| |
|
|
|
2008
Günter Franke
Wieweit tragen rationale Modelle in der Finanzmarktforschung,
Published in: Festschrift für Bitz, edited by A. Oehler (2008)
Jens Jackwerth, George M. Constantinides & Stylianos Perrakis
Mispricing of S&P 500 Index Options,
Forthcoming in: Review of Financial Studies
Ingmar Nolte
Modelling a Multivariate Transaction Process,
Published in: Journal of Financial Econometrics, 6, 143-170
2007
Jens Jackwerth and James E. Hodder
Incentive Contracts and Hedge Fund Management,
Published in: Journal of Financial and Quantitative Analysis 42, No. 4, 811-826
Günter Franke, J. Huang and R. Stapleton
Two-Dimensional Risk Neutral Valuation Relationships for the Pricing of Options,
Published in: Review of Derivatives Research, vol. 9 (2007), 213-237.
Günter Franke and Thomas Weber
Wie werden Collateralized Debt Obligation-Transaktionen gestaltet?,
Published in: Zeitschrift für betriebswirtschaftliche Forschung, Special issue, 57, 2007, 95-123.
Günter Franke
Anforderungen in Zeiten eines beschleunigten „industriellen“ Strukturwandels: Integrierte Finanzwertschöpfung,
Published in: Industrie und Finanzwirtschaft: Partner im Strukturwandel, edited by Institut der Deutschen Wirtschaft, Köln 2007, 24-52
Jens Jackwerth, George M. Constantinides and Stylianos Perrakis
Option Pricing: Real and Risk-Neutral Distributions,
Published in: Handbooks in Operations Research and Management Science: Financial Engineering, Vol. 15, pp. 565-591, eds. J.R. Birge and V. Linetsky, Elsevier, Amsterdam
Katarzyna Bien, Ingmar Nolte and Winfried Pohlmeier
A Multivariate Integer Count Hurdle Model: Theory and Application to Exchange Rate Dynamics,
forthcoming in: L. Bauwens, W. Pohlmeier & D. Veredas (eds.), Recent Developments in High Frequency Financial Econometrics, Studies in Empirical Economics, Springer, Berlin
Ingmar Nolte and Winfried Pohlmeier
Using Forecasts of Forecasters to Forecast,
Published in: International Journal of Forecasting, 23, 15-28
2006
Günter Franke and C. Hopp
M & A-Transaktionen - Fluch oder Segen der Realoptionstheorie?,
Published in: Handbuch Mergers & Acquisitions Management, edited by B. Wirtz, Wiesbaden 2006, 35-56.
Günter Franke
Präferenzfreie Strategien zum Absichern von Wechselkursrisiken,
Published in: Kapitalmarkt, Unternehmensfinanzierung und rationale Entscheidungen, edited by W. Kürsten and B. Nietert, Heidelberg 2006, 149-167.
Günter Franke and W. von Schimmelmann
Finanzplatz Deutschland – Neue Wege für das Bankensystem,
Günter Franke and C. Hopp
M & A-Transaktionen - Fluch oder Segen der Realoptionstheorie?,
Published in: Handbuch Mergers & Acquisitions Management, edited by B. Wirtz, Wiesbaden 2006, 35-56.
Günter Franke and J. P. Krahnen
Default risk sharing between banks and markets: The contribution of collateralized loan obligations,
Published in: The Risks of Financial Institutions, NBER, edited by M. Carey and R. Stulz, University of Chicago Press 2006, 603-631.
Günter Franke, H. Schlesinger and R. Stapleton
Multiplicative Background Risk,
Published in: Management Science, vol 52 (2006), 146-153.
Günter Franke
Transformation nicht-gehandelter in handelbare Kreditrisiken,
Published in: Funktionsfähigkeit und Stabilität von Finanzmärkten, edited by W. Franz, H.J. Ramser and M. Stadler, Tübingen 2005, 151-173.
Valeri Voev, Asgar Lunde:
Integrated Covariance Estimation using High-frequency Data in the Presence of Noise,
Published in: Journal of Econometrics, Volume 5, No. 1, pp. 68-104, Novmeber 2006
Ingmar Nolte, Roman Liesenfeld & Winfried Pohlmeier
Modelling Financial Transaction Price Movements: A Dynamic Integer Count Data Model,
Published in: Empirical Economics, 30(4), 795-825
2005
Jens Jackwerth and James E. Hodder
Why Employee Stock Options could be Worth much more to the Manager than Commonly Estimated,
Published in: Stock Options Watch 3, No. 1, 3-4
2004
Günter Franke, R. Stapleton and M. G. Subrahmanyam
Background Risk and the Demand for State Contingent Claims,
Published in: Economic Theory, vol. 23 (2004), 321-335.
Jens Jackwerth and James E. Hodder
Option-Implied Risk-Neutral Distributions and Risk Aversion,
Research Foundation of AIMR, Charlotteville, USA. The monograph can be ordered through CFA Institute-Publications
Jens Jackwerth and Mark Rubinstein
Recovering Probabilities and Risk Aversion from Option Prices and Realized Returns,
Published in: The Legacy of Fisher Black, editor: Bruce N. Lehmann, Oxford University Press, Oxford.
2003
Jan Beran, Günter Franke, Yuanhua Feng, Dieter Hess, Dirk Ocker
Semiparametric Modeling of Stochastic and Deterministic Trends and Franctional Stationarity,
Published in: Processes with Long-Range Correlations – Theory and Applications, Lecture Notes in Physics 621, edited by G. Rangarajan, M. Ding, Berlin 2003, S. 225-250.
Günter Franke
Changing Horses and Hedging,
Published in: Challenges to the World Economy, edited by R. Pethig and M. Rauscher, Berlin u.a. 2003, 261-275.
2002
2001
Günter Franke, R. Stapleton and M. G. Subrahmanyam
Asset Prices and the Level of Background Risk,
Published in: Beiträge zur Mikro- und zur Makroökonomik, edited by S. Berninghaus and M. Braulke, Berlin u.a. 2001, 157-171.
|
|
| |
|
|
Home
Webmaster