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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.
Twitternde Politiker : Zwischen buntem Rauschen und Bürgernähe 2.0 (2009)
Andreas Jungherr
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.
Temporal information gaps and market efficiency: a dynamic behavioural analysis (2009)
Björn-Christopher Witte
The interplay of theory and observation: a proposition for structured research on human behavior on the web (2009)
Pascal Jürgens Andreas Jungherr Benjamin Heitmann
Parteien, Kandidaten, Themen: Stabilität und Wandel der Determinanten der Wahlentscheidung bei rheinland-pfälzischen Landtagswahlen (2010)
Alexander Glantz Jürgen Maier
Picking the Right One in a Transient World (2010)
Dan Schultz Andreas Jungherr
Wahlforschung (2010)
Harald Schoen

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