Department of Finance

  • Center for Financial Frictions
Center for Financial Frictions (FRIC)

Room: SOL/A5.17

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 sorted by:
Andra C. Ghent; Kristian Miltersen; Walter N. Tourus / Second Mortgages : Valuation and Implications for the Performance of Structured Financial Products.
In: Real Estate Economics, Vol. 48, No. 4, 12.2020, p. 1234-1273
Journal article > peer review
Jens Dick-Nielsen; Kristian R. Miltersen; Ramona Westermann / The Tax Asymmetry Motive to Hold Corporate Cash
Paper presented at European Financial Management Association 2019 Annual Meetings, 2019
Paper > peer review
Peter Ove Christensen; Christian Riis Flor; David Lando; Kristian Miltersen / Dynamic Capital Structure with Callable Debt and Debt Renegotiations
In: Journal of Corporate Finance, Vol. 29, 12.2014, p. 644-661
Journal article > peer review
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
Paper > peer review
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
Paper > peer review
Engelbert J. Dockner; Jøril Mæland; Kristian Miltersen / Interaction between Dynamic Financing and Growth Options : The Impact of Industry Structures.
Vienna : Vienna University of Economics and Business 2012, 29 p.
Working paper
Research Projects
Outside activities
  • Expert witness in a lawsuit appointed by CBS. 2017-present
  • Consultant for the law firm Analysis Group, Boston, MA, USA.
  • Censor at University of Copenhagen, Aarhus University, and University of Southern Denmark
  • Member of assessments committees, including PhD committees, at NHH in Bergen and BI in Oslo