Kristian Miltersen
Professor, Center for Financial Frictions (FRIC) at CBS Executive
Schools
- CBS Executive
Links
Biography
CBS Executive
Presentation
I finished my PhD on continuous-time term structure of interest rate models in 1992. Since then I have gradually drifted from fixed income asset pricing into real options and dynamic capital structure models. My most cited work is my Journal of Finance paper on the LIBOR Market model where we give a rational of, but also show the limitations to, the use of the Black-76 formula to price fixed income derivatives. I have spent more than six years in Norway and more than four years in the US as part of my academic life. Together with a long list of co-authors, I have also published work on commodity derivatives, foreign exchange derivatives, life insurance and pensions, and R&D investments. All my work is purely theoretical.
Primary research areas
- Firm''s capital structure and debt structure and how to optimize it dynamically
- Real options and investments
- Commodity markets
- Structured products
Courses
- OE12: Asset Pricing -- Elite Course
- OE34: Energy Markets, Real Option Investments, and Capital Structure -- Elite Course
- PhD Course on Asset Pricing
Supervision
I try to supervise students in my main research interest areas
Read about executive education
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