Professor Mark Shackleton

Professor

Current Teaching

AcF 706

Continuous Workout Mortgages: Efficient Pricing and Systemic Implications
Shiller, R.J., Wojakowski, R., Ebrahim, S., Shackleton, M.B. 22/12/2017 In: Journal of Economic Behavior and Organization.
Journal article

Asymmetric effects of volatility risk on stock returns: evidence from VIX and VIX futures
Fu, X., Sandri, M., Shackleton, M.B. 11/2016 In: Journal of Futures Markets. 36, 11, p. 1029-1056. 28 p.
Journal article

Reducing the impact of real estate foreclosures with Amortizing Participation Mortgages
Wojakowski, R., Ebrahim, S., Shackleton, M.B. 10/2016 In: Journal of Banking and Finance. 71, p. 62-74. 13 p.
Journal article

Option implied volatility measures and stock return predictability
Fu, X., Arisoy, Y.E., Shackleton, M.B., Umutlu, M. 08/2016 In: Journal of Derivatives. 24, 1, p. 58-78. 21 p.
Journal article

Detecting jumps in high-frequency prices under stochastic volatility: a data-driven approach
Tsai, P., Shackleton, M. 05/2016 In: Handbook of high-frequency trading and modeling in finance. Chichester : John Wiley p. 137-165. 39 p.
Chapter (peer-reviewed)

Stock-return volatility and daily equity trading by investor groups in Korea
Umutlu, M., Shackleton, M. 1/09/2015 In: Pacific-Basin Finance Journal. 34, p. 43-70. 28 p.
Journal article

The option and decision to repurchase stock
Sonika, R., Carline, N., Shackleton, M. 17/02/2014 In: Financial Management. 43, 4, p. 833-855. 21 p.
Journal article

Cojumps in stock prices: empirical evidence
Gilder, D., Shackleton, M., Taylor, S.J. 2014 In: Journal of Banking and Finance. 40, p. 443-459. 17 p.
Journal article

Option-implied volatilities and stock returns: evidence from industry-neutral portfolios
Shackleton, M., Liu, X., Zhang, Y., Pong, S. 2014 In: Journal of Portfolio Management. 41, 1, p. 65-77. 13 p.
Journal article

Stock-return volatility and daily equity trading by investor groups in Korea
Shackleton, M., Umutlu, M. 2014 Lancaster : Lancaster University, 54 p.
Working paper

Hedging efficiency in the Greek options market before and after the financial crisis of 2008
Shackleton, M., Voukelatos, N. 04/2013 In: Journal of Multinational Financial Management. 23, 1-2, p. 1-18. 18 p.
Journal article

Corporate risk management and hedge accounting
Panaretou, A., Shackleton, M.B., Taylor, P.A. 03/2013 In: Contemporary Accounting Research. 30, 1, p. 116-139. 24 p.
Journal article

Mitigating financial fragility with Continuous Workout Mortgages
Shiller, R.J., Wojakowski, R., Ebrahim, S., Shackleton, M. 01/2013 In: Journal of Economic Behavior and Organization. 85, p. 269-285. 17 p.
Journal article

Evaluating natural resource investments under different model dynamics: managerial insights
Tsekrekos, A.E., Shackleton, M.B., Wojakowski, R.M. 09/2012 In: European Financial Management. 18, 4, p. 543-575. 33 p.
Journal article

Participating mortgages and the efficiency of financial intermediation
Ebrahim, S., Shackleton, M.B., Wojakowski, R.M. 11/2011 In: Journal of Banking and Finance. 35, 11, p. 3042-3054. 13 p.
Journal article

A snakes and ladders representation of stock prices and returns
Shackleton, M., Gager, P. 07/2011 Mathematical Gazette
Letter

Continuous Workout Mortgages
Shiller, R.J., Wojakowski, R., Ebrahim, S., Shackleton, M. 05/2011 In: NBER Working Papers. 41 p.
Journal article

Hysteresis effects under stochastic interest rates
Shackleton, M.B., Dias, J.C. 2011 In: European Journal of Operational Research. 211, p. 594-600. 7 p.
Journal article

Omitted debt risk, financial distress and the cross-section of expected equity returns
Aretz, K., Shackleton, M.B. 2011 In: Journal of Banking and Finance. 35, 5, p. 1213-1227. 15 p.
Journal article

A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices
Shackleton, M.B., Taylor, S.J., Yu, P. 11/2010 In: Journal of Banking and Finance. 34, 11, p. 2678-2693. 16 p.
Journal article

Efficient quadrature and node positioning for exotic option valuation
Chung, S.L., Ko, K., Shackleton, M.B., Yeh, C.T. 2010 In: Journal of Futures Markets. 30, 11, p. 1026-1057. 32 p.
Journal article

Harvesting and recovery decisions under uncertainty
Shackleton, M.B., Sodal, S. 2010 In: Journal of Economic Dynamics and Control. 34, 12, p. 2533-2546. 14 p.
Journal article

Hysteresis Effects under CIR Interest Rates
Dias, J.C., Shackleton, M.B. 2010 Lancaster University : The Department of Accounting and Finance
Working paper

A snakes and ladders representation of stock prices and returns
Gager, P., Shackleton, M.B. 2009 Lancaster University : The Department of Accounting and Finance
Working paper

Durable vs disposable equipment choice under interest rate uncertainty
Shackleton, M.B., Dias, J.C. 2009 In: European Journal of Finance. 15, 2, p. 157-167. 11 p.
Journal article

Empirical pricing kernels obtained from the UK index options market
Shackleton, M., Liu, H., Taylor, S., Xu, G. 2009 Applied Economics Letters 5 p.
Letter

Distinguishing short and long memory volatility specifications
Pong, S., Shackleton, M.B., Taylor, S.J. 2008 In: The Econometrics Journal. 11, 3, p. 617-637. 21 p.
Journal article

Economic hysteresis effects and hitting time densities for CIR diffusions
Dias, J.C., Shackleton, M.B. 2008 Lancaster University : The Department of Accounting and Finance
Working paper

Surprise vs anticipated information announcements: Are prices affected differently? An investigation in the context of stock splits
Hwang, S., Keswani, A., Shackleton, M.B. 2008 In: Journal of Banking and Finance. 32, 5, p. 643-653. 11 p.
Journal article

Closed-form transformations from risk-neutral to real-world distributions
Liu, X., Shackleton, M.B., Taylor, S.J., Xu, X. 2007 In: Journal of Banking and Finance. 31, 5, p. 1501-1520. 20 p.
Journal article

Finite maturity caps and floors on continuous flows
Shackleton, M.B., Wojakowski, R.M. 2007 In: Journal of Economic Dynamics and Control. 31, 12, p. 3843-3859. 17 p.
Journal article

Generalised Geske-Johnson interpolation of option prices
Chung, S.L., Shackleton, M.B. 2007 In: Journal of Business Finance and Accounting. 34, 5-6, p. 976-1001. 26 p.
Journal article

Empirical pricing kernels obtained from the UK index options market
Liu, X., Shackleton, M.B., Taylor, S.J., Xu, X. 2006 Lancaster University : The Department of Accounting and Finance
Working paper

How real option disinvestment flexibility augments project NPV
Keswani, A., Shackleton, M.B. 2006 In: European Journal of Operational Research. 168, 1, p. 240-252. 13 p.
Journal article

Investment hysteresis under stochastic interest rates
Dias, J.C., Shackleton, M.B. 2005 Lancaster University : The Department of Accounting and Finance
Working paper

On the errors and comparison of Vega estimation methods
Chung, S.L., Shackleton, M.B. 2005 In: Journal of Futures Markets. 25, 1, p. 21-38. 18 p.
Journal article

On the use and improvement of Hull and White's control variate technique
Chung, S.L., Shackleton, M.B. 2005 In: Applied Financial Economics. 15, 16, p. 1171-1179. 9 p.
Journal article

Smooth pasting as rate of return equalization
Sodal, S., Shackleton, M.B. 2005 Lancaster University : The Department of Accounting and Finance
Working paper

Smooth pasting as rate of return equalization
Shackleton, M.B., Sodal, S. 2005 In: Economics Letters. 89, 2, p. 200-206. 7 p.
Journal article

An empirical investigation of UK option returns: overpricing and the role of higher systematic moments
Shackleton, M.B., O'Brien, F. 2004 Lancaster University : The Department of Accounting and Finance
Working paper

An empirical investigation of option returns: overpricing and the role of higher systematic moments
O'Brien, F., Shackleton, M.B. 2004 In: Derivatives Use, Trading and Regulation. 10, 4, p. 300-330. 31 p.
Journal article

CAPM, higher co-moment and factor models of UK stock returns
Hung, D., Shackleton, M.B., Xu, X. 2004 In: Journal of Business Finance and Accounting. 31, 1-2, p. 87-112. 26 p.
Journal article

Forecasting currency volatility: a comparison of implied volatilities and AR(FI)MA models
Pong, E., Shackleton, M.B., Taylor, S.J., Xu, X. 2004 In: Journal of Banking and Finance. 28, 10, p. 2541-2563. 23 p.
Journal article

Pricing options with American style average reset features
Chung, S.L., Shackleton, M.B., Chang, C.C. 2004 In: Quantitative Finance. 4, 3, p. 292-300. 9 p.
Journal article

Strategic entry and market leadership in a two-player real options game
Shackleton, M.B., Tsekrekos, A., Wojakowski, R.M. 2004 In: Journal of Banking and Finance. 28, 1, p. 179-201. 23 p.
Journal article

Efficient quadratic approximation of floating strike Asian option values
Chung, S.L., Shackleton, M.B., Wojakowski, R.M. 2003 In: Finance. 24, 1, p. 49-62. 14 p.
Journal article

On the errors and comparison of Vega estimation methods
Shackleton, M.B., Chung, S.L. 2003 Lancaster University : The Department of Accounting and Finance
Working paper

On the use and improvement of Hull and White’s control variate technique
Shackleton, M.B., Chung, S.L. 2003 Lancaster University : The Department of Accounting and Finance
Working paper

Rzeczywiste prawdopodobienstwo wykonania i wartosci oczekiwane wyplaty opcji (Real probability of exercising and expected values of option payoff)
Wojakowski, R.M., Shackleton, M.B. 2003 In: Rynek Terminowy. 20, 2, p. 125. 125 p.
Journal article

The simplest American and real option approximations: Geske-Johnson interpolation in maturity and yield
Chung, S.L., Shackleton, M.B. 2003 In: Applied Economics Letters. 10, 11, p. 709-716. 8 p.
Journal article

The binomial Black-Scholes model and the Greeks
Chung, S.L., Shackleton, M.B. 2002 In: Journal of Futures Markets. 22, 2, p. 143-153. 11 p.
Journal article

The expected return and exercise time of Merton-style real options
Shackleton, M.B., Wojakowski, R.M. 2002 In: Journal of Business Finance and Accounting. 29, 3-4, p. 541-555. 15 p.
Journal article

When can pessimism add value? How real option disinvestment flexibility augments project NPV
Keswani, A., Shackleton, M.B. 2002 Lancaster University : The Department of Accounting and Finance
Working paper

Flow options: continuous real caps and floors
Shackleton, M.B., Wojakowski, R.M. 2001 Lancaster University : The Department of Accounting and Finance
Working paper

On option expected returns
Wojakowski, R.M., Shackleton, M.B. 2001 In: Mathematical Finance. Boston : Birkhauser p. 365-374. 10 p. ISBN: 3764365536.
Chapter

On the expected payoff and true probability of European options
Shackleton, M.B., Wojakowski, R.M. 2001 In: Applied Economics Letters. 8, 4, p. 269-271. 3 p.
Journal article

Reversible real options
Shackleton, M.B., Wojakowski, R.M. 2001 In: Mathematical Finance. Boston : Birkhauser p. 339-344. 6 p. ISBN: 3764365536.
Chapter

Efficient quadratic approximation of floating strike Asian option values
Chung, S.L., Shackleton, M.B., Wojakowski, R.M. 2000 Lancaster University : The Department of Accounting and Finance
Working paper

The binomial Black-Scholes model and the Greeks
Chung, S.L., Shackleton, M.B. 2000 Lancaster University : The Department of Accounting and Finance
Working paper

The expected return and exercise time of Merton-style real options
Shackleton, M.B., Wojakowski, R.M. 2000 Lancaster University : The Department of Accounting and Finance
Working paper

Valuing the strategic option to terminate a life insurance business: theory and evidence
Klumpes, P.J.M., Shackleton, M.B. 2000 In: Journal of Banking and Finance. 24, 10, p. 1681-1702. 22 p.
Journal article

A non-parametric spectral test of serial correlation
Shackleton, M.B. 1999 Lancaster University : The Department of Accounting and Finance
Working paper

Geske Johnson pricing of Long Maturity American and Infinite Bermudan Options
Shackleton, M.B., Chung, S.L. 1999 Lancaster University : The Department of Accounting and Finance
Working paper

On the expected payoff and true probability of exercise of European options
Shackleton, M.B., Wojakowski, R.M. 1999 Lancaster University : The Department of Accounting and Finance
Working paper

Using discounted flexibility values to solve for the decision costs of sequential investment policies.
Invited talk

The Future of Growth: A Financial Perspective
Invited talk

Using discounted flexibility values to solve for the decision costs of sequential investment policies.
Invited talk

The Future of Growth: A Financial Perspective
Public lecture/debate/seminar

Using discounted flexibility values to solve for the decision costs of sequential investment policies.
Invited talk

Living without electricity: Lancaster’s experience of coping with loss of power
Public lecture/debate/seminar

Research Seminar, Brunel University
Participation in conference

Using discounted flexibility values to solve for the decision costs of sequential investment policies.
Invited talk

Using discounted flexibility values to solve for the decision costs of sequential investment policies.
Invited talk

Using discounted flexibility values to solve for the decision costs of sequential investment policies.
Invited talk

Surrey University Economics and Finance Society
Public lecture/debate/seminar

Teaching case presented to MBA class
Invited talk

Discounting, value and dollar beta matching in flexible cashflow systems
Invited talk

Real Options Conference, Monemvasia Greece, 2015
Participation in conference

Discounting, value and dollar beta matching in flexible cashflow systems
Public lecture/debate/seminar

Discounting, value and dollar beta matching in flexible cashflow systems
Public lecture/debate/seminar

The 2014 American Real Estate and Urban Economics Association (AREUEA) International Conference
Participation in conference

Those crying Not Under My Back Yard must not call the shots on fracking
Media article or participation

Discounting, value and dollar beta matching in flexible cashflow systems
Public lecture/debate/seminar

Discounting, value and dollar beta matching in flexible cashflow systems
Public lecture/debate/seminar

Discounting, value and dollar beta matching in flexible cashflow systems
Public lecture/debate/seminar

Universite Paris Dauphine
Participation in workshop, seminar, course

Journal of Banking and Finance
Editorial activity

Discounting, value and dollar beta matching in flexible cashflow systems
Invited talk

Seminar / Conference Paper
Public lecture/debate/seminar

Bank of England
Publication peer-review

Seminar / Conference Paper
Public lecture/debate/seminar

Seminar / Conference Paper
Public lecture/debate/seminar

Seminar / Conference paper
Public lecture/debate/seminar

Seminar / Conference Paper
Public lecture/debate/seminar

Seminar / Conference Paper
Public lecture/debate/seminar

External Examiner
Research and Teaching at External Organisation

Seminar / Conference Paper
Public lecture/debate/seminar

Seminar / Conference Paper
Public lecture/debate/seminar

Seminar / Conference Paper
Public lecture/debate/seminar

Seminar / Conference Paper
Public lecture/debate/seminar

Academic Visitor
Research and Teaching at External Organisation

Journal of Economic Dynamics and Control
Publication peer-review

Seminar / Conference Paper
Public lecture/debate/seminar

Seminar - Conference Paper
Public lecture/debate/seminar

External Examiner
Research and Teaching at External Organisation

MBA Teaching Prize
Prize (including medals and awards)

External Examiner
Research and Teaching at External Organisation

External Examiner
Research and Teaching at External Organisation

Visiting MBA Lecturer
Research and Teaching at External Organisation

Journal of Banking and Finance
Publication peer-review

Visiting Fellow in Finance
Research and Teaching at External Organisation

Course Consultant
Research and Teaching at External Organisation

Visiting MBA Lecturer
Research and Teaching at External Organisation

Best Postgraduate Teaching Award
Prize (including medals and awards)

MSc Teaching Prize
Prize (including medals and awards)

Journal of Futures Markets
Publication peer-review

Journal of Business Finance and Accounting
Publication peer-review

Lecturer in Finance
Research and Teaching at External Organisation

ESRC Award
Prize (including medals and awards)

Dean's List
Prize (including medals and awards)

Casberd Scholarship
Prize (including medals and awards)

Jiali Yan

PhD student
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