Terminowy, 20 (2). p. 125.

Chung, S L and Shackleton, M B (2003) The simplest American and real option approximations: Geske-Johnson interpolation in maturity and yield. Applied Economics Letters, 10 (11). pp. 709-716. ISSN 1350-4851

Chung, S L and Shackleton, M B (2002) The binomial Black-Scholes model and the Greeks. Journal of Futures Markets, 22 (2). pp. 143-153. ISSN 0270-7314

Shackleton, M B and Wojakowski, R M (2002) The expected return and exercise time of Merton-style real options. Journal of Business Finance and Accounting, 29 (3-4). pp. 541-555. ISSN 1468-5957

Shackleton, M B and Wojakowski, R M (2001) On the expected payoff and true probability of European options. Applied Economics Letters, 8 (4). pp. 269-271. ISSN 1350-4851

Klumpes, P J M and Shackleton, M B (2000) Valuing the strategic option to terminate a life insurance business: theory and evidence. Journal of Banking and Finance, 24 (10). pp. 1681-1702. ISSN 0378-4266

Contribution in Book/Report/Proceedings

Wojakowski, R M and Shackleton, M B (2001) On option expected returns. In: Mathematical Finance :. Birkhauser, Boston, pp. 365-374. ISBN 3764365536

Shackleton, M B and Wojakowski, R M (2001) Reversible real options. In: Mathematical Finance :. Birkhauser, Boston, pp. 339-344. ISBN 3764365536

Monograph

Dias, J C and Shackleton, M B (2010) Hysteresis Effects under CIR Interest Rates. Working Paper. The Department of Accounting and Finance, Lancaster University.

Gager, P and Shackleton, M B (2009) A snakes and ladders representation of stock prices and returns. Working Paper. The Department of Accounting and Finance, Lancaster University.

Dias, J C and Shackleton, M B (2008) Economic hysteresis effects and hitting time densities for CIR diffusions. Working Paper. The Department of Accounting and Finance, Lancaster University.

Liu, X and Shackleton, M B and Taylor, S J and Xu, X (2006) Empirical pricing kernels obtained from the UK index options market. Working Paper. The Department of Accounting and Finance, Lancaster University.

Dias, J C and Shackleton, M B (2005) Investment hysteresis under stochastic interest rates. Working Paper. The Department of Accounting and Finance, Lancaster University.

Sodal, S and Shackleton, M B (2005) Smooth pasting as rate of return equalization. Working Paper. The Department of Accounting and Finance, Lancaster University.

Shackleton, M B and O'Brien, F (2004) An empirical investigation of UK option returns: overpricing and the role of higher systematic moments. Working Paper. The Department of Accounting and Finance, Lancaster University.

Shackleton, M B and Chung, S L (2003) On the errors and comparison of Vega estimation methods. Working Paper. The Department of Accounting and Finance, Lancaster University.

Shackleton, M B and Chung, S L (2003) On the use and improvement of Hull and White’s control variate technique. Working Paper. The Department of Accounting and Finance, Lancaster University.

Keswani, A and Shackleton, M B (2002) When can pessimism add value? How real option disinvestment flexibility augments project NPV. Working Paper. The Department of Accounting and Finance, Lancaster University.

Shackleton, M B and Wojakowski, R M (2001) Flow options: continuous real caps and floors. Working Paper. The Department of Accounting and Finance, Lancaster University.

Chung, S L and Shackleton, M B and Wojakowski, R M (2000) Efficient quadratic approximation of floating strike Asian option values. Working Paper. The Department of Accounting and Finance, Lancaster University.

Chung, S L and Shackleton, M B (2000) The binomial Black-Scholes model and the Greeks. Working Paper. The Department of Accounting and Finance, Lancaster University.

Shackleton, M B and Wojakowski, R M (2000) The expected return and exercise time of Merton-style real options. Working Paper. The Department of Accounting and Finance, Lancaster University.

Shackleton, M B and Chung, S L (1999) Geske Johnson pricing of Long Maturity American and Infinite Bermudan Options. Working Paper. The Department of Accounting and Finance, Lancaster University.

Shackleton, M B and Wojakowski, R M (1999) On the expected payoff and true probability of exercise of European options. Working Paper. The Department of Accounting and Finance, Lancaster University.

Shackleton, M B (1999) A non-parametric spectral test of serial correlation. Working Paper. The Department of Accounting and Finance, Lancaster University.