Research

Research Interests:

• financial economics;

• Optimal stopping and free-boundary problems;

• dynamic corporate finance;

• derivative pricing and general real options.

Publications:

21. Glover, K. (2024), "A comment on the relationship between operating leverage and financial leverage," Finance Research Letters, 67(A):1-7; publisher's website, working paper version.

20. Glover, K. and Peskir, G. (2024), "Quickest detection problems for Ornstein-Uhlenbeck processes," Mathematics of Operations Research,  49(2):1045-1064; publisher's website, working paper version.

19. Glover, K., Evatt, G. W., Johnson, P. and Chen, M. (2023), "Capital Ideas: Optimal capital reserve strategies for a bank and its regulator," The European Journal of Finance, 29(18): 2075-2106; publisher's website, working paper version.

18. Glover, K. (2023), "With or without replacement? Sampling uncertainty in Shepp's urn scheme," Journal of Applied Probability, 60(2):661-675; publisher's website, working paper version.

17. Glover, K. and Hulley, H. (2022), "Financially constrained index futures arbitrage," Journal of Futures Markets, 42(9):1688-1703; publisher's website, working paper version.

16. Glover, K. (2022), "Optimally stopping of a Brownian bridge with an unknown pinning time: A Bayesian approach," Stochastic Processes and Their Applications, 150:919-937; publisher’s website, working paper version.

15. Glover, K. and Hulley, H. (2022), "Short selling with margin risk and recall risk," International Journal of Theoretical and Applied Finance, 25(2), article no. 2250007; publisher's website, working paper version.

14. Glover, K., De Angelis, T. and Ekström, E. (2022), "Dynkin games with incomplete and asymmetric information," Mathematics of Operations Research, 47(1):560-586; working paper version.

13. Glover, K., Ross, S., Trayler, R., Hambusch, G., Koh, C., Westerfield, B., and Jordan, D. (2021), "Fundamentals of Corporate Finance, 8th Edition," McGraw-Hill Education; publisher's website.

12. Glover, K., Ekström, E. and Leniec, M. (2017), "Dynkin games with heterogeneous beliefs," Journal of Applied Probability, 54(1):236-251; publisher's website, working paper version.

11. Glover, K. and Hambusch, G. (2016), "Leveraged investments and agency conflicts when cash flows are mean reverting," Journal of Economic Dynamics and Control, 67:1-21; publisher's website, working paper version.

10. Glover, K. and Baur, D. (2015), "Speculative trading in the gold market," International Review of Financial Analysis, 39:63-71; publisher's website, working paper version.

9. Glover, K. and Hulley, H. (2014), "Optimal prediction of the last-passage time of a transient diffusion," SIAM Journal on Control and Optimization, 52(6):3833-3853; publisher's website, link to arXiv.

8. Glover, K. and Baur, D. (2014), "Heterogeneous expectations in the gold market: Specification and estimation," Journal of Economic Dynamics and Control, 40:116-133; publisher's website, working paper version.

7. Glover, K. and Hambusch, G. (2014), "The trade-off theory revisited: On the effect of operating leverage," International Journal of Managerial Finance, 10(1):2-22; publisher's website, working paper version.

6. Glover, K., Hulley, H. and Peskir G. (2013), "Three-dimensional Brownian motion and the golden ratio rule," Annals of Applied Probability, 23(3):895-922; publisher's website, working paper version.

5. Glover, K. and Baur, D. (2012), "The destruction of a safe haven asset?" Applied Finance Letters, 1(1):8-15; working paper version.

4. Glover, K., Peskir, G. and Samee, F. (2011), "The British Russian Option," Stochastics: An International Journal of Probability and Stochastic Processes, 83(4-6):315-332; publisher's website, working paper version.

3. Glover, K., Peskir, G. and Samee, F. (2010), "The British Asian Option," Sequential Analysis, 29(3):311-327; publisher's website, working paper version.

2. Glover, K., Duck, P. and Newton, D. (2010), "On nonlinear models of markets with finite liquidity: Some cautionary notes", SIAM Journal on Applied Mathematics, 70(8):3252-3271; publisher's website.

1. Glover, K. (2008), "The Analysis of PDEs Arising in Nonlinear and Non-standard Option Pricing", Doctoral Thesis, The University of Manchester; downloadable version.

Working Papers:

• Glover, K., Ericsson, J., Jeanneret, A. and L. Lu (2024), "Default risk linkages in a structural credit model," working paper version.

In Preparation:

• Glover, K., Anthonisz, S. and Pan W.-T. (2024), "Selecting active managers: Skill, conviction and costly termination," in preparation.

• Glover, K., Pyzhov, V. and Alexeev, V.  (2024), "Public perception, identification, and market impact of ESG events," in preparation.

• Glover, K. and Hulley, H. (2024), "Caught with your shorts up: Optimal short selling with limited collateral and fees," in preparation.

• Glover, K. and Ekström, E. (2024), "Sequential testing of diffusion processes," in preparation.

Research Grants:

• (with V. Alexeev) The Power of Public Opinion: Quantifying the Market’s Reaction to Corporate Social (Ir)responsibility. AFAANZ Research Grant 2023. Amount: $5,700.

• (with V. Alexeev) Beyond E, S, and G: Asset pricing implications of a novel ESG sentiment dataset. AFAANZ Research Grant 2021. Amount: $7,031.

• (with G. Peskir) Quickest detection strategies for a changing Ornstein-Uhlenbeck process with application to pairs trading. UTS Faculty of Business Research Grant 2016. Amount: $9,953.

• (with G. Evatt and P. Johnson) Optimal capital reserve strategies for a bank and its regulator. UTS Faculty of Business Research Grant 2014. Amount: $9,972. 

• (with A. Gerig) Determining the components of the spread in an order-driven market. UTS Faculty of Business Research Grant 2010. Amount: $9,905.

• (with G. Hambusch) Bank lending, credit crunches and agency conflicts. UTS Faculty of Business Research Grant 2010. Amount: $9,905.

• (with H. Hulley) Exploring and developing the use of Mathematica in the teaching of Finance and Economics. UTS Small Learning and Teaching Improvement Grant 2009. Amount: $3,908.

• Calibrating in a crisis: Using crisis market data to calibrate and improve liquidity modelling. UTS Faculty of Business Research Grant 2009. Amount: $9,479.