.
Branger, Nicole's
Scholarly Papers
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column.
Aggregate Statistics
Total 5,551
Total Citations 60
1.
Branger, Nicole University of Muenster - Finance Center Muenster
Schlag, Christian Goethe University Frankfurt - Department of Finance
738(14,768)
3
Model Risk, Risk Measures, Hedging, Expected Shortfall, Bayesian statistics
2.
Branger, Nicole University of Muenster - Finance Center Muenster
Schlag, Christian Goethe University Frankfurt - Department of Finance
432(30,807)
10
Option pricing, jump-diffusion, smile, implied volatility
3.
Branger, Nicole University of Muenster - Finance Center Muenster
Schlag, Christian Goethe University Frankfurt - Department of Finance
372(37,231)
6
Variance Risk, Stochastic Volatility, Jump-Diffusion, Model Risk, Parameter Risk, Hedging Error
4.
Branger, Nicole University of Muenster - Finance Center Muenster
356(39,248)
Equivalent Martingale Measure, Stochastic Discount factor, Cross-Entropy, Implied Distributions, Option Pricing
5.
Branger, Nicole University of Muenster - Finance Center Muenster
Schlag, Christian Goethe University Frankfurt - Department of Finance
306(47,002)
asset pricing, option pricing, beta, risk management
6.
Branger, Nicole University of Muenster - Finance Center Muenster
Mahayni, Antje Brigitte Mercator School of Management
300(48,129)
2
Uncertain volatility, stochastic volatility, robust hedging, tractable hedging, model misspeci cation, incomplete markets
7.
Branger, Nicole University of Muenster - Finance Center Muenster
Breuer, Beate Goethe University Frankfurt - Graduate Program "Finance and Monetary Economics"
264(55,688)
5
Asset Allocation, Risk Premia, Structured Products, Discrete Trading, Calibration of Jump-Diffusion Models
8.
Branger, Nicole University of Muenster - Finance Center Muenster
Schlag, Christian Goethe University Frankfurt - Department of Finance
263(55,938)
13
Stochastic Volatility, Volatility Risk Premium, Discretization Error, Model Error
9.
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(63,221)
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
10.
Vrecko, Dennis University of Muenster - Finance Center Muenster
Branger, Nicole University of Muenster - Finance Center Muenster
Posted:
09 Dec 09
Last Revised:
17 Dec 09
229(65,267)
1
cumulative prospect theory, portfolio planning, portfolio insurance, stochastic volatility, stochastic jumps
11.
Branger, Nicole University of Muenster - Finance Center Muenster
Kraft, Holger Goethe University Frankfurt
Meinerding, Christoph Goethe University Frankfurt - Department of Finance
Posted:
02 Jul 10
Last Revised:
23 Apr 13
212(70,375)
Asset Allocation, Contagion, Nonlinear Filtering, Hidden State, Self-exciting Processes
12.
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(76,219)
Mean-Variance hedging, risk management, limited capital, expected squared hedging error, optimal trading strategy, incomplete market, hedging numeraire
13.
Branger, Nicole University of Muenster - Finance Center Muenster
Völkert, Clemens affiliation not provided to SSRN
Posted:
25 Mar 12
Last Revised:
21 Feb 13
195(76,583)
1
Jump-diffusion model, volatility derivatives, VIX options
14.
Branger, Nicole University of Muenster - Finance Center Muenster
Kraft, Holger Goethe University Frankfurt
Meinerding, Christoph Goethe University Frankfurt - Department of Finance
Posted:
02 Jul 10
Last Revised:
18 Mar 13
185(80,613)
Contagion, General Equilibrium, Asset Pricing, Recursive Preferences
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 - Department of Finance
Schlag, Christian Goethe University Frankfurt - Department of Finance
Posted:
16 Mar 11
Last Revised:
14 Mar 12
142(102,603)
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(108,418)
Incomplete markets, superhedging, stochastic volatility, stochastic jumps
17.
Branger, Nicole University of Muenster - Finance Center Muenster
Völkert, Clemens affiliation not provided to SSRN
Posted:
01 Feb 12
Last Revised:
21 Feb 13
124(114,853)
2
long-run risks, variance premium, volatility derivatives
18.
Branger, Nicole University of Muenster - Finance Center Muenster
Larsen, Linda Sandris University of Southern Denmark
Munk, Claus Copenhagen Business School
Posted:
09 Jun 11
Last Revised:
26 Apr 12
117(120,251)
return predictability, portfolio choice, ambiguity, learning, robust control
19.
Branger, Nicole University of Muenster - Finance Center Muenster
Schlag, Christian Goethe University Frankfurt - Department of Finance
Esser, Angelika Sal. Oppenheim Jr. & Cie.
106(129,583)
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(131,425)
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.
Larsen, Linda Sandris University of Southern Denmark
Branger, Nicole University of Muenster - Finance Center Muenster
Posted:
11 Jan 12
Last Revised:
25 Apr 12
98(136,961)
ambiguity, jump-diffusion model, robust control, utility loss, market completeness
22.
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(137,914)
3
General Equilibrium, Asset Allocation, Learning, Different Beliefs, Overconfidence
23.
Branger, Nicole University of Muenster - Finance Center Muenster
Mahayni, Antje Brigitte Mercator School of Management
86(149,294)
Stochastic Volatility, Robust Hedging, Tractable Hedging, Uncertain Volatility Model, Additional Hedge Instrument
24.
Branger, Nicole University of Muenster - Finance Center Muenster
Hansis, Alexandra Goethe University Frankfurt - House of Finance
Posted:
01 Feb 10
Last Revised:
17 Mar 10
67(173,271)
2
stochastic volatility, jumps, market prices of risk, asset allocation, optimal exposures
25.
Branger, Nicole University of Muenster - Finance Center Muenster
Mahayni, Antje Brigitte Mercator School of Management
Schneider, Judith C. University of Muenster - Finance Center Muenster
Posted:
01 Jul 10
Last Revised:
04 Jul 10
59(185,155)
4
Interest Rate Guarantee, Optimal Portfolio Choice, Utility Loss, Guarantee Scheme, CPPI
26.
Branger, Nicole University of Muenster - Finance Center Muenster
Hansis, Alexandra Goethe University Frankfurt - House of Finance
Posted:
18 Mar 09
Last Revised:
03 Feb 10
59(185,155)
2
stochastic volatility, jumps, market prices of risk, asset allocation, buy-and-hold strategy, model mis-specification
27.
Branger, Nicole University of Muenster - Finance Center Muenster
Mahayni, Antje Brigitte Mercator School of Management
Schneider, Judith C. University of Muenster - Finance Center Muenster
32(237,748)
Certificates, Barrier Option, Price Bounds
28.
When Do Jumps Matter for Portfolio Optimization?
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Ascheberg, Marius Goethe University Frankfurt
Branger, Nicole University of Muenster - Finance Center Muenster
Kraft, Holger Goethe University Frankfurt
Posted:
29 Apr 13
Last Revised:
04 May 13
30(248,648)
Ascheberg, Marius Goethe University Frankfurt
Branger, Nicole University of Muenster - Finance Center Muenster
Kraft, Holger Goethe University Frankfurt
12
Optimal investment, jumps, stochastic volatility, welfare loss
Ascheberg, Marius Goethe University Frankfurt
Branger, Nicole University of Muenster - Finance Center Muenster
Kraft, Holger Goethe University Frankfurt
18
29.
Branger, Nicole University of Muenster - Finance Center Muenster
Konermann, Patrick University of Muenster - Finance Center Muenster
Thimme, Julian University of Muenster - Finance Center Muenster
Posted:
12 Jun 12
Last Revised:
10 Apr 13
9(313,272)
Asset Pricing, Epstein-Zin utility, Lucas Orchard, Learning, Information Quality
30.
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(324,853)
1
Hedging, Model Risk, Risk Measurement, Model Identification, Delta Hedge, Delta-Vega Hedge, Minimum-Variance Hedge
31.
Branger, Nicole University of Muenster - Finance Center Muenster
Kraft, Holger Goethe University Frankfurt
Meinerding, Christoph Goethe University Frankfurt - Department of Finance
Posted:
17 Mar 08
Last Revised:
06 Sep 11
Asset Allocation, Jumps, Contagion, Model Risk
