Christian Tallau

Münster University of Applied Sciences

Professor

Corrensstrasse 25

Muenster, 48149

Germany

SCHOLARLY PAPERS

8

DOWNLOADS
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SSRN RANKINGS

Top 16,608

in Total Papers Downloads

2,311

CITATIONS
Rank 30,825

SSRN RANKINGS

Top 30,825

in Total Papers Citations

7

Scholarly Papers (8)

1.

The Pricing of Path-Dependent Structured Financial Retail Products: The Case of Bonus Certificates

Journal of Derivatives, Vol. 18, No. 4, 2011
Number of pages: 41 Posted: 25 Aug 2008 Last Revised: 18 Aug 2011
Rainer Baule and Christian Tallau
University of Hagen and Münster University of Applied Sciences
Downloads 732 (20,188)
Citation 2

Abstract:

certificate, implied volatility, option pricing, stochastic volatility, structured financial product, volatility skew, volatility smile

Stock Price Dynamics of Listed Growth Companies - Evidence from the Options Market

Number of pages: 31 Posted: 19 May 2006 Last Revised: 15 Jul 2009
Rainer Baule and Christian Tallau
University of Hagen and Münster University of Applied Sciences
Downloads 407 (56,890)
Citation 1

Abstract:

growth companies, implied volatility, option pricing, Schwartz-Moon model, stock price dynamics

3.

A Customer-Based Stochastic Valuation Approach for Growth Companies

Number of pages: 22 Posted: 15 Aug 2006
Christian Tallau
Münster University of Applied Sciences
Downloads 298 (77,738)

Abstract:

customer valuation, diffusion models, real options, asset pricing, growth company, valuation

4.

The Information Content of Implied Volatility: Evidence from Australia

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 38 Posted: 27 Aug 2008
Bart Frijns, Christian Tallau and Alireza Tourani-Rad
Auckland University of Technology - Faculty of Business & Law, Münster University of Applied Sciences and Auckland University of Technology - Faculty of Business & Law
Downloads 272 (81,149)
Citation 4

Abstract:

Implied Volatility, Volatility Forecasting, Options

5.

Market Response to Mandatory Pre-Earnings-Announcements - Evidence from Ad-Hoc Disclosures in Germany

Number of pages: 48 Posted: 18 Aug 2010 Last Revised: 12 May 2012
Rainer Baule and Christian Tallau
University of Hagen and Münster University of Applied Sciences
Downloads 153 (131,415)

Abstract:

ad hoc disclosure, earnings announcement, earnings surprise, market reaction

6.

Stock Returns Following Large Price Changes and News Releases – Evidence from Germany

Credit and Capital Markets 49 (1/2016), 57–91,
Number of pages: 32 Posted: 06 Mar 2014 Last Revised: 24 Feb 2017
Rainer Baule and Christian Tallau
University of Hagen and Münster University of Applied Sciences
Downloads 50 (244,592)

Abstract:

overreaction, market efficiency, event study

7.

The Risk Sensitivity of Basel Risk Weights and Loan Loss Provisions: Evidence from European Banks

Number of pages: 44 Posted: 08 Apr 2017
Rainer Baule and Christian Tallau
University of Hagen and Münster University of Applied Sciences
Downloads 0 (401,424)

Abstract:

risk weights, expected losses, loan loss provisioning, banking regulation, capital requirements, Basel II

8.

Revisiting Basel Risk Weights – Cross-Sectional Risk Sensitivity and Cyclicality

Journal of Business Economics 86 (8/2016), 905–931,
Number of pages: 44 Posted: 30 Oct 2015 Last Revised: 24 Feb 2017
Rainer Baule and Christian Tallau
University of Hagen and Münster University of Applied Sciences
Downloads 0 (226,179)

Abstract:

Basel II, Risk weights, Banking regulation, Capital requirements, Pro-cyclicality