Rainer Schoebel

University of Tuebingen - Faculty of Economics and Social Sciences

Mohlstrasse 36

D-72074 Tuebingen

Germany

SCHOLARLY PAPERS

13

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CITATIONS
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12

Scholarly Papers (13)

1.

Stochastic Volatility with an Ornstein-Uhlenbeck Process: An Extension

Number of pages: 18 Posted: 07 Sep 1998
Rainer Schoebel and Jianwei Zhu
University of Tuebingen - Faculty of Economics and Social Sciences and University of Tuebingen
Downloads 2,868 (3,866)
Citation 12

Abstract:

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2.

Pricing and Hedging Oil Futures: A Two-Regime Approach

EFA 0415
Number of pages: 49 Posted: 14 Nov 2000
Wolfgang Bühler, Olaf Korn and Rainer Schoebel
University of Mannheim - Department of Business Administration and Finance, Georg-August-Universität Göttingen and University of Tuebingen - Faculty of Economics and Social Sciences
Downloads 1,080 (19,031)
Citation 2

Abstract:

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3.

A Note on the Correlation Smile

Number of pages: 15 Posted: 23 Mar 2006
Svenja Hager and Rainer Schoebel
University of Tuebingen - Faculty of Economics and Business Administration and University of Tuebingen - Faculty of Economics and Social Sciences
Downloads 436 (64,758)
Citation 6

Abstract:

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credit derivatives, CDOs, correlation smile

4.

Risk Attitudes of Bond Investors

EFMA 2001 Lugano Meetings
Number of pages: 40 Posted: 05 May 2001
B. Philipp Kellerhals and Rainer Schoebel
University of Tuebingen - Department of Business Administration and University of Tuebingen - Faculty of Economics and Social Sciences
Downloads 414 (68,934)

Abstract:

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Risk attitudes, bond market, equilibrium pricing, tastes and beliefs, stochastic price behavior, Kalman filtering.

The Dynamic Behavior of Closed-End Funds and its Implications for Pricing, Forecasting and Trading

Tuebinger Discussion Paper No. 189
Number of pages: 33 Posted: 28 Sep 2000
B. Philipp Kellerhals and Rainer Schoebel
University of Tuebingen - Department of Business Administration and University of Tuebingen - Faculty of Economics and Social Sciences
Downloads 394 (72,446)

Abstract:

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The Dynamic Behavior of Closed-End Funds and its Implications for Pricing, Forecasting and Trading

Journal of Banking and Finance, Vol. 26, No. 8, pp. 1615-1643, 2002
Posted: 30 Jul 2002
B. Philipp Kellerhals and Rainer Schoebel
University of Tuebingen - Department of Business Administration and University of Tuebingen - Faculty of Economics and Social Sciences

Abstract:

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closed-end funds, dynamic price behavior, premium risk, forecasting, portfolio strategies, Kalman filtering

6.

An Overreaction Implementation of the Coherent Market Hypothesis and Option Pricing

University of Tuebingen Discussion Paper No. 306
Number of pages: 37 Posted: 01 Jun 2006
Rainer Schoebel and Jochen Veith
University of Tuebingen - Faculty of Economics and Social Sciences and University of Tuebingen - Faculty of Economics and Business Administration
Downloads 301 (99,160)

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behavioral finance, coherent market hypothesis, market polarization, option pricing, overreaction, chaotic market, repelling market

7.

Deriving the Dependence Structure of Portfolio Credit Derivatives Using Evolutionary Algorithms

Number of pages: 8 Posted: 23 Mar 2006
Svenja Hager and Rainer Schoebel
University of Tuebingen - Faculty of Economics and Business Administration and University of Tuebingen - Faculty of Economics and Social Sciences
Downloads 201 (149,256)

Abstract:

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credit risk, CDOs, Evolutionary Algorithms

8.

Equilibrium Pricing of Options in a Fractional Brownian Market

Number of pages: 19 Posted: 04 Nov 2010
Stefan Rostek and Rainer Schoebel
University of Tuebingen - Faculty of Economics and Business Administration and University of Tuebingen - Faculty of Economics and Social Sciences
Downloads 185 (161,035)
Citation 1

Abstract:

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Fractional Brownian Motion, Closed-Form Solution, Conditional Expectation, Pricing Equilibrium, Risk Aversion

9.

Fractional Brownian Motion and the Inherent Exclusion of Arbitrage

Number of pages: 21 Posted: 04 Nov 2010
Stefan Rostek and Rainer Schoebel
University of Tuebingen - Faculty of Economics and Business Administration and University of Tuebingen - Faculty of Economics and Social Sciences
Downloads 120 (230,266)

Abstract:

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Fractional Brownian Motion, Wick-Itô Calculus, Fractional Stratonovich Calculus, Dynamic Incompleteness

10.

Are Jumps in Time Changed Lévy Models Superfluous? An Empirical Investigation

Number of pages: 30 Posted: 12 Jun 2012
Klaus Herrmann and Rainer Schoebel
KU Leuven - Department of Mathematics and University of Tuebingen - Faculty of Economics and Social Sciences
Downloads 80 (301,373)

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option pricing, Lévy process, time change, model-to-market calibration, parameter stability

11.

On Modified Mellin Transforms, Gauss-Laguerre Quadrature and the Valuation of American Call Options

Journal of Computational and Applied Mathematics
Number of pages: 30 Posted: 19 Feb 2009 Last Revised: 16 Sep 2010
Robert Frontczak and Rainer Schoebel
Landesbank Baden-Württemberg (LBBW) and University of Tuebingen - Faculty of Economics and Social Sciences
Downloads 65 (338,394)
Citation 2

Abstract:

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American call option, Mellin transform, Integral representation

12.

The J-Curve and Transaction Taxes: Insights from an Artificial Stock Market

Number of pages: 19 Posted: 01 Apr 2014
Lina Kalimullina and Rainer Schoebel
University of Tuebingen - Faculty of Economics and Social Sciences and University of Tuebingen - Faculty of Economics and Social Sciences
Downloads 36 (435,264)

Abstract:

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J-curve, Artificial stock market, Tobin tax, Heterogeneous agents, Continuous double auction

13.

A Note on the Valuation of Risky Corporate Bonds

OR Spektrum, Vol. 21, Issue 1-2, 1999
Posted: 02 Mar 1999
Rainer Schoebel
University of Tuebingen - Faculty of Economics and Social Sciences

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