Miltersen, Kristian Risgaard

E-mail:

Kristian.R.Miltersen@nhh.no

Telephone:

Fax:

+47 55 95 96 47

Title:

Professor, Ph.D., Odense University 1992

Nationality:

Danish

Teaching languages:

Danish, English

Teaching areas:

Finance

Research:

Mathematical finance, fixed income securities, derivatives, no-arbitrage pricing, equilibrium theory, target zone models, life insurance and pension plans, dynamic capital structure. 

Selected publications:

• Miltersen, Kristian R., Jørgen Aase Nielsen, and Klaus Sandmann (2006): “New No-Arbitrage Conditions and the Term Structure of Interest Rate Futures,” Annals of Finance, 2(3):303–325.

• Miltersen, Kristian R. (2005): “Afledte Aktiver”. Chapter 8 in Michael Christensen (edt.) ”Udviklingslinier i Finansiering”, Jurist og Økonomforbundets Forlag, København, Denmark, 245–285.

• Miltersen, Kristian R. and Eduardo S. Schwartz (2004): “R&D Investments with Competitive Interactions,” Review of Finance, 8(3):355–401.

• Miltersen, Kristian R. and Svein-Arne Persson (2003): "Guaranteed Investment Contracts: Distributed and Undistributed Excess Return," Scandinavian Actuarial Journal, 4:257-279.

• Miltersen, Kristian R. (2003): "Commodity price modelling that matches current observables: a new approach," Quantitative Finance, 3(1):51-58.

• Hansen, Mette and Kristian R. Miltersen (2002): "Minimum Rate of Return Guarantees: The Danish Case," Scandinavian Actuarial Journal, 4:280-318.

• Miltersen, Kristian R., Klaus Sandmann, and Dieter Sondermann (2001): "Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates," Chapter 12 in Constantinides, G. M. and A. G. Malliaris (editors) "Options Markets - Volume II:  Interest Rate Derivatives, Exotics, Real Options, and Empirical Evidence," Volume 6 of "The International Library of Critical Writings in Financial Economics series," Edward Elgar Publishing Ltd., Glos, United Kingdom.

• Christensen, Peter Ove, Svend-Erik Graversen, and Kristian R. Miltersen (2000): "Dynamic Spanning in the Consumption-Based Capital Asset Pricing Model," European Finance Review, 4(2):129-156.

• Miltersen, Kristian R. (2000): "Valuation of Natural Resource Investments with Stochastic Convenience Yields and Interest Rates," Chapter 10 in Brennan, M. J. and L. Trigeorgis (editors) "Project Flexibility, Agency, and Competition:  New Development in the Theory and Application of Real Options," Oxford University Press, New York, New York, USA.

• Miltersen, Kristian R. and Svein-Arne Persson (1999): "Pricing Rate of Return Guarantees in a Heath-Jarrow-Morton Framework," Insurance: Mathematics & Economics, 25(3):307-325.

• Miltersen, Kristian R. (1998): "Pricing of Interest Rate Contingent Claims: Implementing the Simulation Approach," Journal of Computational Finance, 1(3):37-62.

• Miltersen, Kristian R. and Eduardo S. Schwartz (1998): "Pricing of Options on Commodity Futures with Stochastic Term Structures of Convenience Yields and Interest Rates," Journal of Financial and Quantitative Analysis, 33(1):33-59, March 1998.

• Christensen, Peter Ove, David Lando, and Kristian R. Miltersen (1997): "State-Dependent Realignments in Target Zone Currency Regimes," Review of Derivatives Research, 1(4):295-323, December 1997.

• Miltersen, Kristian R., Klaus Sandmann, and Dieter Sondermann (1997): "Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates," The Journal of Finance, 52(1):409-430.

• Jørgensen, Peter Løchte, Kristian R. Miltersen, and Carsten Sørensen (1996): "En sammenligning af konverteringsstrategier for konverterbare realkreditlån," finans/invest, No. 7:22-29.

• Klaus Sandmann, Dieter Sondermann, and Kristian R. Miltersen (1995): "Closed Form Term Structure Derivatives in a Heath-Jarrow-Morton Model with Log-Normal Annually Compounded Interest Rates," Research Symposium Proceedings, Chicago Board of Trade, Summer 1995:145-164.

• Miltersen, Kristian R. (1994): "An Arbitrage Theory of the Term Structure of Interest Rates," The Annals of Applied Probability, 4(4):953-967.

• Miltersen, Kristian R. (1993): "An Empirical Study of the Term Structure of Interest Rates," Scandinavian Journal of Management, 9:S29-S46. Supplementary Issue: Proceedings of the Nordic Symposium on Contingent Claims Analysis in Finance, 1992.

• Miltersen, Kristian R. (1993): "Afledte aktiver skrevet på rentestrukturen," Ledelse & Erhvervsøkonomi, 57(1): 35-43.

• Miltersen, Kristian R. (1992): A Model of the Term Structure of Interest Rates, Ph. D. dissertation, Department of Management, Odense University.

Working Papers and other publications:

• Miltersen, Kristian R. and Eduardo S. Schwartz (2002): "R&D Investments with Competitive Interactions," working paper.

• Christensen, Peter Ove, C. R. Flor, David Lando, and Kristian R. Miltersen (2002): "Dynamic Capital Structure with Callable Debt and Debt Renegotiations," working paper.

• Miltersen, Kristian R. and Eduardo S. Schwartz (2000): "Seasonality Effects in Natural Gas Futures Prices:  A New Approach," working paper.

• Miltersen, Kristian R. and Svein-Arne Persson (2000): "Minimum Rate of Return Guarantees:  The Norwegian Case," working paper.

• Hansen, Mette and Kristian R. Miltersen (1999): "Minimum Rate of Return Guarantees: The Danish Case," working paper.

• Miltersen, Kristian R. and Svein-Arne Persson (1998): "Guaranteed Investment Contracts: Distributed and Undistributed Excess Return," working paper.

• Miltersen, Kristian R. and Svein-Arne Persson (1998): "Pricing Rate of Return Guarantees in a Heath-Jarrow-Morton Framework," Discussion Paper 16/98, Norwegian School of Economics and Business Administration, Department of Finance and Management Science, Helleveien 30, N-5035 Bergen-Sandviken, Norway.

• Jørgensen, Bjørn Nybo, Peter Løchte Jørgensen, and Kristian R. Miltersen (1997): "Aspects of Hawaiian Option Pricing in Continuous Time," working paper.

• Miltersen, Kristian R. (1997): "Valuation of Natural Resource Investments with Stochastic Term Structures of Convenience Yields and Interest Rates," Publications from Department of Management, Odense University 7/1997.

• Miltersen, Kristian R. and Eduardo S. Schwartz (1997): "Pricing of Options on Commodity Futures with Stochastic Term Structures of Convenience Yields and Interest Rates," Publications from Department of Management, Odense University 6/1997.

• Jørgensen, Steen, Kristian R. Miltersen, and L. B. Nielsen (1996): "Valuation of Currency Options in Target Zone Models with Cox Realignments," working paper.

• Jørgensen, Peter Løchte, Kristian R. Miltersen, and Carsten Sørensen (1996): "A Comparison of Call Strategies for Callable Annuity Mortgages," working paper.

• Christensen, Peter Ove, David Lando, and Kristian R. Miltersen (1996): "State-Dependent Realignments in Target Zone Currency Regimes," Preprints 5, Institute of Mathematical Statistics, University of Copenhagen, Universitetsparken 5, DK-2100 København Ø, Denmark.

• Jørgensen, Peter Løchte, Kristian R. Miltersen, and Carsten Sørensen (1996): "En sammenligning af konverteringsstrategier for konverterbare realkreditlån," Publications from Department of Management, Odense University 7/1996.

• Christensen, Peter Ove, Svend-Erik Graversen, and Kristian R. Miltersen (1996): "Dynamic Spanning in the Consumption-Based Capital Asset Pricing Model," Publications from Department of Management, Odense University 2/1996.

• Miltersen, Kristian R., Klaus Sandmann, and Dieter Sondermann (1995): "Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates," Discussion Paper No. B-309, Department of Statistics, University of Bonn.

• Miltersen, Kristian R., Klaus Sandmann, and Dieter Sondermann (1995): "Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates," Publications from Department of Management, Odense University 1/1995.

• Sandmann, Klaus, Dieter Sondermann, and Kristian R. Miltersen (1994): "Closed Form Term Structure Derivatives in a Heath-Jarrow-Morton Model with Log-Normal Annually Compounded Interest Rates," Discussion Paper No. B-285, Department of Statistics, University of Bonn.

• Miltersen, Kristian R. (1993): "Pricing of Interest Rate Contingent Claims: Implementing the Simulation Approach," Publications from Department of Management, Odense University 8/1993.

• Miltersen, Kristian R. (1992): "An Arbitrage Theory of the Term Structure of Interest Rates," Second Edition, Publications from Department of Management, Odense University 8/1992.

• Miltersen, Kristian R. (1992):  "An Empirical Study of the Term Structure of Interest Rates," Publications from Department of Management, Odense University 7/1992.

• Miltersen, Kristian R. (1991): "An Arbitrage Theory on the Term Structure of Interest Rates," Publications from Department of Management, Odense University 3/1991.

• Miltersen, Kristian R. and L. I. Nielsen (1989): "The Pricing of Contingent Claims Written on Bonds by Simulation of Bond Price Processes," Publications from Department of Management, Odense University 10/1989.

• Miltersen, Kristian R. (1989): "Risikoneutral prisfastsættelse af contingent claims," Master's thesis, Matematisk Institut, Aarhus University.