Martin Widdicks

Martin Widdicks

Senior Lecturer of Finance

  • Email

Contact

330 Wohlers Hall

1206 S. Sixth

Champaign, IL 61820

217-244-6856

widdicks@illinois.edu

Listings

Educational Background

  • Ph.D., Mathematical Finance, University of Manchester, 2002
  • B.Sc., Mathematics, University of Manchester, 1999

Positions Held

  • Visiting Assistant Professor of Finance, The University of Illinois at Urbana-Champaign, 2011-2012
  • Senior Lecturer of Finance, Finance, University of Illinois, 2011 to present
  • Senior Lecturer in Finance, Lancaster University, 2007-2012
  • Visiting Assistant Professor of Finance, University of Illinois at Urbana-Champaign, 2005-2007
  • Senior Lecturer in Finance, University of Manchester, 2004-2007
  • Lecturer in Finance, University of Manchester, 2003-2004

Recent Publications

  • Widdicks, M., Taylor, S., & Tzeng, C. (2018). Information About Price and Volatility Jumps Inferred from Option Prices. Journal of Futures Markets, (10), 1-21.
  • Widdicks, M., & Sun, L. (2016). Why Do Employees Like To Be Paid With Options?: A Multi-period Prospect Theory Approach. Journal of Corporate Finance, 38 106 - 125.

Other Publications

Article

  • Widdicks, M., & Pinto, H. (2014). Do compensation plans with performance targets provide better incentives? Journal of Corporate Finance, 29 662-694.
  • Widdicks, M., & Zhao, J. (2014). A Model of Equity Based Compensation with Tax Journal of Business Finance and Accounting, 41 (7-8), 1002-1041.
  • Widdicks, M., Taylor, S., & Tzeng, C. (2014). Bankruptcy probabilities inferred from option prices. Journal of Derivatives, 22 (2), 8-31.
  • Widdicks, M., Newton, D., Duck, P., & Yang, C. (2009). Singular Perturbation Techniques Applied to Multiasset Option Pricing. Mathematical Finance, 19 (3), 457 - 486.
  • Widdicks, M., Andricopoulos, A., Duck, P., & Newton, D. (2007). Extending quadrature methods to value multi-asset and complex path-dependent options. Journal of Financial Economics, 83 (2), 471-499.
  • Widdicks, M., Andricopoulos, A., Duck, P., & Newton, D. (2005). The Black-Scholes equation revisited: asymptotic expansions and singular perturbations. Mathematical Finance, 15 373 - 391.
  • Widdicks, M., Duck, P., Newton, D., & Leung, Y. (2005). Enhancing the accuracy of pricing American/Bermudan options. Journal of Derivatives, 12 (4), 34 - 44.
  • Widdicks, M., Andricopoulos, A., Duck, P., & Newton, D. (2004). Curtailing the range for lattice and grid methods. Journal of Derivatives, 11 55 - 61.
  • Widdicks, M., Newton, D., & Paxson, D. (2004). Real R&D Options. International Journal of Management Reviews, 6 113 - 130.
  • Widdicks, M., Andricopoulos, A., Duck, P., & Newton, D. (2003). Universal option pricing using quadrature. Journal of Financial Economics, 67 447 - 471.
  • Widdicks, M., Andricopoulos, A., Duck, P., & Newton, D. (2002). On the enhanced convergence of lattice methods for option pricing. Journal of Futures Markets, 22 315 - 338.

Presentation

  • Widdicks, M., Taylor, S., & Tzeng, C. (2017). Information About Price and Volatility Jumps Inferred from Option Prices. International Conference on Futures and Other Derivatives.
  • Widdicks, M., Taylor, S., & Tzeng, C. (2014). Information about price and volatility jumps inferred from option prices. 2014 Conference on High Frequency Data and Derivative Markets.
  • Widdicks, M., Tzeng, C., & Taylor, S. (2013). Information about Price and Volatility Jumps Inferred from Option Prices Financial Management Association Meeting.
  • Widdicks, M., Taylor, S., & Tzeng, C. (2012). Bankruptcy Probabilities Inferred from Option Prices. 25th Australasian Finance and Banking Conference.
  • Widdicks, M., & Sun, L. (2012). Why Do Employees Like To Be Paid With Options?: A Prospect Theory Approach. European Finance Association Annual Meeting.
  • Widdicks, M., & Pinto, H. (2012). Do Compensation Plans With Performance Targets Provide Better Incentives? Midwest Finance Association Annual Meeting.
  • Widdicks, M., & Pinto, H. (2011). Do Compensation Plans With Performance Targets Provide Better Incentives? Financial Management Association European Conference.
  • Widdicks, M., Tzeng, C., & Taylor, S. (2010). Information about Price and Volatility Jumps Inferred from Option Prices. International Conference on Computing in Economics and Finance.
  • Widdicks, M., Taylor, S., & Tzeng, C. (2010). Information about Price and Volatility Jumps Inferred from Option Prices. European Financial Managment Association Conference.
  • Widdicks, M., Pollet, J., & White, J. (2008). Executive Stock Option Exercise Behavior with Consumption and Overconfidence. European Finance Association Annual Meeting.

Working Paper

  • Pollet, J., & Widdicks, M. (2018). Share Retention, Executive Optimism, and Partial Option Exercise.

Honors and Awards

  • CBAA award for Excellence in Graduate Teaching, UIUC, 2017
  • Selected the Best Professor in a Small Elective Course for the MS Finance Program (for FIN 514: Financial Engineering II), UIUC, 2014,2015,2016,2017
  • Selected the Best Professor in a Large Elective Course for the MS Finance Program (for FIN 512: Financial Derivatives), UIUC, 2014,2015

Teaching Interests

I teach classes in Financial Engineering (FIN514, FIN516) and Financial Derivatives (FIN512) on the MSF and MSFE programs as well as classes in Statistics (FIN502) and general finance (FIN500).

I have been included on the list of excellent teachers (* = 'outstanding') in: Fall 2011*, 2012*, 2013*, 2014*, 2015*, 2016*, 2017*; Spring 2012, 2013, 2014*, 2015*, 2016*, 2017*; Summer 2014, 2015.

Research Interests

My research interests cover what could broadly be described as mathematical finance problems. I have developed new and adapted existing derivative pricing methodologies, applied singular perturbation theory to derivative pricing problems, and developed models for executive stock options to determine their value and the incentives that they provide.

Current Courses

  • Financial Derivatives (FIN 512) Introduction to options, futures, swaps and other derivative securities; examination of institutional aspects of the markets; theories of pricing; discussion of simple as well as complicated trading strategies (arbitrage, hedging, and spread); applications for asset and risk management.
  • Financial Engineering II (FIN 514) Presents the main ideas and techniques of modern option pricing theory, including: the Black-Scholes-Merton analysis; risk-neutral probabilities and the probabilistic solution; numerical techniques for computing option prices; an introduction to term structure modeling; and perhaps other topics, at the discretion of the instructor.
  • Term Structure Models (FIN 516) Extensive coverage of several models of the term structure of interest rates, including their implementation, calibration, and use in valuing interest rate derivatives. Will include applications of both Monte Carlo methods and finite-difference or "tree" methods. Approved for letter and S/U grading.
  • Internship (FIN 580) Approved for letter and S/U grading. May be repeated to a maximum of 18 hours in a semester; may be repeated to a maximum of 32 hours in subsequent semesters.
  • Practicum (FIN 580) Approved for letter and S/U grading. May be repeated to a maximum of 18 hours in a semester; may be repeated to a maximum of 32 hours in subsequent semesters.

Contact

330 Wohlers Hall

1206 S. Sixth

Champaign, IL 61820

217-244-6856

widdicks@illinois.edu