Staff Catalogue

SPIROS MARTZOUKOS

MARTZOUKOS SPIROS
+357-22893615
...
ASSOCIATE PROFESSOR
Department of Accounting and Finance
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Educational Background.
He holds a Ph.D. in Business Administration (Finance/Quantitative Methods, 1995) from the George Washington University, U.S.A., an M.B.A. (Finance, 1989) from U. of Rhode Island, U.S.A., and a B.Sc. (Master equivalent) in Topography Engineering (Civil Eng. Specializations) (1982) from the National Technical University, Greece.
 
Positions Held.
Since 1999 with the Unviversity of Cyprus, from 1995-1998 in the George Washington University. Has also been an academic visitor to Cambridge and ETH Zurich, and has also acted as a consultant for the World Bank and the international banking sector.
 
Academic Recognition.
He has participated in the organization of many international conferences and has refereed for many journals, including Management Science, J. of Economic Dynamics and Control, J. of Banking and Finance, Financial Management, European J. of Operational Research, etc. He has also been coordinator of several research projects funded from the U. of Cyprus and the Cyprus Research Promotion Foundation and has been academic (thesis) advisor for three PhD students and many master students. His research has been referenced in many academic journals, technical reports and PhD dissertations and has been invited for presentation in many Universities including U. of Cambridge, ETH-Zurich, U. of Manchester, the Newton Institute at the U. of Cambridge, and Institutions like the Office of Naval Research, USA, the World Bank, FHLMC, USA.
 
In UCY he is teaching
AFN 321 Financial Management II
AFN 521 Financial Theory
one from AFN541-4 Advanced Topics in Asset Pricing
and in the past
AFN 323 Contemporary Methods of Capital Budgeting
AFN 528 Contemporary Methods of Capital Budgeting
AFN 535 Seminar in the Theory of Derivatives
 
 
 
 
His main area is in Real Options (Valuation of Investment Options and Optimal Decision-Making) with specific interests in Conditions of Incomplete Information (Noisy Assets), Learning-like Exploration, R&D, Experimentation, and/or Control Resulting from Strategic Managerial Actions; Game Theoretic Approaches to R&D and Strategic Expansion Decisions; The Impact of Hysteresis (Path-Dependency) Inducing Switching Costs; Debt/Equity Valuation, Capital Structure, Bancruptsy Prediction, and Interaction with Managerial Control Actions and (Endogenous/Exogenous) Debt Constraints with Differential Information.
He is also interested in Financial Option Pricing (Computational Finance, Financial Engineering, and Empirical Derivatives Research) with specific interests in Complex Option Contracts with Exchange Rate Risks; Multivariate Contingent Claims (Real and Financial Options) on Foreign Assets with Jump-diffusion Processes; Empirical Option Pricing Combining Parametric and Non Parametric Methods, Optimization and Implied Parameters; Smile-Consistent Implied Trees and Implied Trees for Non-Markovian Processes; and Interest Rate Contingent Claims (Riskless and Credit-Risky Option Embedded Bonds) with Imperfect Markets (Transaction Costs of Refinancing); Risk Management (Complex Contracts, Banking, Bankruptcy Prediction, etc).
 
Selected Recent Journal Articles.
While Associate Profesor
 
Credit Line Pricing under Heterogeneous Risk Beliefs. International Journal of Production Economics, 2022 (with Nicos Koussis).
 
Estimating Corporate Bankruptcy Forecasting Models by Maximizing Discriminatory Power. Review of Quantitative Finance and Accounting, 2022 (with Chris Charalambous and Zenon Taoushianis).
 
Bank Distress in the European Union 2008-2015: A Closer Look at Capital, Size and Revenue Diversificatio. International Journal of Finance & Economics, 2021 (with Stelios Markoulis and Panagiotis Ioannou).
 
Predicting Corporate Bankruptcy using the Leland and Toft Framework: Evidence from the US. Quantitative Finance 20, 329-346, 2020 (with Chris Charalambous and Zenon Taoushianis).

Corporate Liquidity and Dividend Policy under Uncertainty.  Journal of Banking and Finance 75, 200-214, 2017 (with Nicos Koussis and Lenos Trigeorgis). 

Assessing the Performance of Symmetric and Asymmetric Implied Volatility Functions (2014). Review of Quantitative Finance and Accounting 42, 373-397 (with Chris Charalambous and Panayiotis Andreou).

Multi-Stage Product Development with Exploration, Value-Enhancing, Pre-Emptive and Innovation Options (2013). Journal of Banking and Finance 37, 174-190 (with Nicos Koussis and Lenos Trigeorgis).
 
Real Option Games with Incomplete Information and Spillovers (2013). OMEGA - The International Journal of Management Science 41, 236-249 (with Eleftherios Zacharias).
Investment and Financing Options with Capital Constraints (2012). European Journal of Finance 18, 619-637 (with Nicos Koussis).
 
Generalized Parameter Functions for Option Pricing. Journal of Banking and Finance 34, 633-646, 2010(with Panayiotis Andreou and Chris Charalambous).
Real R&D Options with Incomplete Information and Optimal Activation of Two-dimensional Random Controls. Journal of the Operational Research Society 60, 843-858, 2009.
 
While Assist. Professor and earlier
 
Real R&D Options and Optimal Activation of Two-dimensional Random Controls.  Journal of the Operational Research Society, 60, 843-858, 2009.
 
Implied Non-recombining Trees and Calibration for the Volatility Smile. Quantitative Finance 7, 459-472, 2007 (with Chris Charalambous, Nikos Christofides, and Eleni Constandinide). Reprinted in “Quantitative Fund Management”, editors Dempster, Pflug and Mitra, Taylor & Francis, ch. 20, 425-450, 2008.
 
Pricing and Trading European Options by Combining Artificial Neural Networks and Parametric Models with Implied Parameters. European Journal of Operational Research 185, 1415-1433, 2008 (with Panayiotis Andreou and Chris Charalambous).
 
Real R&D Options with Time-to-Learn and Learning-by-doing. Annals of Operations Research 151, 29-55, 2007, (with Nicos Koussis and Lenos Trigeorgis).
 
Hybrid Artificial Neural Networks for Efficient Valuation of Real Options and Financial Derivatives. Computational Management Science 2, 155-161, 2005, (with Chris Charalambous).
 
Contingent Claims on Foreign Assets Following Jump-diffusion Processes. Review of Derivatives Research 6, 27-46, 2003. The paper was included in the free promotion issue of the journal (2003).
 
Real (Investment) Options with Multiple Sources of Rare Events.  European Journal of Operational Research 136, 696-706, 2002 (with L. Trigeorgis).

Hysteresis Models of Investment with Exchange Rate and Exercise Price Risk.   Review of Quantitative Finance and Accounting 16, 251-267, 2001.

The Option on n Assets with Exchange Rate and Exercise Price Risk.  Journal of Multinational Financial Management 11, 1-15, 2001.

Real Options with Random Controls and the Value of Learning.  Annals of Operations Research 99, 305-323, 2000.

The Survival Zone for a Bond with both a Call and Put Options Embedded.  Journal of Financial Research XXI, 419-430, Winter 1998 (with Τ. Barnhill).

Optimal Timing of Transmission Line Investments in the Face of Demand Uncertainty - An Option Valuation Approach. Energy Economics 8, 3-10, 1992, (with W. Teplitz-Sembitzky).

 
 
Monographs
Decision Making under Uncertainty – An Option Valuation Approach to Power Planning. PRE Energy Series Paper 39, The World Bank, 1991, (with Enrique Crousillat).
 
In Edited Books
Real Options with Random Controls, Rare Events, and Risk-to-Ruin (2007). In Optimization, Econometric and Financial Analysis. Springer – Advances on Computational Management Science Series, Vol. 9 (with Nicos Koussis and Lenos Trigeorgis).
 
Real R&D Options with Endogenous and Exogenous Learning. In Dean Paxson (ed.) Real R&D Options, Butterworth-Heinemann (Quantitative Finance Series), Oxford, 111-129, 2003.