Martin Widdicks

Teaching Associate Professor of Finance and Director, MSF Program and Josef and Margot Lakonishok Faculty Fellow

Contact

331 Wohlers Hall

1206 S Sixth St

Champaign, IL 61820

217-244-6856

widdicks@illinois.edu

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Educational Background

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

Positions Held

Teaching Associate Professor of Finance, Finance, University of Illinois at Urbana-Champaign, 2019 to present
Director of MSF Program, Finance, University of Illinois at Urbana-Champaign, 2013 to present
Senior Lecturer of Finance, Finance, University of Illinois at Urbana-Champaign, 2011-2019
Visiting Assistant Professor of Finance, The University of Illinois at Urbana-Champaign, 2011-2012
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.
Widdicks, M., & Pinto, H. (2014). Do compensation plans with performance targets provide better incentives? Journal of Corporate Finance, 29 662-694.

Other Publications

Articles

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.

Presentations

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 Papers

Pollet, J., & Widdicks, M. Share Retention, Executive Optimism, and Partial Option Exercise.

Honors and Awards

Josef and Margot Lakonishok Faculty Fellow, University of Illinois at Urbana-Champaign, 2022 to present
Shebik Faculty Fellow, University of Illinois, Gies College of Business, 2021-2022
James F. Towey Faculty Fellow, University of Illinois, Gies College of Business, 2019-2021
Selected the Best Professor for Fall 2019 for the MS Finance Program Class of 2020, UIUC, 2019-2020
Selected the Best Professor for Spring 2020 for the MS Finance Program Class of 2020, UIUC, 2019-2020

Teaching Interests

I teach classes in Complex Securities Valuation (FIN514, FIN516) and Financial Derivatives (FIN512) on the MSF and MSFE programs. I also teach graduate classes in Statistics on the MSF program (FIN 502, FIN 503) and general finance classes on our online programs (FIN 500)

I have been included on the list of excellent teachers (* = 'outstanding') in: Fall 2011*, 2012*, 2013*, 2014*, 2015*, 2016*, 2017*, 2018, 2019*, 2020, 2021, 2022; Spring 2012, 2013, 2014*, 2015*, 2016*, 2017*, 2018*, 2019*, 2020, 2021*, 2022*, 2023*; 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

Introduction to Finance (FIN 500) Introduction to financial management and decision making. A customized course, designed to provide a survey of finance for graduate students who do not necessarily have previous training in the disciplines. Different sections of the course will cover different sets of topics.
Quantitative Finance (FIN 502) Quantitative methods used for financial decision making. Topics include elements of statistics, mathematics, and specific analytical tools used in the study and practice of finance.
Quantitative Finance II (FIN 503) This course covers topics in time series analysis with an emphasis on applications. It is intended to prepare MSF students for more advanced courses in finance. This course provides some basic knowledge of financial time series data. It also introduces models and methods widely used by academics and practitioners. The purpose of this course is to understand proper use and limitations of econometric methods in applied time series analysis. 2 graduate hours. No professional credit. Credit is not given for FIN 503 and FIN 580: Section QM2, (68387). This course covers topics in time series analysis with an emphasis on applications. It is intended to prepare MSF students for more advanced courses in finance. This course provides some basic knowledge of financial time series data. It also introduces models and methods widely used by academics and practitioners. The purpose of this course is to understand proper use and limitations of econometric methods in applied time series analysis.
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.
Complex Derivative Securities (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) Coverage of the fundamental models models of the term structure of interest rates, including their implementation, calibration, and use in valuing interest rate derivatives. Focus will be on the Black model and short rate models such as Black-Derman-Toy and Hull-White.
Adv Term Structure (FIN 517) This class is a continuation of FIN 516 Term Structure Models. Coverage of advanced term structure models with a focus on the LIBOR Market Model (LMM). Students will learn the theory behind the model, how to calibrate the model to data and how to to develop numerical algorithms in order to implement the model to price a variety of real world interest rate products.
Internship (FIN 580) Lectures and discussions relating to new areas of interest. See class schedule for topics and prerequisites.