Aktuelle Publikationen

Nachfolgend finden Sie aktuelle Publikationen der Mitglieder der Forschungsgruppe.

 

Matthias Neuenkirch

Financial Stability and the Fed: Evidence from Congressional Hearings (with Arina Wischnewsky and David-Jan Jansen),  Economic Inquiry (2021).

Shadow Banks and the Risk‐Taking Channel of Monetary Policy Transmission in the Euro Area (with Arina Wischnewsky), German Economic Review (2020).

An Unconventional Approach to Evaluate the Bank of England’s Asset Purchase Program, Open Economies Review 31: 79-94 (2020).

State-Dependent Transmission of Monetary Policy in the Euro Area (mit Jan Pablo Burgard und Matthias Nöckel), Journal of Money, Credit and Banking 51 (7): 2053-2070 (2019).

 

Marc Oliver Rieger

Pre-Decisional Information Acquisition: Why do we pay too much for information? (with Mei Wang and Daniel Hausmann), Journal of Economic Psychology (2021).

The Slow Death of Capital Protection (with Christian Bauer), Journal of Risk and Financial Management  (2021).

Optimal Volatility Dependent Derivatives in the Stochastic Volatility Model (with Artem Dyachenko), The Journal of Derivatives (2021).

Volatility Dependent Structured Products (with Marc Oliver Rieger and Walter Farkas), The Journal of Investing (2021).

Diversification with Options and Structured Products (with Shuonan Yuan), Review of Derivatives Research (2020).

Fund Size and the Stability of Portfolio Risk (with Martin Ewen), Journal of Risk (2020).

Taking More Risk Tomorrow: Time Horizons and Investment Decisions (with Trang Minh Nguyen, Benjamin Schnur and Mei Wang), Applied Economics Letters (2020).

Maxing Out: Replicating the Puzzling Influence of Past Maximum Returns on Future Asset Prices in a Cross-Country Analysis (with Shuonan Yuan and Nilüfer Caliskan), Management Review Quarterly  (2019).

Non-Cooperative Games With Prospect Theory Players and Dominated Strategies (with Lars Peter Metzger), Games and Economic Behavior 115: 396-409  (2019).

Hedging with Regret (with Olaf Korn), Journal of Behavioral and Experimental Finance 22: 192-205 (2019).

 

Frank Seifried

Optimal Investment for Retail Investors (with Christoph Belak and Lukas Mich), to appear in Mathematical Finance (2021+).

Portfolio Optimization with Optimal Expected Utility Risk Measures (with Holger Fink and Sebastian Geissel), to appear in Annals of Operations Research (2021+).

Branching Diffusions with Jumps and Valuation with Systemic Counterparties (with Christoph Belak and Daniel Hoffmann), to appear in Journal of Computational Finance  (2021+).

Continuous-Time Mean Field Games with Finite State Space and Common Noise (with Christoph Belak and Daniel Hoffmann), to appear in Applied Mathematics and Optimization (2021+).

The Affine Rational Potential Model (with The Anh Nguyen), to appear in International Journal of Theoretical and Applied Finance (2021+).

Dynamic Asset Allocation with Relative Wealth Concerns (with André Meyer-Wehmann and Holger Kraft), Journal of Economic Dynamics and Control (2020).

Lifetime Investment and Consumption with Recursive Preferences and Small Transaction Costs (with Johannes Muhle-Karbe and Yaroslav Melynk), Mathematical Finance 30: 1135-1167 (2020).

Implied Risk Aversion: An Alternative Rating System for Retail Structured Products (with Holger Fink, Sebastian Geissel and Jörn Saß), Review of Derivatives Research 22: 357-387 (2019).

 

Christian Bauer

The Slow Death of Capital Protection (with Marc Oliver Rieger), Journal of Risk and Financial Management  (2021).

Limited Joint Liability in Structured Eurobonds: Pricing the Political Costs (with Marc-Patrick Adolph), Journal of International Money and Finance (2021).

 

Artem Dyachenko

Optimal Volatility Dependent Derivatives in the Stochastic Volatility Model (with Marc Oliver Rieger), The Journal of Derivatives (2021).

Volatility Dependent Structured Products (with Marc Oliver Rieger and Walter Farkas), The Journal of Investing (2021).

Fitting Local Volatility: Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models, Quantitative Finance (2020).

 

Dennis Umlandt

Currency Returns and FX Dealer Balance Sheets (with Stefan Reitz), to appear in Journal of International Economics (2021+).