Department of Finance

Center for Financial Frictions (FRIC)

Room: SOL/A4.07

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
Link to this homepage
  • OE12: Asset Pricing -- Elite Course
  • OE34: Energy Markets, Real Option Investments, and Capital Structure -- Elite Course
  • PhD Course on Asset Pricing

I try to supervise students in my main research interest areas

Other teaching activities

I am program director (studieleder) of CBS' Elite MSc in Advanced Economics and Finance (cand. oecon.)

Selected publications
  • Miltersen, K. R., K. Sandmann, and D. Sondermann (1997): “Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates,” The Journal of Finance, 52(1):409–430.
  • Miltersen, K. R. and E. 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.
  • Miltersen, K. R. and E. Schwartz (2004): “R&D Investments with Competitive Interactions,” Review of Finance, 8(3):355–401.
  • Dockner, E., J. Mæland, and K. R. Miltersen (2012): “Interaction between Dynamic Financing and Growth Options: The Impact of Industry Structures,” Working paper.
  • Miltersen, K. R., W. N. Torous (2012): “Second Mortgages: Valuation and Implications for the Performance of Structured Financial Products,” Working paper.
Publications & dissemination
Engelbert J. Dockner; Jøril Mæland; Kristian R. Miltersen / Interaction between Dynamic Financing and Investments : The Role of Priority Rules.
Paper presented at The 41th European Finance Association Annual Meeting (EFA 2014), 2014
Kristian R. Miltersen; Walter N. Torous / Second Mortgages : Valuation and Implications for the Performance of Structured Financial Products.
Paper presented at The 49th AREUEA-ASSA Conference 2014, 2014
Research Projects