.
Schlag, Christian's
Scholarly Papers
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Aggregate Statistics
Total 5,788
Total Citations 80
1.
Branger, Nicole University of Muenster - Finance Center Muenster
Schlag, Christian Goethe University Frankfurt - Department of Finance
738(14,761)
3
Model Risk, Risk Measures, Hedging, Expected Shortfall, Bayesian statistics
2.
Grammig, Joachim Eberhard Karls Universitaet Tübingen
Schlag, Christian Goethe University Frankfurt - Department of Finance
Melvin, Michael BlackRock
439(30,173)
10
3.
Branger, Nicole University of Muenster - Finance Center Muenster
Schlag, Christian Goethe University Frankfurt - Department of Finance
432(30,785)
10
Option pricing, jump-diffusion, smile, implied volatility
4.
Buss, Adrian INSEAD - Finance
Schlag, Christian Goethe University Frankfurt - Department of Finance
Vilkov, Grigory Goethe University Frankfurt - Department of Finance
Posted:
14 Feb 09
Last Revised:
18 Mar 09
426(31,368)
conditional CAPM, regime switching, forward-looking betas, sentiment, implied correlations
5.
Kalodera, Iskra University of Frankfurt
Schlag, Christian Goethe University Frankfurt - Department of Finance
416(32,358)
3
Liquidity, market activity, options markets
6.
Branger, Nicole University of Muenster - Finance Center Muenster
Schlag, Christian Goethe University Frankfurt - Department of Finance
372(37,199)
6
Variance Risk, Stochastic Volatility, Jump-Diffusion, Model Risk, Parameter Risk, Hedging Error
7.
Wodrich, Anja Center for Financial Studies (CFS)
Schlag, Christian Goethe University Frankfurt - Department of Finance
342(41,195)
4
Initial Public Offerings, Underpricing, Long-Run Underperformance, Prize Stabilization, Impact of Changing Stock-Market Regulation and Institutional Setting on Underpricing
8.
Hansis, Alexandra Goethe University Frankfurt - House of Finance
Schlag, Christian Goethe University Frankfurt - Department of Finance
Vilkov, Grigory Goethe University Frankfurt - Department of Finance
Posted:
10 Sep 09
Last Revised:
02 Feb 10
326(43,622)
2
risk-neutral distribution, option-implied moments, model-free variance, skewness, kurtosis, vector autoregression
9.
Branger, Nicole University of Muenster - Finance Center Muenster
Schlag, Christian Goethe University Frankfurt - Department of Finance
306(46,966)
asset pricing, option pricing, beta, risk management
10.
Branger, Nicole University of Muenster - Finance Center Muenster
Schlag, Christian Goethe University Frankfurt - Department of Finance
263(55,887)
13
Stochastic Volatility, Volatility Risk Premium, Discretization Error, Model Error
11.
Franzke, Stefanie Center for Financial Studies an der Universität Frankfurt
Schlag, Christian Goethe University Frankfurt - Department of Finance
253(58,328)
5
Over-Allotment Option, Flotation Costs, Underwriter Fee, Neuer Markt
12.
Expected Option Returns and the Structure of Jump Risk Premia
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Branger, Nicole University of Muenster - Finance Center Muenster
Hansis, Alexandra Goethe University Frankfurt - House of Finance
Schlag, Christian Goethe University Frankfurt - Department of Finance
Posted:
11 Feb 09
Last Revised:
13 Feb 10
235(63,177)
2
Branger, Nicole University of Muenster - Finance Center Muenster
Hansis, Alexandra Goethe University Frankfurt - House of Finance
Schlag, Christian Goethe University Frankfurt - Department of Finance
80
2
Option returns, put puzzle, jump risk premia, volatility risk premium
Branger, Nicole University of Muenster - Finance Center Muenster
Hansis, Alexandra Goethe University Frankfurt - House of Finance
Schlag, Christian Goethe University Frankfurt - Department of Finance
155
2
Option returns, put puzzle, jump risk premia, volatility risk premium
13.
Branger, Nicole University of Muenster - Finance Center Muenster
Schlag, Christian Goethe University Frankfurt - Department of Finance
Esser, Angelika Sal. Oppenheim Jr. & Cie.
Bondarenko, Yulia Goethe University Frankfurt - Faculty of Economics and Business Administration
196(76,177)
Mean-Variance hedging, risk management, limited capital, expected squared hedging error, optimal trading strategy, incomplete market, hedging numeraire
14.
Grammig, Joachim Eberhard Karls Universitaet Tübingen
Schlag, Christian Goethe University Frankfurt - Department of Finance
Melvin, Michael BlackRock
183(81,403)
13
15.
The Role of Volatility Shocks and Rare Events in Long-Run Risk Models
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Branger, Nicole University of Muenster - Finance Center Muenster
Rodrigues, Paulo Maastricht University
Schlag, Christian Goethe University Frankfurt - Department of Finance
Posted:
16 Mar 11
Last Revised:
14 Mar 12
142(102,532)
2
Branger, Nicole University of Muenster - Finance Center Muenster
Rodrigues, Paulo Maastricht University
Schlag, Christian Goethe University Frankfurt - Department of Finance
59
2
Epstein-Zin preferences, variance risk premium, jump risk, stochastic volatility, level and slope of implied volatility smile
Branger, Nicole University of Muenster - Finance Center Muenster
Rodrigues, Paulo Maastricht University - Department of Finance
Schlag, Christian Goethe University Frankfurt - Department of Finance
83
2
Asset pricing, Epstein-Zin preferences, variance risk premium, jump risk, stochastic volatility
16.
Branger, Nicole University of Muenster - Finance Center Muenster
Schlag, Christian Goethe University Frankfurt - Department of Finance
Esser, Angelika Sal. Oppenheim Jr. & Cie.
133(108,363)
Incomplete markets, superhedging, stochastic volatility, stochastic jumps
17.
A Jumping Index of Jumping Stocks? An MCMC Analysis of Continuous-Time Models for Individual Stocks
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Rodrigues, Paulo Maastricht University - Department of Finance
Schlag, Christian Goethe University Frankfurt - Department of Finance
Posted:
12 Feb 09
Last Revised:
20 Mar 09
125(114,013)
2
Rodrigues, Paulo Maastricht University - Department of Finance
Schlag, Christian Goethe University Frankfurt - Department of Finance
51
2
stochastic volatility, individual stocks, MCMC, volatility factors
Rodrigues, Paulo Maastricht University - Department of Finance
Schlag, Christian Goethe University Frankfurt - Department of Finance
74
2
Stochastic volatility, individual stocks, MCMC, volatility factors
18.
Parsley, David C. Vanderbilt University - Owen Graduate School of Management
Schlag, Christian Goethe University Frankfurt - Department of Finance
120(117,867)
financial market integration, risk-free rate
19.
Branger, Nicole University of Muenster - Finance Center Muenster
Schlag, Christian Goethe University Frankfurt - Department of Finance
Esser, Angelika Sal. Oppenheim Jr. & Cie.
106(129,523)
1
Incomplete markets, attainability, stochastic volatility, jump-diffusion, superhedging
20.
Learning or Robust Control
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Branger, Nicole University of Muenster - Finance Center Muenster
Schlag, Christian Goethe University Frankfurt - Department of Finance
Wu, Lue Goethe University Frankfurt - Department of Finance
Posted:
02 Mar 07
Last Revised:
14 Oct 08
104(131,359)
Branger, Nicole University of Muenster - Finance Center Muenster
Schlag, Christian Goethe University Frankfurt - Department of Finance
Wu, Lue Goethe University Frankfurt - Department of Finance
Posted:
17 Dec 07
Last Revised:
14 Oct 08
0
Portfolio Selection, Model Uncertainty, Learning, Robust Control
Branger, Nicole University of Muenster - Finance Center Muenster
Schlag, Christian Goethe University Frankfurt - Department of Finance
Wu, Lue Goethe University Frankfurt - Department of Finance
104
Portfolio Selection, Model Uncertainty, Learning, Robust Control
21.
Branger, Nicole University of Muenster - Finance Center Muenster
Schlag, Christian Goethe University Frankfurt - Department of Finance
Wu, Lue Goethe University Frankfurt - Department of Finance
97(137,836)
3
General Equilibrium, Asset Allocation, Learning, Different Beliefs, Overconfidence
22.
Schlag, Christian Goethe University Frankfurt - Department of Finance
29(245,618)
Bounded Rationality, Cultural Corporate Finance, Loss Aversion, Mental Accounting, Rights Issues, Signalling
23.
Branger, Nicole University of Muenster - Finance Center Muenster
Schlag, Christian Goethe University Frankfurt - Department of Finance
Schneider, Eva Goethe University Frankfurt - Department of Finance
Seeger, Norman VU University Amsterdam
Posted:
06 Mar 08
Last Revised:
29 Jan 13
5(324,732)
1
Hedging, Model Risk, Risk Measurement, Model Identification, Delta Hedge, Delta-Vega Hedge, Minimum-Variance Hedge
24.
Schlag, Christian Goethe University Frankfurt - Department of Finance
