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Show/Hide Abstract Improving Discrete Implementation of the Hull and White Two-Factor Model (2005)
Matthias Muck Markus Rudolf
This research analyzes the convergence properties of a discrete implementation of the Hull and White two-factor model. It compares caplet prices using both the discrete valuation algorithm and the analytic solution. Quality of the results depends crucially on the properties of the model parameters. The valuation algorithm may be improved while preserving its computational efficiency. An application of the modified algorithm to the caplet pricing problem indicates that substantially reduced valuation errors.
Show/Hide Abstract Where Should You Buy Your Options? : The Pricing of Exchange-Traded Certificates and OTC Derivatives in Germany (2006)
Matthias Muck
With the expansion of electronic exchanges and the nearly universal access to the Internet, it has become possible for retail investors to buy and sell exchange-traded derivative contracts from their desktops. In Europe this ability has even been extended to allow small investors to purchase over-the-counter exotic option contracts through the Internet. In this article, Muck analyzes the pricing of a variety of web-traded exotic instruments, available in this „market.” As one would expect, the contracts are overpriced on average, relative to theoretical valuations based on exchange-traded options on the same underlying DAX index. A second hypothesis, that overpricing diminishes as the contracts approach maturity receives a little less support.
Show/Hide Abstract Fernleihbestellungen als Anschaffungsvorschläge: Die Nutzung von Fernleihdaten beim Bestandsaufbau (2007)
Christian Wolf Fabian Franke
Fernleihbestellungen dokumentieren eindeutig lokal nicht befriedigte Literaturwünsche vorhandener Benutzer. Durch Auswertung dieser Daten kann die Bibliothek bisher nicht genutze Daten für einen an den Bedürfnissen der Benutzer orientierten Bestandsaufbau nutzbar machen. Der Aufsatz beschreibt dabei den an der Universität Bamberg zur Lösung dieser Frage eingeschlagenen Weg.
Was wissen Bürger über Politik? Zur Erforschung der politischen Kenntnisse in der Bundesrepublik Deutschland 1949-2008 (2009)
Alexander Glantz Severin Bathelt Jürgen Maier
Show/Hide Abstract Locational Price Spreads and the Pricing of Contracts for Difference: Evidence from the Nordic Market (2009)
Jan Marckhoff Jens Wimschulte
In electricity markets, not only does the risk of substantial price variations over time exist, but so does the risk of price variations over space, as prices between locations can differ due to transmission congestion. To manage this risk, Contracts for Difference (CfDs), i.e., forwards on the spread between a particular area price and the (unconstrained) system price, were introduced at the Scandinavian electricity exchange Nord Pool at the end of 2000. We empirically investigate the pricing of these CfDs over the period 2001 through 2006 and find that CfD prices contain significant risk premia. Their sign and magnitude, however, differ substantially between areas and delivery periods, because areas are subject to transmission congestion to a varying extent. While the relation between risk premia and time-to-maturity is not uniform for CfDs, there is a negative relation for implied area and system forwards, which can be explained by the relative hedging demand of market participants. In addition, we find that risk premia of CfDs and implied area forwards vary systematically with the variance and skewness of the underlying spot prices. This confirms both implications of the Bessembinder and Lemmon [Bessembinder, H., Lemmon, M.L., 2002. Equilibrium pricing and optimal hedging in electricity forward markets. Journal of Finance, 57, 1347–1382] model.
Der mediale Attraktivitätsbonus. Zum Einfluss der Attraktivität von Wahlkreiskandidaten auf die Medienberichterstattung (2010)
Marcus Maurer Harald Schoen
Ein Bericht von der Heimatfront: Bürger, Politiker und der Afghanistaneinsatz der Bundeswehr (2010)
Harald Schoen
The political click : political participation through e-petitions in Germany (2010)
Andreas Jungherr Pascal Jürgens
Show/Hide Abstract Trading Strategies with Partial Access to the Derivatives Market (2010)
Matthias Muck
This research analyzes tradingstrategies with derivatives when there are several assets and risk factors. We investigate portfolio improvement if investors have full and partialaccess to the derivativesmarkets, i.e. situations in which derivatives are written on some but not all stocks or risk factors traded on the market. The focus is on markets with jump risk. In these markets the choice of optimal exposures to jump and diffusion risk is linked. In a numerical application we study the potential benefit from adding derivatives to the market. It turns out that e.g. diffusion correlation and volatility or jump sizes may have a significant impact on the benefit of a new derivative product even if market prices of risk remain unchanged. Given the structure of risk investors may have different preferences for making risk factors tradable. Utility gains provided by new derivatives may be both increasing or decreasing depending on the type of contract added.
Decision Support in Financial Markets Using System Dynamics (2010)
Björn-Christopher Witte Christian Suchan

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