Professor Jacco Thijssen
Professor of Mathematical Finance

Profile

Biography

Professor Jacco Thijssen completed his "doctoraal" in Econometrics & Operations Research, as well as his PhD in Mathematical Economics, at Tilburg University in his native Netherlands. After lecturing in Economics at Trinity College Dublin for seven years and stints at York's departments of Mathematics and Economics and Related Studies, he joined the School for Business and Society in July 2014. 

His main research interests are on the intersection of industrial organization and corporate finance, where he tries to understand optimal dynamic decision-making under uncertainty, using techniques from optimal control theory, optimal stopping theory, game theory, and infinite dimensional analysis.

Subject Group

Accounting and finance

Programme leader

• BSc Finance, Operations Research, Management and Statistics

Research

Overview

Publications

Selected publications

Thijssen J.J.J., Hellmann T, (2018), “Fear of the Market or Fear of the Competitor? Ambiguity in a Real Options Game”, Forthcoming: Operations Research.

He Z., O'Connor F., Thijssen J.J.J., (2018), “Is gold a Sometime Safe Haven or an Always Hedge for equity investors? A Markov-Switching CAPM approach for US and UK stock indices”, International Review of Financial Analysis, 60, 30-37.

Dalby P.A.O., Gillerhaugen G.R., Hagspiel V., Leth-Olsen T., Thijssen J.J.J., (2018), Green investment under policy uncertainty and Bayesian learning, Energy, 161, 1262-1281.

Elsner B., Narciso G., Thijssen J.J.J., (2018), “Migrant Networks and the Spread of Information", Oxford Bulletin of Economics and Statistics, 80, 659-688.

Thijssen J.J.J., Bregantini D., (2017), “Costly sequential experimentation and project valuation with an application to health technology assessment", Journal of Economic Dynamics and Control, 77, 202-229.

Tan R.Q., Manahov V., Thijssen J.J.J., 2017, “The effect of ambiguity on the UK stock market: Evidence from a new empirical approach”, Investment Management and Financial Innovations, 14, 133-147.

Eveson, S.P., Thijssen, J.J.J. (2016), "Pareto optimality and existence of quasi-equilibrium in exchange economies with an indefinite future", Journal of Mathematical Economics, 67, 138-152.

Delaney, L. and J.J.J. Thijssen (2015), "The Impact of Voluntary Disclosure on a Firm's Investment Policy", European Journal of Operational Research, 242(1), 232-242.

Thijssen, J.J.J., Kuno J.M. Huisman, and Peter M. Kort (2012), “Symmetric Equilibrium Strategies in Game Theoretic Real Option Models”, Journal of Mathematical Economics, 48, 219-225.

Hendrickx, R.L.P, J.J.J. Thijssen, and P.E.M. Borm (2012), “Minimum Cost Spanning Tree Games and Spillover Stability”, Theory & Decision, 73, 441-451.

Thijssen, J.J.J. (2011), “Incomplete Markets, Knightian Uncertainty, and Irreversible Investment”, Journal of Economic Dynamics and Control, 35, 909-921.

Thijssen, J.J.J. (2010), “Preemption in a Real Option Game with a First Mover Advantage and Player-Specific Uncertainty”, Journal of Economic Theory, 145, 2448-2462.

Thijssen, J.J.J. (2008), “Optimal and Strategic Timing of Mergers and Acquisitions Motivated by Synergies and Risk Diversification”, Journal of Economic Dynamics and Control, 32, 1701-1720.

Talman, A.J.J. and J.J.J. Thijssen (2006), “Existence of Equilibrium and Price Adjustments in a   Finance Economy with Incomplete Markets”, Journal of Mathematical Economics, 42, 255-268.

Thijssen, J.J.J., K.J.M. Huisman and P.M. Kort (2006), “The Effects of Information on Strategic   Investment and Welfare”, Economic Theory, 28, 399-424.