Jacco Thijssen
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Profile
Biography
Professor Jacco Thijssen completed his undergraduate studies in Econometrics & Operations Research at Tilburg University in the Netherlands, where he also completed a PhD. Before joining the Department of Mathematics he held academic positions at Trinity College Dublin and York's Department of Economics and the Management School (now School for Business and Society). He holds a visiting professorship at Lisbon School of Economics and Management (ISEG), University of Lisbon.
His main research interest is in mathematical models of investment under uncertainty (real options). His current work includes theoretical work that involves game-theoretic aspects (such as pre-emption and attrition) and ambiguity in the timing of investments, as well as applications in the areas of environmental and infrastructure investment.
Departmental roles
- Head of Section, Mathematical Finance
- PGT Programme Leader, Mathematical Finance
Research
Overview
Overview
- Investment under Uncertainty
- Applications of Optimal Stopping Theory
- Timing Games
- Theory of Incomplete Markets
Projects
Jacco works with academics across Europe on various topics related to investment under uncertainty. Examples of recent project include:
- valuation of industrial symbiosis in carbon capture, utilisation, and storage (CCUS) technology,
- valuation of large-scale infrastructure investment with construction and market uncertainty,
- a study of competitive investment timing under various demand functions,
- a study of cash inventory management under ambiguity,
- a study of predatory pricing and optimal dividend policy under financial constraints,
- a study of dynamic market equilibrium in carbon markets.
He works closely with collaborators at Norwegian University of Science and Technology (N), Tilburg University (NL), Bielefeld University (D), University of Antwerp (B), University of Brescia (I), and University of Lisbon (P). Jacco is happy to discuss research in these and related areas with prospective PhD students.
Research group(s)
Mathematical Finance and Stochastic Analysis Research Group
Supervision
Arnon Archankul - aa2363@york.ac.uk
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