Nicole Branger

University of Muenster - Finance Center Muenster

SCHOLARLY PAPERS

56

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113

Scholarly Papers (56)

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 954 (22,797)
Citation 8

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

2.

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 666 (37,650)
Citation 5

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

3.

The Volatility-of-Volatility Term Structure

Paris December 2017 Finance Meeting EUROFIDAI - AFFI
Number of pages: 80 Posted: 08 Jun 2017 Last Revised: 09 Jan 2018
University of Muenster - Finance Center Muenster, University of Muenster - Finance Center Muenster and University of Muenster - Finance Center Muenster
Downloads 500 (54,608)
Citation 5

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

4.

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 Deutsche Bundesbank
Downloads 495 (55,293)
Citation 3

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

5.

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 477 (57,984)
Citation 8

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Option pricing, jump-diffusion, smile, implied volatility

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 429 (65,959)
Citation 8

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

7.

Idiosyncratic Volatility, Its Expected Variation, and the Cross-Section of Stock Returns

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 59 Posted: 01 Jul 2017 Last Revised: 05 Jun 2018
University of Muenster - Finance Center Muenster, University of Muenster - Finance Center Muenster and University of Muenster - Finance Center Muenster
Downloads 420 (67,648)
Citation 2

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Options, Stock Returns, Idiosyncratic Volatility, Volatility-of-Volatility

8.

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 410 (69,672)

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

9.

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 398 (72,196)
Citation 4

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

10.

Equilibrium Asset Pricing in Directed Networks

SAFE Working Paper No. 74, Finance Down Under 2016 Building on the Best from the Cellars of Finance
Number of pages: 73 Posted: 11 Nov 2014 Last Revised: 29 Oct 2018
University of Muenster - Finance Center Muenster, BI Norwegian Business School, Deutsche Bundesbank and Goethe University Frankfurt - Research Center SAFE
Downloads 397 (72,401)
Citation 1

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Directed cash flow networks, directed shocks, mutually exciting processes, recursive preferences

11.

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 353 (83,013)

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asset pricing, option pricing, beta, risk management

12.

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 344 (85,536)
Citation 2

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

13.

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 327 (90,528)
Citation 4

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

14.

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 Deutsche Bundesbank
Downloads 325 (91,153)
Citation 5

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

15.

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 315 (94,307)
Citation 22

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

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 173 (170,936)
Citation 1

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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 141 (203,372)
Citation 2

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

17.

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 275 (109,213)

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

18.
Downloads 275 (109,213)
Citation 1

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 138 (206,998)
Citation 1

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Optimal investment, jumps, stochastic volatility, welfare loss

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 137 (208,247)
Citation 1

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Optimal investment, jumps, stochastic volatility, welfare loss

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 165 (178,234)
Citation 5

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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 110 (246,253)
Citation 4

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

20.

Optimists and Pessimists in (In)Complete Markets

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, SAFE Working Paper No. 252
Number of pages: 55 Posted: 18 Nov 2013 Last Revised: 25 Jun 2019
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 273 (110,074)
Citation 2

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Market (in)completeness, heterogeneous beliefs, jumps in the long-run growth rate, jumps in aggregate consumption, recursive preferences

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 - Center of Excellence for Finance and Economic Research (CEFER), Goethe University Frankfurt, Deutsche Bundesbank and Goethe University Frankfurt - Research Center SAFE
Downloads 259 (116,268)

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

22.

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 253 (119,196)
Citation 5

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long-run risks, variance premium, volatility derivatives

23.

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 210 (143,116)

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

24.

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 202 (148,413)

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

25.

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 199 (150,425)
Citation 7

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

26.

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 188 (158,571)
Citation 18

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

27.

Optimal Granularity for Portfolio Choice

Number of pages: 53 Posted: 25 Apr 2016 Last Revised: 11 Jan 2019
University of Muenster - Finance Center Muenster, University of Pavol Jozef Šafárik in Kosice and Free University of Bolzano Bozen
Downloads 187 (159,355)
Citation 1

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

28.

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 - Center of Excellence for Finance and Economic Research (CEFER) and Goethe University Frankfurt - Research Center SAFE
Downloads 187 (159,355)

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Commodities, General Equilibrium, Heterogeneous Preferences, Financial Markets

29.

Monopoly Power in the Oil Market and the Macroeconomy

Number of pages: 58 Posted: 26 Oct 2017 Last Revised: 04 Dec 2018
Nicole Branger, René Marian Flacke and Nikolai Gräber
University of Muenster - Finance Center Muenster, University of Muenster - Finance Center Muenster and University of Muenster - Finance Center Muenster
Downloads 186 (160,137)

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Monopoly, OPEC, Oil Shocks, VAR, DSGE, Real Business Cycle

30.

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 147 (196,109)
Citation 2

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

31.

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 141 (202,835)
Citation 1

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

32.

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

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 66 Posted: 04 Jun 2016 Last Revised: 29 Sep 2017
Nicole Branger, Nikolai Gräber and Malte Schumacher
University of Muenster - Finance Center Muenster, University of Muenster - Finance Center Muenster and University of Zurich - Department of Business Administration
Downloads 140 (204,034)
Citation 1

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Commodities, storage, futures markets, endogenous growth

33.

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 139 (205,233)

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Incomplete markets, superhedging, stochastic volatility, stochastic jumps

34.

Hedging Recessions

Number of pages: 47 Posted: 08 Sep 2017 Last Revised: 13 Jun 2018
Nicole Branger, Linda Sandris Larsen and Claus Munk
University of Muenster - Finance Center Muenster, Copenhagen Business School and Copenhagen Business School
Downloads 132 (213,932)

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Unemployment risk, Business cycle, Life-cycle model, Portfolio planning

35.

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 129 (217,782)

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

36.
Downloads 116 (235,923)

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 116 (237,051)

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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

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Portfolio Selection, Model Uncertainty, Learning, Robust Control

37.

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 116 (235,923)
Citation 1

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

38.

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 116 (235,923)

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

39.

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 Zurich - Department of Business Administration
Downloads 110 (244,946)

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Heterogeneous assets, production economy, long-run risks

40.

Level and Slope of Volatility Smiles in Long-Run Risk Models

SAFE Working Paper No. 186
Number of pages: 98 Posted: 06 Nov 2017 Last Revised: 14 Dec 2017
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 104 (254,786)
Citation 1

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Asset pricing, Epstein-Zin preferences, jump risk, stochastic volatility, level and slope of implied volatility smile

41.

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 101 (259,953)
Citation 5

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

42.

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 96 (268,712)
Citation 1

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

43.

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 Johns Hopkins University - Carey Business School
Downloads 94 (272,377)
Citation 3

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

44.

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 92 (276,190)
Citation 4

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

45.

'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 90 (280,019)
Citation 3

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

46.

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 87 (286,085)
Citation 3

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

47.

Don’t Ignore Inflation Ignorance: An Experimental Analysis of the Degree of Money Illusion in Individual Decision Making

Number of pages: 61 Posted: 13 Feb 2018 Last Revised: 06 Jul 2019
Nicole Branger, Henning Cordes and Thomas Langer
University of Muenster - Finance Center Muenster, University of Muenster - Finance Center and University of Muenster - Finance Center
Downloads 86 (288,187)
Citation 1

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Money illusion, financial decision making, asset allocation.

48.

The Fed Call: FOMC Announcement and Stock Market Uncertainty

Number of pages: 45 Posted: 14 May 2019 Last Revised: 20 May 2019
Heiner Beckmeyer, Nicole Branger and Thomas Grünthaler
University of Muenster - Finance Center Muenster, University of Muenster - Finance Center Muenster and University of Muenster - Finance Center Muenster
Downloads 61 (461,580)

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Macroeconomic News Announcements, Monetary Policy Decisions, FOMC, Stock Market Uncertainty, Jump Risks, Volatility Risks, Option-Implied Information, High-Frequency Options Data

49.

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 61 (349,039)
Citation 7

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

50.

The Variance Process Implied in VIX Options: Affine vs. Non-Affine Models

Number of pages: 41 Posted: 17 Nov 2017
University of Muenster - Finance Center Muenster, University of Muenster - Finance Center Muenster and University of Muenster - Finance Center Muenster
Downloads 60 (351,916)

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Jump-diffusion model, volatility derivatives, VIX options, non-affine diffusion

51.

Precautionary Saving and Insurance Under Generalized Mean-Variance Preferences

Number of pages: 31 Posted: 30 Mar 2017
University of Muenster - Finance Center Muenster, Mercator School of Management, Tilburg School of Economics and Management and University of Duisburg-Essen - Mercator School of Management
Downloads 55 (367,088)

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Precautionary saving, insurance, mean variance preferences

52.

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 40 (418,691)

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Certificates, Barrier Option, Price Bounds

53.

Equilibrium Asset Pricing in Directed Networks

Deutsche Bundesbank Discussion Paper No. 37/2018
Number of pages: 47 Posted: 26 Sep 2018 Last Revised: 21 Feb 2019
University of Muenster - Finance Center Muenster, Deutsche Bundesbank, BI Norwegian Business School and Goethe University Frankfurt - Research Center SAFE
Downloads 16 (537,653)

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directed cash flow networks, directed shocks, mutually exciting processes, recursive preferences

54.

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

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

55.

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

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

56.

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 Deutsche Bundesbank

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Asset Allocation, Jumps, Contagion, Model Risk

Other Papers (1)

Total Downloads: 150
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 150

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