Matthias Muck

University of Bamberg

Chair of Banking and Financial Control

Kärntenstr. 7

Bamberg, 96052

Germany

SCHOLARLY PAPERS

5

DOWNLOADS

234

CITATIONS

3

Scholarly Papers (5)

1.

International Stochastic Discount Factors and Covariance Risk

Number of pages: 48 Posted: 23 Sep 2014 Last Revised: 03 May 2019
Nicole Branger, Michael Herold and Matthias Muck
University of Muenster - Finance Center Muenster, University of Bamberg and University of Bamberg
Downloads 145 (199,725)
Citation 1

Abstract:

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Stochastic discount factors, International model, Stochastic covariance, Stochastic risk premium, Wishart process, Currency options, Foreign exchange, Unscented Kalman filter

2.

Jump Risk Premia in Short-Term Spread Options: Evidence from the German Electricity Market

Number of pages: 34 Posted: 17 Jul 2009
Jan Marckhoff and Matthias Muck
University of Bamberg and University of Bamberg
Downloads 89 (284,005)
Citation 2

Abstract:

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Electricity, Physical Transmission Right, Risk Premium, MCMC

3.

Correlation Risk and International Portfolio Choice

Posted: 08 Apr 2016 Last Revised: 16 Jun 2018
Nicole Branger, Matthias Muck and Stefan Weisheit
University of Muenster - Finance Center Muenster, University of Bamberg and University of Bamberg

Abstract:

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International asset allocation, stochastic correlation, Wishart process, intertemporal hedging demand, diversification benefits

4.

The Benefit of Life Insurance Contracts with Capped Index Participation When Stock Prices are Subject to Jump Risk

Posted: 30 Sep 2015 Last Revised: 06 Mar 2017
Antje Brigitte Mahayni and Matthias Muck
Mercator School of Management and University of Bamberg

Abstract:

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Derivatives, Life Insurance, Capped Index Participation, Monthly Summed Cap, Select Products

5.

Optimal Portfolios when Variances and Covariances can Jump

Posted: 12 Mar 2015 Last Revised: 08 Oct 2017
University of Muenster - Finance Center Muenster, University of Bamberg, University of Trier and University of Bamberg

Abstract:

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Optimal portfolio choice, stochastic correlation, Wishart process, derivatives, jump risk, covariance jumps