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

SCHOLARLY PAPERS

36

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Scholarly Papers (36)

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 2,016 (4,886)
Citation 15

Abstract:

CO2 emission certificates, price dynamics, CO2 forwards

2.

An Empirical Comparison of Alternative Models for Valuing Interest Rate Options

Number of pages: 41 Posted: 01 Feb 1997
Wolfgang Bühler, Marliese Uhrig-Homburg, Ulrich Walter and Thomas Weder
University of Mannheim - Department of Business Administration and Finance, Karlsruhe Institute of Technology (KIT) - Institute for Finance, University of Mannheim and University of Mannheim
Downloads 1,619 (7,778)
Citation 1

Abstract:

3.

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 897 (18,177)
Citation 7

Abstract:

4.

Measuring Liquidity in Bond Markets

Forthcoming in The Review of Financial Studies
Number of pages: 58 Posted: 20 Sep 2013 Last Revised: 30 Jan 2016
Raphael Schestag, Philipp Schuster and Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Financial Engineering and Derivatives Department, Karlsruhe Institute of Technology (KIT), Institute of Finance, Banking, and Insurance and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 646 (11,620)

Abstract:

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

5.

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 562 (34,412)
Citation 14

Abstract:

6.

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 555 (36,854)

Abstract:

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

7.

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 477 (39,362)
Citation 6

Abstract:

electricity prices, jump diffusion, derivatives pricing

8.

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
Ohio State University (OSU) - Department of Finance and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 458 (42,694)
Citation 1

Abstract:

emission permits, spot and futures price dynamics, carbon derivatives

9.

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
Karlsruhe Institute of Technology (KIT), Institute of Finance, Banking, and Insurance and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 358 (55,876)

Abstract:

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

10.

Do Lead-Lag Effects Affect Derivative Pricing?

EFMA 2002 London Meetings
Number of pages: 37 Posted: 10 Mar 2002
Olaf Korn and Marliese Uhrig-Homburg
Georg-August-Universität Göttingen and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 290 (80,888)

Abstract:

option pricing, lead-lag effects

11.

Designing Robust Stock Option Plans

Number of pages: 31 Posted: 20 Feb 2008
Olaf Korn, Marliese Uhrig-Homburg and Clemens Paschke
Georg-August-Universität Göttingen, Karlsruhe Institute of Technology (KIT) - Institute for Finance and affiliation not provided to SSRN
Downloads 191 (125,717)
Citation 1

Abstract:

stock option plans, robustness, accounting valuation, corporate governance

12.

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 183 (126,305)

Abstract:

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

13.

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

Number of pages: 71 Posted: 24 Mar 2013 Last Revised: 02 Apr 2016
Monika Gehde-Trapp, Philipp Schuster and Marliese Uhrig-Homburg
University of Mannheim - Finance Area, Karlsruhe Institute of Technology (KIT), Institute of Finance, Banking, and Insurance and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 159 (105,331)

Abstract:

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

14.

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 and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 122 (146,871)

Abstract:

Recovery Rate, Credit Default Swap, Crisis

15.

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
Georg-August-Universität Göttingen, affiliation not provided to SSRN and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 69 (270,458)
Citation 1

Abstract:

stock option plans, robustness, accounting valuation, corporate governance

16.

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
Ohio State University (OSU) - Department of Finance, Karlsruhe Institute of Technology (KIT) - Institute for Finance and University of Karlsruhe
Downloads 54 (270,458)

Abstract:

emission permits, announcement effects, EU ETS

17.

Drivers of Sovereign Recovery Risk

Number of pages: 33 Posted: 07 May 2015 Last Revised: 03 Nov 2015
Marcel Müller and Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Institute for Finance and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 53 (180,100)

Abstract:

sovereign debt, sovereign recovery risk

18.

Empirical Performance of Reduced-Form Models for Emission Permit Prices

Number of pages: 38 Posted: 23 Jul 2013 Last Revised: 29 Sep 2016
Steffen Hitzemann and Marliese Uhrig-Homburg
Ohio State University (OSU) - Department of Finance and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 52 (214,168)
Citation 1

Abstract:

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

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 17 (470,637)

Abstract:

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:

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

20.

Investment Timing When External Financing is Costly

Journal of Business Finance & Accounting, Vol. 37, No. 7-8, pp. 929-949, July/August 2010
Number of pages: 21 Posted: 20 Sep 2010
Stefan Hirth and Marliese Uhrig-Homburg
University of Aarhus and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 2 (527,756)
Citation 5

Abstract:

21.

Fake Alpha

Number of pages: 54 Posted: 18 Jan 2017 Last Revised: 01 May 2017
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 0 (109,488)

Abstract:

mutual funds, active management, managerial skill, alpha

22.

Employee Stock Options with Performance Conditions: Do Commonly Used Valuation Heuristics Work?

Number of pages: 32 Posted: 07 Jul 2016
Stefan Kanne and Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Institute for Finance and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 0 (370,669)

Abstract:

Employee Stock Options, Executive Compensation, Performance Vesting, CEO Pay, Corporate Governance

23.

Does Cost Management Affect Credit Risk?

Number of pages: 63 Posted: 09 Jun 2016 Last Revised: 22 Jun 2016
Carsten Homburg, Julia Nasev, Kristina Reimer and Marliese Uhrig-Homburg
University of Cologne, University of Cologne, University of Cologne and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 0 (109,969)

Abstract:

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

24.

Margin Requirements and Equity Option Returns

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 52 Posted: 04 Jun 2016 Last Revised: 04 Nov 2016
Steffen Hitzemann, Michael Hofmann, Marliese Uhrig-Homburg and Christian Wagner
Ohio State University (OSU) - Department of Finance, Karlsruhe Institute of Technology (KIT) - Institute for Finance, Karlsruhe Institute of Technology (KIT) - Institute for Finance and Copenhagen Business School
Downloads 0 (183,436)

Abstract:

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

25.

Stock Illiquidity, Option Prices, and Option Returns

Number of pages: 40 Posted: 07 Dec 2015 Last Revised: 03 Jun 2016
Stefan Kanne, Olaf Korn and Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Institute for Finance, Georg-August-Universität Göttingen and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 0 (121,080)

Abstract:

Illiquidity, equity options, option returns, option strategies

26.

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:

CDS, LCDS, Loan-only Credit Default Swap

27.

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:

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

28.

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
University of Aarhus and Karlsruhe Institute of Technology (KIT) - Institute for Finance

Abstract:

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

29.

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:

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

30.

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:

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

31.

Cash-Flow Shortage as an Endogenous Bankruptcy Reason

Journal of Banking and Finance, Forthcoming
Posted: 01 Apr 2005
Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Institute for Finance

Abstract:

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

32.

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

European Financial Management, Vol. 6, Issue 3, September 2000
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:

33.

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

European Financial Management, Vol. 6, No. 3 September 2000
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:

Credit spreads, term structure estimation, bond ratings

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

OR Spektrum, Vol. 21, Issue 1-2, 1999
Posted: 19 May 1999
Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Institute for Finance

Abstract:

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:

35.

Endogenous Bankruptcy when Equity Issuance is Costly

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

Abstract:

36.

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:

Other Papers (1)

Total Downloads: 0    Citations: 0
1.

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
University of Aarhus and Karlsruhe Institute of Technology (KIT) - Institute for Finance

Abstract:

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