Nicole Branger

University of Muenster - Finance Center Muenster

SCHOLARLY PAPERS

46

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CITATIONS
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70

Scholarly Papers (46)

1.

Model Risk: A Conceptual Framework for Risk Measurement and Hedging

EFMA 2004 Basel Meetings Paper
Number of pages: 28 Posted: 14 May 2004
Nicole Branger and Christian Schlag
University of Muenster - Finance Center Muenster and Goethe University Frankfurt - Research Center SAFE
Downloads 829 (19,263)
Citation 2

Abstract:

Model Risk, Risk Measures, Hedging, Expected Shortfall, Bayesian statistics

2.

Why is the Index Smile So Steep?

EFMA 2003 Helsinki Meetings
Number of pages: 21 Posted: 11 Oct 2002
Nicole Branger and Christian Schlag
University of Muenster - Finance Center Muenster and Goethe University Frankfurt - Research Center SAFE
Downloads 460 (46,111)
Citation 12

Abstract:

Option pricing, jump-diffusion, smile, implied volatility

3.

The Fine Structure of Variance: Pricing VIX Derivatives in Consistent and Log-VIX Models

Number of pages: 63 Posted: 25 Mar 2012 Last Revised: 18 Aug 2016
University of Muenster - Finance Center Muenster, University of Muenster - Finance Center Muenster and University of Muenster - Finance Center Muenster
Downloads 438 (37,863)

Abstract:

Consistent pricing of VIX derivatives, Log-VIX model, volatility derivatives, VIX

4.

An Economic Motivation for Variance Contracts

AFA 2006 Boston Meetings Paper
Number of pages: 41 Posted: 18 Mar 2005
Nicole Branger and Christian Schlag
University of Muenster - Finance Center Muenster and Goethe University Frankfurt - Research Center SAFE
Downloads 385 (57,313)
Citation 5

Abstract:

Variance Risk, Stochastic Volatility, Jump-Diffusion, Model Risk, Parameter Risk, Hedging Error

5.

Pricing Derivative Securities Using Cross-Entropy: An Economic Analysis

EFMA 2003 Helsinki Meetings
Number of pages: 22 Posted: 10 May 2003
Nicole Branger
University of Muenster - Finance Center Muenster
Downloads 385 (56,795)

Abstract:

Equivalent Martingale Measure, Stochastic Discount factor, Cross-Entropy, Implied Distributions, Option Pricing

6.

The Optimal Demand for Retail Derivatives

Number of pages: 36 Posted: 06 Mar 2008
Nicole Branger and Beate Breuer
University of Muenster - Finance Center Muenster and Goethe University Frankfurt - Graduate Program "Finance and Monetary Economics"
Downloads 346 (60,408)
Citation 5

Abstract:

Asset Allocation, Risk Premia, Structured Products, Discrete Trading, Calibration of Jump-Diffusion Models

7.

The Dynamics of Crises and the Equity Premium

SAFE Working Paper No. 11
Number of pages: 48 Posted: 02 Jul 2010 Last Revised: 20 May 2015
Nicole Branger, Holger Kraft and Christoph Meinerding
University of Muenster - Finance Center Muenster, Goethe University Frankfurt and Goethe University Frankfurt
Downloads 336 (51,066)

Abstract:

General Equilibrium, Asset Pricing, Recursive Preferences, Long-Run Risk, Disaster Models

8.

Option Betas

Number of pages: 32 Posted: 22 Jun 2002
Nicole Branger and Christian Schlag
University of Muenster - Finance Center Muenster and Goethe University Frankfurt - Research Center SAFE
Downloads 327 (66,610)

Abstract:

asset pricing, option pricing, beta, risk management

9.

Tractable Hedging: An Implementation of Robust Hedging Strategies

EFA 2004 Maastricht Meetings Paper No. 3698; EFMA 2004 Basel Meetings Paper
Number of pages: 31 Posted: 28 May 2004
Nicole Branger and Antje Brigitte Mahayni
University of Muenster - Finance Center Muenster and Mercator School of Management
Downloads 316 (71,994)
Citation 3

Abstract:

Uncertain volatility, stochastic volatility, robust hedging, tractable hedging, model misspeci cation, incomplete markets

10.

Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization

SAFE Working Paper No. 28
Number of pages: 42 Posted: 02 Jul 2010 Last Revised: 27 Aug 2013
Nicole Branger, Holger Kraft and Christoph Meinerding
University of Muenster - Finance Center Muenster, Goethe University Frankfurt and Goethe University Frankfurt
Downloads 296 (76,634)
Citation 1

Abstract:

Asset Allocation, Contagion, Nonlinear Filtering, Hidden State, Self-exciting Processes

Expected Option Returns and the Structure of Jump Risk Premia

EFA 2009 Bergen Meetings Paper
Number of pages: 39 Posted: 11 Feb 2009
Nicole Branger, Alexandra Hansis and Christian Schlag
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - House of Finance and Goethe University Frankfurt - Research Center SAFE
Downloads 165 (141,707)
Citation 2

Abstract:

Option returns, put puzzle, jump risk premia, volatility risk premium

Expected Option Returns and the Structure of Jump Risk Premia

AFA 2010 Atlanta Meetings Paper
Number of pages: 40 Posted: 18 Mar 2009
Nicole Branger, Alexandra Hansis and Christian Schlag
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - House of Finance and Goethe University Frankfurt - Research Center SAFE
Downloads 120 (184,447)
Citation 2

Abstract:

Option returns, put puzzle, jump risk premia, volatility risk premium

12.

Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?

EFMA 2004 Basel Meetings Paper
Number of pages: 38 Posted: 14 May 2004
Nicole Branger and Christian Schlag
University of Muenster - Finance Center Muenster and Goethe University Frankfurt - Research Center SAFE
Downloads 278 (79,831)
Citation 13

Abstract:

Stochastic Volatility, Volatility Risk Premium, Discretization Error, Model Error

13.

Why is Portfolio Insurance Attractive to Investors?

Number of pages: 28 Posted: 09 Dec 2009 Last Revised: 17 Dec 2009
Dennis Vrecko and Nicole Branger
University of Muenster - Finance Center Muenster and University of Muenster - Finance Center Muenster
Downloads 277 (75,252)
Citation 1

Abstract:

cumulative prospect theory, portfolio planning, portfolio insurance, stochastic volatility, stochastic jumps

14.

Robustness of Stable Volatility Strategies

Number of pages: 53 Posted: 04 Dec 2014 Last Revised: 13 May 2015
University of Muenster - Finance Center Muenster, Mercator School of Management and University of Duisburg-Essen - Mercator School of Management
Downloads 233 (90,289)

Abstract:

Stable volatility strategies, jump diffusion processes, model risk, robustness, performance evaluation

The Role of Volatility Shocks and Rare Events in Long-Run Risk Models

Number of pages: 60 Posted: 16 Mar 2011
Nicole Branger, Paulo Rodrigues and Christian Schlag
University of Muenster - Finance Center Muenster, Maastricht University - Department of Finance and Goethe University Frankfurt - Research Center SAFE
Downloads 133 (170,156)
Citation 1

Abstract:

Asset pricing, Epstein-Zin preferences, variance risk premium, jump risk, stochastic volatility

The Role of Volatility Shocks and Rare Events in Long-Run Risk Models

Number of pages: 59 Posted: 14 Mar 2012
Nicole Branger, Paulo Rodrigues and Christian Schlag
University of Muenster - Finance Center Muenster, Maastricht University and Goethe University Frankfurt - Research Center SAFE
Downloads 100 (210,977)
Citation 1

Abstract:

Epstein-Zin preferences, variance risk premium, jump risk, stochastic volatility, level and slope of implied volatility smile

When Do Jumps Matter for Portfolio Optimization?

Number of pages: 38 Posted: 29 Apr 2013 Last Revised: 28 Nov 2015
Goethe University Frankfurt, University of Muenster - Finance Center Muenster, Goethe University Frankfurt and University of Trier
Downloads 127 (176,453)

Abstract:

Optimal investment, jumps, stochastic volatility, welfare loss

When Do Jumps Matter for Portfolio Optimization?

SAFE Working Paper No. 16
Number of pages: 39 Posted: 04 May 2013 Last Revised: 28 Nov 2015
Goethe University Frankfurt, University of Muenster - Finance Center Muenster, Goethe University Frankfurt and University of Trier
Downloads 105 (203,698)

Abstract:

Optimal investment, jumps, stochastic volatility, welfare loss

17.

Mean-Variance Hedging With Limited Capital - A Decomposition Result

Number of pages: 18 Posted: 27 Mar 2002
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE, Sal. Oppenheim Jr. & Cie. and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 202 (115,427)

Abstract:

Mean-Variance hedging, risk management, limited capital, expected squared hedging error, optimal trading strategy, incomplete market, hedging numeraire

18.

What is the Equilibrium Price of Variance Risk? A Long-Run Risks Model with Two Volatility Factors

Number of pages: 48 Posted: 01 Feb 2012 Last Revised: 21 Feb 2013
Nicole Branger and Clemens Völkert
University of Muenster - Finance Center Muenster and University of Muenster - Finance Center Muenster
Downloads 178 (112,247)
Citation 2

Abstract:

long-run risks, variance premium, volatility derivatives

19.

Robust Portfolio Choice with Ambiguity and Learning About Return Predictability

Number of pages: 47 Posted: 09 Jun 2011 Last Revised: 26 Apr 2012
Nicole Branger, Linda Sandris Larsen and Claus Munk
University of Muenster - Finance Center Muenster, Copenhagen Business School and Copenhagen Business School
Downloads 161 (135,758)
Citation 1

Abstract:

return predictability, portfolio choice, ambiguity, learning, robust control

20.

Robust Portfolio Choice with Uncertainty About Jump and Diffusion Risk

Number of pages: 43 Posted: 11 Jan 2012 Last Revised: 25 Apr 2012
Linda Sandris Larsen and Nicole Branger
Copenhagen Business School and University of Muenster - Finance Center Muenster
Downloads 152 (139,334)

Abstract:

ambiguity, jump-diffusion model, robust control, utility loss, market completeness

21.

Asset Pricing Under Uncertainty About Shock Propagation

SAFE Working Paper No. 34
Number of pages: 67 Posted: 28 Nov 2013 Last Revised: 25 Mar 2014
University of Muenster - Finance Center Muenster, Bank of Lithuania - CEFER, Goethe University Frankfurt, Goethe University Frankfurt and Goethe University Frankfurt - Research Center SAFE
Downloads 145 (110,168)

Abstract:

General Equilibrium, Contagion Risk, Partial Information, Filtering, Recursive Utility

22.

When are Static Superhedging Strategies Optimal?

EFMA 2004 Basel Meetings Paper
Number of pages: 34 Posted: 14 May 2004
Nicole Branger, Christian Schlag and Angelika Esser
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE and Sal. Oppenheim Jr. & Cie.
Downloads 136 (164,737)

Abstract:

Incomplete markets, superhedging, stochastic volatility, stochastic jumps

23.

Optimists, Pessimists, and the Stock Market: The Role of Preferences and Market (In)Completeness

Number of pages: 56 Posted: 18 Nov 2013 Last Revised: 01 Oct 2015
Nicole Branger, Patrick Konermann and Christian Schlag
University of Muenster - Finance Center Muenster, BI Norwegian Business School and Goethe University Frankfurt - Research Center SAFE
Downloads 119 (117,621)

Abstract:

Epstein-Zin utility, heterogeneous beliefs, disagreement, long-run risk, market incompleteness

24.
Downloads 112 (193,386)

Learning or Robust Control

Paris December 2007 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 38 Posted: 02 Mar 2007
Nicole Branger, Christian Schlag and Lue Wu
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE and Goethe University Frankfurt - Department of Finance
Downloads 112 (194,254)

Abstract:

Portfolio Selection, Model Uncertainty, Learning, Robust Control

Learning or Robust Control

Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper
Posted: 17 Dec 2007 Last Revised: 14 Oct 2008
Nicole Branger, Christian Schlag and Lue Wu
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE and Goethe University Frankfurt - Department of Finance

Abstract:

Portfolio Selection, Model Uncertainty, Learning, Robust Control

25.

Attainability of European Path-Independent Claims in Incomplete Markets

Number of pages: 17 Posted: 21 Jan 2003
Nicole Branger, Christian Schlag and Angelika Esser
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE and Sal. Oppenheim Jr. & Cie.
Downloads 107 (194,648)
Citation 1

Abstract:

Incomplete markets, attainability, stochastic volatility, jump-diffusion, superhedging

26.

Rational Laymen versus Over-Confident Experts: Who Survives in the Long-Run?

EFA 2006 Zurich Meetings Paper
Number of pages: 37 Posted: 14 Mar 2006
Nicole Branger, Christian Schlag and Lue Wu
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE and Goethe University Frankfurt - Department of Finance
Downloads 105 (194,648)
Citation 2

Abstract:

General Equilibrium, Asset Allocation, Learning, Different Beliefs, Overconfidence

27.

Equilibrium Asset Pricing in Directed Networks with Mutually Exciting Jumps

SAFE Working Paper No. 74, Finance Down Under 2016 Building on the Best from the Cellars of Finance
Number of pages: 49 Posted: 11 Nov 2014 Last Revised: 19 Nov 2016
University of Muenster - Finance Center Muenster, BI Norwegian Business School, Goethe University Frankfurt and Goethe University Frankfurt - Research Center SAFE
Downloads 97 (119,853)

Abstract:

Asset pricing, general equilibrium, recursive preferences, dynamic networks, mutually exciting processes, directed shocks

28.

Tractable Hedging With Additional Instruments

Number of pages: 31 Posted: 05 Mar 2007
Nicole Branger and Antje Brigitte Mahayni
University of Muenster - Finance Center Muenster and Mercator School of Management
Downloads 88 (221,762)
Citation 1

Abstract:

Stochastic Volatility, Robust Hedging, Tractable Hedging, Uncertain Volatility Model, Additional Hedge Instrument

29.

Optimal Portfolios when Variances and Covariances can Jump

Number of pages: 63 Posted: 12 Mar 2015 Last Revised: 25 Dec 2016
University of Muenster - Finance Center Muenster, University of Bamberg, University of Trier and University of Bamberg
Downloads 78 (175,827)
Citation 8

Abstract:

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

30.

On the Optimal Design of Insurance Contracts with Guarantees

Insurance: Mathematics and Economics, Vol. 4, 2010
Number of pages: 25 Posted: 01 Jul 2010 Last Revised: 04 Jul 2010
University of Muenster - Finance Center Muenster, Mercator School of Management and University of Muenster - Finance Center Muenster
Downloads 76 (226,422)
Citation 4

Abstract:

Interest Rate Guarantee, Optimal Portfolio Choice, Utility Loss, Guarantee Scheme, CPPI

31.

Earning the Right Premium on the Right Factor in Portfolio Planning

Number of pages: 38 Posted: 01 Feb 2010 Last Revised: 17 Mar 2010
Nicole Branger and Alexandra Hansis
University of Muenster - Finance Center Muenster and Goethe University Frankfurt - House of Finance
Downloads 75 (236,471)
Citation 2

Abstract:

stochastic volatility, jumps, market prices of risk, asset allocation, optimal exposures

32.

Returns on Cyclical and Defensive Stocks in Times of Scarce Information about the Business Cycle

Number of pages: 43 Posted: 12 Jun 2012 Last Revised: 10 Apr 2013
Nicole Branger, Patrick Konermann and Julian Thimme
University of Muenster - Finance Center Muenster, BI Norwegian Business School and Goethe University Frankfurt - House of Finance
Downloads 74 (206,859)

Abstract:

Asset Pricing, Epstein-Zin utility, Lucas Orchard, Learning, Information Quality

33.

Asset Allocation: How Much Does Model Choice Matter?

Number of pages: 46 Posted: 18 Mar 2009 Last Revised: 03 Feb 2010
Nicole Branger and Alexandra Hansis
University of Muenster - Finance Center Muenster and Goethe University Frankfurt - House of Finance
Downloads 74 (228,058)
Citation 2

Abstract:

stochastic volatility, jumps, market prices of risk, asset allocation, buy-and-hold strategy, model mis-specification

34.

International Stochastic Discount Factors and Stochastic Correlation

Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper
Number of pages: 76 Posted: 23 Sep 2014 Last Revised: 18 Nov 2014
Nicole Branger, Michael Herold and Matthias Muck
University of Muenster - Finance Center Muenster, University of Bamberg, Chair of Banking and Financial Control and University of Bamberg
Downloads 66 (194,648)

Abstract:

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

35.

The Case for Herding is Stronger than You Think

Number of pages: 22 Posted: 21 Jan 2015 Last Revised: 18 Feb 2015
Martin T. Bohl, Nicole Branger and Mark M. Trede
University of Muenster, University of Muenster - Finance Center Muenster and University of Muenster - Faculty of Economics
Downloads 60 (205,429)

Abstract:

Measuring Herding Behaviour, Cross-Sectional Deviation of Stock Returns, US Stock Market

36.

Pricing and Upper Price Bounds of Relax Certificates

Review of Managerial Science, Forthcoming
Number of pages: 30 Posted: 05 Jul 2010
University of Muenster - Finance Center Muenster, Mercator School of Management and University of Muenster - Finance Center Muenster
Downloads 38 (345,174)

Abstract:

Certificates, Barrier Option, Price Bounds

37.

Does Ambiguity about Volatility Matter Empirically?

Number of pages: 57 Posted: 11 Dec 2014 Last Revised: 10 Oct 2016
Nicole Branger, Christian Schlag and Julian Thimme
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE and Goethe University Frankfurt - House of Finance
Downloads 36 (187,216)

Abstract:

Ambiguity, ambiguous volatility, asset pricing, long-run risks

38.

Hedging Under Model Misspecification: All Risk Factors are Equal, But Some are More Equal than Others ...

The Journal of Futures Markets, Vol. 32, No. 5, 397–430 (2012),
Number of pages: 50 Posted: 06 Mar 2008 Last Revised: 29 Jan 2013
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE, Goethe University Frankfurt - Department of Finance and VU University Amsterdam
Downloads 33 (335,585)
Citation 2

Abstract:

Hedging, Model Risk, Risk Measurement, Model Identification, Delta Hedge, Delta-Vega Hedge, Minimum-Variance Hedge

39.

'Nobody is Perfect': Asset Pricing and Long-Run Survival When Heterogeneous Investors Exhibit Different Kinds of Filtering Errors

SAFE Working Paper No. 114
Number of pages: 69 Posted: 12 Aug 2015
Nicole Branger, Christian Schlag and Lue Wu
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE and Goethe University Frankfurt - Department of Finance
Downloads 20 (269,871)

Abstract:

General Equilibrium, Asset Allocation, Learning, Different Beliefs, Over-Confidence

40.

Asset Pricing in Production Economies When Capital Inputs are Heterogeneous

Number of pages: 66 Posted: 14 Oct 2016
Nicole Branger, Nikolai Gräber and Malte Schumacher
University of Muenster - Finance Center Muenster, University of Muenster - Finance Center Muenster and University of Muenster - Finance Center Muenster
Downloads 0 (359,052)

Abstract:

Heterogeneous assets, production economy, long-run risks

41.

Macroeconomic Bond Risks at the Zero Lower Bound

Number of pages: 47 Posted: 12 Aug 2016
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE, University of Wisconsin - Madison and Boston College - Department of Economics
Downloads 0 (320,481)

Abstract:

Macro-Finance Term Structure Models, Zero Lower Bound, Shadow Rates, Shadow Risk Premia

42.

The Effects of Oil Inventories on Growth Prospects, Futures Markets, and Risk Premia

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 68 Posted: 04 Jun 2016 Last Revised: 17 Jan 2017
Nicole Branger, Nikolai Gräber and Malte Schumacher
University of Muenster - Finance Center Muenster, University of Muenster - Finance Center Muenster and University of Muenster - Finance Center Muenster
Downloads 0 (359,052)

Abstract:

Commodities, storage, futures markets, endogenous growth

43.

Optimal Granularity for Portfolio Choice

Number of pages: 25 Posted: 25 Apr 2016 Last Revised: 15 Jul 2016
University of Muenster - Finance Center Muenster, Free University, Amsterdam and Free University of Bolzano/Bozen
Downloads 0 (206,859)

Abstract:

mean-variance optimization, the 1/N rule, parameter uncertainty, optimal portfolio granularity

44.

Correlation Risk and International Portfolio Choice

Number of pages: 53 Posted: 08 Apr 2016
Nicole Branger, Matthias Muck and Stefan Weisheit
University of Muenster - Finance Center Muenster, University of Bamberg and University of Bamberg
Downloads 0 (168,618)

Abstract:

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

45.

Commodities, Financialization, and Heterogeneous Agents

SAFE Working Paper No. 131, BoL Working Paper No. 25/2016
Number of pages: 70 Posted: 07 Apr 2016 Last Revised: 29 Apr 2016
Nicole Branger, Patrick Grüning and Christian Schlag
University of Muenster - Finance Center Muenster, Bank of Lithuania - CEFER and Goethe University Frankfurt - Research Center SAFE
Downloads 0 (188,402)

Abstract:

Commodities, General Equilibrium, Heterogeneous Preferences, Financial Markets

46.

What is the Impact of Stock Market Contagion on an Investor's Portfolio Choice?

Insurance: Mathematics and Economics, Vol. 45, No. 1, 2009
Posted: 17 Mar 2008 Last Revised: 06 Sep 2011
Nicole Branger, Holger Kraft and Christoph Meinerding
University of Muenster - Finance Center Muenster, Goethe University Frankfurt and Goethe University Frankfurt

Abstract:

Asset Allocation, Jumps, Contagion, Model Risk

Other Papers (2)

Total Downloads: 156    Citations: 1
1.

Pricing Two Trees When Trees and Investors are Heterogeneous

EFA 2007 Ljubljana Meetings Paper
Number of pages: 51 Posted: 01 Mar 2007 Last Revised: 26 Mar 2008
Nicole Branger, Christian Schlag and Lue Wu
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE and Goethe University Frankfurt - Department of Finance
Downloads 143
Citation 1

Abstract:

Asset Pricing, Two-Tree Economy, Asymmetric Information, Learning, Long-Run Survival

2.

The Volatility-of-Volatility Term Structure

Number of pages: 72 Posted: 04 Jun 2016
University of Muenster - Finance Center Muenster, University of Muenster, Finance Center Muenster, Students and University of Muenster - Finance Center Muenster
Downloads 0

Abstract:

Option Returns, Term Structure, Volatility, Volatility-of-Volatility, VVIX