Olaf Korn

Georg-August-Universität Göttingen

Professor of Finance

Platz der Göttinger Sieben 3

D-37073 Göttingen

Germany

SCHOLARLY PAPERS

20

DOWNLOADS
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CITATIONS
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in Total Papers Citations

45

Scholarly Papers (20)

1.

Pricing and Hedging Oil Futures: A Two-Regime Approach

EFA 0415
Number of pages: 49 Posted: 14 Nov 2000
University of Mannheim - Department of Business Administration and Finance, Georg-August-Universität Göttingen and University of Tuebingen - Faculty of Economics and Social Sciences
Downloads 1,045 (14,763)

Abstract:

2.

Drift Matters: An Analysis of Commodity Derivatives

Number of pages: 38 Posted: 12 Aug 2002
Olaf Korn
Georg-August-Universität Göttingen
Downloads 924 (17,842)
Citation 6

Abstract:

Commodities, Futures, Forwards, Pricing, Hedging

3.

Market Depth and Order Size

Number of pages: 25 Posted: 16 Apr 1997
Olaf Korn and Alexander Kempf
Georg-August-Universität Göttingen and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 915 (17,396)
Citation 27

Abstract:

4.

Portfolio Optimization Using Forward-Looking Information

Forthcoming in: Review of Finance
Number of pages: 36 Posted: 29 Feb 2012 Last Revised: 25 Jan 2014
University of Cologne - Department of Finance & Centre for Financial Research (CFR), Georg-August-Universität Göttingen and Georg-August-Universität Göttingen
Downloads 897 (15,237)
Citation 1

Abstract:

portfolio selection, option-implied information

5.

Liquidity Risk and Hedging Decisions

Number of pages: 25 Posted: 27 Aug 2003
Olaf Korn
Georg-August-Universität Göttingen
Downloads 597 (33,513)
Citation 1

Abstract:

Hedging, Forwards, Collateral, Liquidity, Risk Management

6.
Downloads 579 ( 35,315)
Citation 5

Trading System and Market Integration

96-02
Number of pages: 22 Posted: 01 Feb 1997
Olaf Korn and Alexander Kempf
Georg-August-Universität Göttingen and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 579 (34,801)
Citation 5

Abstract:

Trading System and Market Integration

Journal of Financial Intermediation Vol. 7, No. 3
Posted: 21 Sep 1998
Olaf Korn and Alexander Kempf
Georg-August-Universität Göttingen and University of Cologne - Department of Finance & Centre for Financial Research (CFR)

Abstract:

7.

The Term Structure of Currency Hedge Ratios

Number of pages: 38 Posted: 16 Mar 2008 Last Revised: 23 Jun 2014
Olaf Korn and Philipp Koziol
Georg-August-Universität Göttingen and European Central Bank (ECB)
Downloads 333 (69,920)
Citation 1

Abstract:

Corporate risk management, foreign exchange risk, hedging, cointegrated VAR model

8.

Low-Beta Investment Strategies

28th Australasian Finance and Banking Conference
Number of pages: 41 Posted: 20 Aug 2015 Last Revised: 26 Oct 2016
Olaf Korn and Laura-Chloé Kuntz
Georg-August-Universität Göttingen and Universität Göttingen
Downloads 327 (28,261)

Abstract:

low-beta anomaly, investment strategies, market timing

9.

Which Beta is Best? On the Information Content of Option-Implied Betas

Number of pages: 40 Posted: 08 Jan 2014
Rainer Baule, Olaf Korn and Sven Sassning
University of Hagen, Georg-August-Universität Göttingen and Georg-August-Universität Göttingen
Downloads 290 (53,392)

Abstract:

beta, option-implied information

10.

Do Lead-Lag Effects Affect Derivative Pricing?

EFMA 2002 London Meetings
Number of pages: 37 Posted: 10 Mar 2002
Olaf Korn and Marliese Uhrig-Homburg
Georg-August-Universität Göttingen and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 290 (78,811)

Abstract:

option pricing, lead-lag effects

Risk Management with Default-risky Forwards

Number of pages: 32 Posted: 21 Apr 2004
Olaf Korn
Georg-August-Universität Göttingen
Downloads 148 (157,321)

Abstract:

Risk management, forwards, default risk, hedging, production

Risk Management with Default-Risky Forwards

EFMA 2004 Basel Meetings Paper
Number of pages: 30 Posted: 10 May 2004
Olaf Korn
Georg-August-Universität Göttingen
Downloads 107 (202,891)

Abstract:

Risk management, forwards, default risk, hedging, production

Risk Management with Default-Risky Forwards

Schmalenbach Business Review, Vol. 62, pp. 102-125, April 2010
Number of pages: 24 Posted: 11 May 2010
Olaf Korn
Georg-August-Universität Göttingen
Downloads 30 (387,422)

Abstract:

Default Risk, Forwards, Hedging, Production, Risk Management

Hedging Price Risk When Payment Dates are Uncertain

EFA 2007 Ljubljana Meetings Paper
Number of pages: 33 Posted: 01 Mar 2007
Olaf Korn
Georg-August-Universität Göttingen
Downloads 188 (126,845)

Abstract:

risk management, hedging, forwards, timing uncertainty

Hedging Price Risk When Payment Dates are Uncertain

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 34 Posted: 25 Aug 2008
Olaf Korn
Georg-August-Universität Göttingen
Downloads 77 (252,192)

Abstract:

risk management, hedging, forwards, uncertainty of time

13.

How Firms Should Hedge: An Extension

Number of pages: 9 Posted: 20 Feb 2008
Olaf Korn
Georg-August-Universität Göttingen
Downloads 225 (96,707)
Citation 2

Abstract:

risk management, hedging, quantity risk, exotic derivatives

14.

Designing Robust Stock Option Plans

Number of pages: 31 Posted: 20 Feb 2008
Georg-August-Universität Göttingen, Karlsruhe Institute of Technology (KIT) - Institute for Finance and affiliation not provided to SSRN
Downloads 191 (122,213)
Citation 1

Abstract:

stock option plans, robustness, accounting valuation, corporate governance

15.

Risk-Adjusted Option-Implied Moments

Number of pages: 35 Posted: 03 Jul 2014 Last Revised: 18 May 2016
Felix Brinkmann and Olaf Korn
University of Goettingen (Gottingen) and Georg-August-Universität Göttingen
Downloads 115 (108,240)

Abstract:

option-implied moments, risk adjustment, disappointment aversion, implied preferences

16.

How to Hedge if the Payment Date Is Uncertain

24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 54 Posted: 22 Aug 2011 Last Revised: 14 May 2016
Olaf Korn and Alexander Merz
Georg-August-Universität Göttingen and University of Goettingen (Gottingen)
Downloads 81 (225,362)

Abstract:

risk management, hedging, forwards, uncertainty of time

17.

Forward-Looking Measures of Higher-Order Dependencies with an Application to Portfolio Selection

Number of pages: 35 Posted: 27 Jan 2014 Last Revised: 19 May 2016
University of Goettingen (Gottingen), University of Cologne - Department of Finance & Centre for Financial Research (CFR) and Georg-August-Universität Göttingen
Downloads 78 (193,998)

Abstract:

option-implied information, dependence measures, higher moments, portfolio selection

18.

Desgning Robust Stock Option Plans

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 32 Posted: 25 Aug 2008
Georg-August-Universität Göttingen, affiliation not provided to SSRN and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 69 (261,746)
Citation 1

Abstract:

stock option plans, robustness, accounting valuation, corporate governance

19.

Which Beta is Best? On the Information Content of Option‐Implied Betas

European Financial Management, Vol. 22, Issue 3, pp. 450-483, 2016
Number of pages: 34 Posted: 06 Jun 2016
Rainer Baule, Olaf Korn and Sven Sassning
University of Hagen, Georg-August-Universität Göttingen and University of Göttingen
Downloads 0 (521,734)

Abstract:

beta, option‐implied information

20.

Stock Illiquidity, Option Prices, and Option Returns

Number of pages: 40 Posted: 07 Dec 2015 Last Revised: 03 Jun 2016
Karlsruhe Institute of Technology (KIT) - Institute for Finance, Georg-August-Universität Göttingen and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 0 (125,716)

Abstract:

Illiquidity, equity options, option returns, option strategies