ΣΠΥΡΟΣ ΜΑΡΤΖΟΥΚΟΣ
ΜΑΡΤΖΟΥΚΟΣ ΣΠΥΡΟΣ
MARTZOUKOS SPIROS
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ΑΝΑΠΛΗΡΩΤΗΣ/ΡΙΑ ΚΑΘΗΓΗΤΗΣ/ΡΙΑ
Τμήμα Λογιστικής και Χρηματοοικονομικής
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+357-22893615
+357-22895030
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Προσωπικό Προφίλ

Έχει Ph.D. στην Διοίκηση Επιχειρήσεων (Χρηματοοικονομική - Ποσοτικές Μεθόδους, 1995) από το Πανεπιστήμιο George Washington των ΗΠΑ, MBA (Χρηματοοικονομική, 1989) από το Πανεπιστήμιο Rhode Island των ΗΠΑ, και B.Sc (master equivalent, 1982) Εθνικό Μετσόβειο Πολυτεχνείο Ελλάδας.
 
Έχει διδάξει Χρηματοοικονομική σε προπτυχιακό και μεταπτυχιακό επίπεδο στο Πανεπιστήμιο Κύπρου από το 1998 όπου ειναι και συντονιστής του προγράμματος MSc in Finance, και στο πανεπιστήμιο George Washington. Επίσης ήταν ακαδημαϊκός επισκέπτης στα πανεπιστήμια U. of Cambridge και ETH-Zurich, και σύμβουλος στην Διεθνή Τράπεζα και στον διεθνή τραπεζικό τομέα.Υπήρξε συντονιστής σε ερευνητικά προγράμματα του ΙΠΕ και του Πανεπιστημίου Κύπρου και ήταν σύμβουλος σε τρεις διδακτορικές και πολλές διατριβές Μάστερ.Έχει συμμετάσχει στην διοργάνωση πολλών διεθνών συνεδρίων και η έρευνα του έχει δημοσιευθεί και αναφερθεί σε πολλά διεθνή ακαδημαϊκά περιοδικά και διδακτορικές διατριβές. Έχει προσφέρει σαν ακαδημαϊκός κριτής σε περιοδικά όπως: Management Science, Economic Dynamics and Control, J. of Banking and Finance, Financial Management, European J. of Operational Research, etc.
 
Στο Πανεπιστήμιο Κύπρου διδάσκει
ΛΟΧ 321 Χρηματοοικονομική Διοίκηση Επιχειρήσεων ΙΙ
ΛΟΧ 521 Χρηματοοικονομική Θεωρία
ένα εκ των ΛΟΧ541-4 Σεμινάρια - Προχωρημένα Θέματα Αποτίμησης Κεφαλαίου
και παλαιότερα
ΛΟΧ 323 Σύγχρονες Μέθοδοι Προυπολογισμού Κεφαλαίου
ΛΟΧ 528 Σύγχρονες Μέθοδοι Προυπολογισμού Κεφαλαίου
ΛΟΧ 535 Σεμινάριο στη Θεωρία Παραγώγων
 


 




Ακαδημαϊκά Ενδιαφέροντα περιλαμβάνουν: Πραγματικές Επενδύσεις με Αβεβαιότητα (Real Options) και Αποτίμηση Χρηματοοικονομικών Δικαιωμάτων - Χρηματοοικονομική Μηχανική (Financial Option Pricing - Financial Engineering).






Eπιλεγμένες Δημοσιεύσεις σε Διεθνή Περιοδικά.

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.
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).
 
Μονογραφίες.
Decision Making under Uncertainty – An Option Valuation Approach to Power Planning. PRE Energy Series Paper 39, The World Bank, 1991, (with Enrique Crousillat).
 
Σε Βιβλία
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.






Profile Information

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./M.Sc. (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 Seminar series - 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).
Selected Recent Journal Articles.

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.
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).
 
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.