Marliese Uhrig-Homburg

Karlsruhe Institute of Technology (KIT) - Institute for Finance

Chair of Financial Engineering and Derivatives Department

P.O. Box 6980

D-76049 Karlsruhe, DE

Germany

http://derivate.fbv.kit.edu/english/index.php

  • Karlsruhe Institute of Technology (KIT) - Institute for Finance

    • Email
    • Tel: +49 721 6084 8183
    • Fax: +49 721 6084 8190
SCHOLARLY PAPERS

37

DOWNLOADS
Rank 4,065

SSRN RANKINGS

Top 4,065

in Total Papers Downloads

16,040

SSRN CITATIONS
Rank 13,005

SSRN RANKINGS

Top 13,005

in Total Papers Citations

72

CROSSREF CITATIONS

33

Scholarly Papers (37)

Actions:
Email selected abstracts
1.

Futures Price Dynamics of CO2 Emission Certificates - An Empirical Analysis

Journal of Derivatives, Vol. 17, No. 2, pp. 73-88, 2009
Number of pages: 31 Posted: 01 Nov 2006 Last Revised: 17 Feb 2014
Michael Wolfgang Wagner and Marliese Uhrig-Homburg
University of Karlsruhe (TH) and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 2,409 (10,039)

Abstract:

Loading...

CO2 emission certificates, price dynamics, CO2 forwards

2.

Measuring Liquidity in Bond Markets

Forthcoming in The Review of Financial Studies
Number of pages: 58 Posted: 20 Sep 2013 Last Revised: 29 Jul 2022
Raphael Schestag, Philipp Schuster and Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Financial Engineering and Derivatives Department, University of Stuttgart and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 2,132 (12,273)
Citation 55

Abstract:

Loading...

bond liquidity, transaction costs, bid-ask spread, price impact, asset pricing

3.

An Empirical Comparison of Alternative Models for Valuing Interest Rate Options

Number of pages: 41 Posted: 01 Feb 1997
Wolfgang Bühler, Wolfgang Bühler, Marliese Uhrig-Homburg, Ulrich Walter and Thomas Weder
University of New South Wales, Australian Business SchoolUniversity of Mannheim - Department of Business Administration and Finance, Karlsruhe Institute of Technology (KIT) - Institute for Finance, University of Mannheim and University of Mannheim
Downloads 1,667 (18,086)
Citation 4

Abstract:

Loading...

4.

Liquidity and its Impact on Bond Prices

Schmalenbach Business Review, Vol. 52, January 2000
Number of pages: 19 Posted: 03 Jun 2002
Marliese Uhrig-Homburg and Alexander Kempf
Karlsruhe Institute of Technology (KIT) - Institute for Finance and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 1,147 (31,588)

Abstract:

Loading...

5.

Modelling Jumps in Electricity Prices: Theory and Empirical Evidence

Number of pages: 38 Posted: 23 May 2006
Jan Seifert and Marliese Uhrig-Homburg
University of Karlsruhe (TH) and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 865 (46,841)
Citation 8

Abstract:

Loading...

electricity prices, jump diffusion, derivatives pricing

6.

Fake Alpha

Number of pages: 58 Posted: 18 Jan 2017 Last Revised: 08 Mar 2021
Marcel Müller, Tobias Rosenberger and Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Institute for Finance, Karlsruhe Institute of Technology (KIT) - Institute for Finance and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 848 (48,154)

Abstract:

Loading...

mutual funds, active management, managerial skill, alpha

7.

Cost Stickiness and Credit Risk

Number of pages: 53 Posted: 09 Jun 2016 Last Revised: 10 Sep 2020
Carsten Homburg, André Hoppe, Julia Nasev, Kristina Reimer and Marliese Uhrig-Homburg
University of Cologne, KU Leuven, Ludwig-Maximilians-University Munich, University of Cologne and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 799 (52,206)
Citation 9

Abstract:

Loading...

Cost Stickiness, Cost Behavior, Credit Risk, Credit Default Swaps

8.

Margin Requirements and Equity Option Returns

Number of pages: 81 Posted: 04 Jun 2016 Last Revised: 01 Jul 2021
Steffen Hitzemann, Michael Hofmann, Marliese Uhrig-Homburg and Christian Wagner
University of Houston - Department of Finance, Karlsruhe Institute of Technology (KIT) - Institute for Finance, Karlsruhe Institute of Technology (KIT) - Institute for Finance and WU Vienna University of Economics and Business
Downloads 719 (60,163)
Citation 4

Abstract:

Loading...

equity options, margins, funding liquidity, cross-section of option returns

9.

Valuation of Defaultable Claims - a Survey

Schmalenbach Business Review (sbr) - www.sbr-online.de, Vol. 54, January 2002
Number of pages: 34 Posted: 17 Jun 2002
Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 671 (65,851)
Citation 3

Abstract:

Loading...

10.

Equilibrium Price Dynamics of Emission Permits

Number of pages: 47 Posted: 17 Feb 2011 Last Revised: 30 Apr 2015
Steffen Hitzemann and Marliese Uhrig-Homburg
University of Houston - Department of Finance and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 644 (69,378)
Citation 5

Abstract:

Loading...

emission permits, spot and futures price dynamics, carbon derivatives

11.

Is Recovery Risk Priced?

Number of pages: 36 Posted: 16 May 2009 Last Revised: 26 Feb 2011
Marliese Uhrig-Homburg and Timo Schläfer
Karlsruhe Institute of Technology (KIT) - Institute for Finance and University of Karlsruhe
Downloads 632 (71,074)
Citation 2

Abstract:

Loading...

Market-implied recovery rate, risk-neutral probability of default, LCDS, CDS, loan-only credit default swap, capital structure, probability distribution of recovery, risk aversion

12.

The Term Structure of Bond Market Liquidity Conditional on the Economic Environment: An Analysis of Government Guaranteed Bonds

Number of pages: 40 Posted: 02 Apr 2012 Last Revised: 21 Feb 2014
Philipp Schuster and Marliese Uhrig-Homburg
University of Stuttgart and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 515 (91,659)
Citation 8

Abstract:

Loading...

bond liquidity, term structure of illiquidity premiums, regime-switching, financial crisis, flight-to-liquidity

13.

Stock Illiquidity and Option Returns

Number of pages: 49 Posted: 07 Dec 2015 Last Revised: 05 Dec 2020
Stefan Kanne, Olaf Korn and Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Institute for Finance, University of Goettingen (Göttingen) and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 395 (125,442)

Abstract:

Loading...

Illiquidity, equity options, option returns, hedging costs

14.

Do Lead-Lag Effects Affect Derivative Pricing?

Number of pages: 37 Posted: 10 Mar 2002
Olaf Korn and Marliese Uhrig-Homburg
University of Goettingen (Göttingen) and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 330 (152,823)
Citation 1

Abstract:

Loading...

option pricing, lead-lag effects

15.

A Heterogeneous Agents Equilibrium Model for the Term Structure of Bond Market Liquidity

Forthcoming in the Journal of Financial and Quantitative Analysis (New title: The Term Structure of Bond Liquidity)
Number of pages: 71 Posted: 24 Mar 2013 Last Revised: 09 Jun 2019
Monika Gehde-Trapp, Philipp Schuster and Marliese Uhrig-Homburg
University of Mannheim - Finance Area, University of Stuttgart and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 320 (157,983)
Citation 5

Abstract:

Loading...

bond liquidity, term structure of liquidity premia, heterogeneous agents, aging effect, trading volume, equilibrium

16.

Volatility Noise

Number of pages: 74 Posted: 06 Mar 2018 Last Revised: 06 Dec 2018
Michael Hofmann and Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Institute for Finance and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 313 (161,708)
Citation 1

Abstract:

Loading...

equity options, implied volatility, intermediary asset pricing, frictions, cross-section of returns

17.

Market Expectations of Recovery Rates

Number of pages: 42 Posted: 10 Jan 2014
Sorana Sarbu, Claus Schmitt and Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Financial Engineering and Derivatives Department, Rotterdam School of Management, Erasmus University and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 229 (221,593)
Citation 5

Abstract:

Loading...

Recovery Rate, Credit Default Swap, Crisis

18.

Option Trade Classification

Number of pages: 60 Posted: 06 May 2022 Last Revised: 10 May 2023
Caroline Grauer, Philipp Schuster and Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Institute for Finance, University of Stuttgart and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 227 (223,497)

Abstract:

Loading...

buyer/seller initiated trades, intraday transaction analysis, Lee and Ready algorithm, limit order, tick test, trade classification, trade direction, quote rule

19.

Modelling Simultaneous Defaults: A Top-Down Approach

Number of pages: 29 Posted: 03 Mar 2007
Michael Kunisch and Marliese Uhrig-Homburg
University of Karlsruhe and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 222 (228,217)

Abstract:

Loading...

dependent default, contagion, top-down approach, reduced-form models, valuation of defaultable securities

20.

Designing Robust Stock Option Plans

Number of pages: 31 Posted: 20 Feb 2008
Olaf Korn, Marliese Uhrig-Homburg and Clemens Paschke
University of Goettingen (Göttingen), Karlsruhe Institute of Technology (KIT) - Institute for Finance and affiliation not provided to SSRN
Downloads 217 (233,165)

Abstract:

Loading...

stock option plans, robustness, accounting valuation, corporate governance

21.

Drivers of Sovereign Recovery Risk

Number of pages: 35 Posted: 07 May 2015 Last Revised: 20 Nov 2020
Marcel Müller and Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Institute for Finance and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 210 (240,286)

Abstract:

Loading...

sovereign debt, sovereign recovery risk

22.

Empirical Performance of Reduced-Form Models for Emission Permit Prices

Review of Derivatives Research, 2019
Number of pages: 38 Posted: 23 Jul 2013 Last Revised: 04 May 2022
Steffen Hitzemann and Marliese Uhrig-Homburg
University of Houston - Department of Finance and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 196 (255,921)
Citation 5

Abstract:

Loading...

emission permits, price dynamics, option pricing, environmental finance, carbon derivatives

23.

Emission Permits and the Announcement of Realized Emissions: Price Impact, Trading Volume, and Volatilities

Energy Economics, Vol. 51, 2015
Number of pages: 27 Posted: 19 Jul 2013 Last Revised: 10 Nov 2016
Steffen Hitzemann, Marliese Uhrig-Homburg and Karl-Martin Ehrhart
University of Houston - Department of Finance, Karlsruhe Institute of Technology (KIT) - Institute for Finance and Karlsruhe Institute of Technology (KIT)
Downloads 116 (392,114)
Citation 2

Abstract:

Loading...

emission permits, announcement effects, EU ETS

24.

Desgning Robust Stock Option Plans

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 32 Posted: 25 Aug 2008
Olaf Korn, Clemens Paschke and Marliese Uhrig-Homburg
University of Goettingen (Göttingen), affiliation not provided to SSRN and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 90 (466,673)
Citation 1

Abstract:

Loading...

stock option plans, robustness, accounting valuation, corporate governance

25.

Monetary Policy During Liquidity Dry-Ups

Number of pages: 42 Posted: 22 Aug 2017 Last Revised: 23 Aug 2017
Stefan Fiesel, Marliese Uhrig-Homburg and Maxim Ulrich
Karlsruhe Institute of Technology, Karlsruhe Institute of Technology (KIT) - Institute for Finance and Karlsruhe Institute of Technology
Downloads 76 (516,303)

Abstract:

Loading...

liquidity, global shocks, multi-country, monetary policy

26.

Does Modeling Framework Matter? A Comparative Study of Structural and Reduced-Form Models

Downloads 51 (630,899)

Does Modeling Framework Matter? A Comparative Study of Structural and Reduced-Form Models

Bundesbank Series 2 Discussion Paper No. 2011,05
Number of pages: 64 Posted: 08 Jun 2016
Yalin Gündüz and Marliese Uhrig-Homburg
Deutsche Bundesbank and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 51 (643,668)
Citation 1

Abstract:

Loading...

credit risk, structural models, reduced-form models, default intensity, stationary leverage, credit default swaps

Does Modeling Framework Matter? A Comparative Study of Structural and Reduced-Form Models

Review of Derivatives Research, Vol. 17, 2014
Posted: 19 Feb 2009 Last Revised: 20 Nov 2015
Yalin Gündüz and Marliese Uhrig-Homburg
Deutsche Bundesbank and Karlsruhe Institute of Technology (KIT) - Institute for Finance

Abstract:

Loading...

Credit risk, structural models, reduced-form models, default intensity, stationary leverage, credit default swaps

27.

Syndicated Loans, Loan-only Credit Default Swaps and CDS Legal Documentation

Structured Credit Products - Credit Derivatives & Synthetic Securitisation, M. Choudhry, John Wiley & Sons, eds., Singapore
Posted: 09 Nov 2008 Last Revised: 23 Feb 2011
Timo Schläfer and Marliese Uhrig-Homburg
University of Karlsruhe and Karlsruhe Institute of Technology (KIT) - Institute for Finance

Abstract:

Loading...

CDS, LCDS, Loan-only Credit Default Swap

28.

Dynamic Behavior of CO2 Spot Prices

Journal of Environmental Economics and Management, Vol. 56, No. 2, pp. 180-194, September 2008
Posted: 05 Mar 2008 Last Revised: 17 Feb 2014
Jan Seifert, Marliese Uhrig-Homburg and Michael Wolfgang Wagner
University of Karlsruhe (TH), Karlsruhe Institute of Technology (KIT) - Institute for Finance and University of Karlsruhe (TH)

Abstract:

Loading...

CO2 emission certificates, emissions trading, spot price process, stochastic optimal control

29.

Investment Timing, Liquidity, and Agency Costs of Debt

Journal of Corporate Finance, Vol. 16, No. 2, pp. 243-258, April 2010
Posted: 03 Mar 2008 Last Revised: 19 Nov 2011
Stefan Hirth and Marliese Uhrig-Homburg
Aarhus University and Karlsruhe Institute of Technology (KIT) - Institute for Finance

Abstract:

Loading...

investment timing, liquidity, agency costs of debt, capital structure, real options

30.

Trading Credit Default Swaps Via Interdealer Brokers

Journal of Financial Services Research, Vol. 32, 2007
Posted: 12 May 2006 Last Revised: 18 Nov 2015
Yalin Gündüz, Marliese Uhrig-Homburg and Torsten Luedecke
Deutsche Bundesbank, Karlsruhe Institute of Technology (KIT) - Institute for Finance and University of Karlsruhe (TH)

Abstract:

Loading...

Credit default swaps, market microstructure, over-the-counter trading, interdealer brokerage, liquidity

31.

Derivative Instruments in the EU Emissions Trading Scheme - An Early Market Perspective

Energy & Environment, Vol. 19, No. 5, pp. 635-655, September 2008
Posted: 19 Feb 2006 Last Revised: 27 Oct 2008
Michael Wolfgang Wagner and Marliese Uhrig-Homburg
University of Karlsruhe (TH) and Karlsruhe Institute of Technology (KIT) - Institute for Finance

Abstract:

Loading...

CO2 emission certificates, market environment, CO2 derivatives, expert survey

32.

Cash-Flow Shortage as an Endogenous Bankruptcy Reason

Posted: 01 Apr 2005
Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Institute for Finance

Abstract:

Loading...

Continuous-time bankruptcy model, corporate bond pricing, credit spreads, equity finance costs, optimal capital structure

33.

Risk Structure of Interest Rates: An Empirical Analysis for Deutschemark-Denominated Bonds

Posted: 08 Nov 2000
Klaus Duellmann, Marliese Uhrig-Homburg and Marc Windfuhr
Deutsche Bundesbank, Karlsruhe Institute of Technology (KIT) - Institute for Finance and affiliation not provided to SSRN

Abstract:

Loading...

34.

Risk Structure of Interest Rates: An Empirical Analysis for Deutsch Mark Denominated Bonds

Posted: 21 Aug 2000
Klaus Duellmann, Marliese Uhrig-Homburg and Marc Windfuhr
Deutsche Bundesbank, Karlsruhe Institute of Technology (KIT) - Institute for Finance and affiliation not provided to SSRN

Abstract:

Loading...

Credit spreads, term structure estimation, bond ratings

35.

Importance of Mean-Reversion of Interest Rate Processes for Options: The Example of Range Warrants

Downloads 0 (1,028,662)

Importance of Mean-Reversion of Interest Rate Processes for Options: The Example of Range Warrants

Posted: 19 May 1999
Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Institute for Finance

Abstract:

Loading...

Importance of Mean-Reversion of Interest Rate Processes for Options: The Example of Range Warrants

University of Mannheim, Working Paper No. 98-12
Posted: 02 Feb 1999
Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Institute for Finance

Abstract:

Loading...

36.

Endogenous Bankruptcy When Equity Issuance is Costly

Posted: 28 Dec 1998
Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Institute for Finance

Abstract:

Loading...

37.

An Empirical Examination of the Longstaff-Schwartz Bond Option Valuation Model

J. OF DERIVATIVES, Fall 1996
Posted: 12 Sep 1996
Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Institute for Finance

Abstract:

Loading...

Other Papers (2)

Total Downloads: 308
Actions:
Email selected abstracts
1.

How Cost Stickiness Affects Credit Risk

AAA 2019 Management Accounting Section (MAS) Meeting
Number of pages: 44 Posted: 16 Aug 2018
Carsten Homburg, André Hoppe, Julia Nasev, Kristina Reimer and Marliese Uhrig-Homburg
University of Cologne, KU Leuven, Ludwig-Maximilians-University Munich, University of Cologne and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 308

Abstract:

Loading...

Cost Stickiness, Cost Behavior, Credit Risk, Credit Default Swaps

2.

Investment Timing When External Financing is Costly

Journal of Business Finance & Accounting, Vol. 37, Issue 7-8, pp. 929-949, September/October 2010
Posted: 06 Mar 2005 Last Revised: 18 Aug 2014
Stefan Hirth and Marliese Uhrig-Homburg
Aarhus University and Karlsruhe Institute of Technology (KIT) - Institute for Finance

Abstract:

Loading...

investment timing, underinvestment, overinvestment, real option valuation, costly external financing