Konferenzen

2013
20th Annual Meeting of the German Finance Association, 2013, Wuppertal (27.9. - 28.9.). How does Contagion Risk Affect General Equilibrium Asset Prices? Nicole Branger, Holger Kraft, Christoph Meinerding
2012
11. Kölner Finanzmarktkolloquium, 2012, Köln (16.4.). Partial Information about Contagion Risk and Portfolio Choice Nicole Branger, Holger Kraft, Christoph Meinerding 5th Financial Risks International Forum, 2012, Paris (22.3. - 23.3.). Pricing Two Trees When Mildes Infests the Orchard: How Does Contagion Affect General Equilibrium Asset Prices? Nicole Branger, Holger Kraft, Christoph Meinerding Campus for Finance - Research Conference, 2012, Vallendar, Germany. Asset Allocation in Markets with Contagion: The Interplay between Volatilities, Jump Intensities, and Correlations Patrick Konermann, Christoph Meinerding, Olga Sedova
2011
Joint Workshop of the ECB and the Bank of England: "Asset Pricing Models in the Aftermath of the Financial Crisis", 2011, Frankfurt (24.11.). Pricing Two Trees When Mildes Infests the Orchard: How Does Contagion Affect General Equilibrium Asset Prices? Nicole Branger, Holger Kraft, Christoph Meinerding 14th Conference of the Swiss Society for Financial Market Research (SGF), 2011, Zurich (8.4. - 8.4.). Pricing Two Trees When Mildes Infests the Orchard: How Does Contagion Affect General Equilibrium Asset Prices? Nicole Branger, Holger Kraft, Christoph Meinerding
2010
Deutsche Gesellschaft für Finanzwirtschaft, Jahrestagung, 2010, Hamburg (8.10. - 10.10.). Pricing Two Trees When Mildes Infests the Orchard: How Does Contagion Affect General Equilibrium Asset Prices? Nicole Branger, Holger Kraft, Christoph Meinerding Optimal Portfolio Choice with Contagion Risk and Restricted Information Nicole Branger, Holger Kraft, Christoph Meinerding 6th World Congress of the Bachelier Finance Society, 2010, Toronto (22.6. - 26.6.). Optimal Portfolio Choice with Contagion Risk and Restricted Information Nicole Branger, Holger Kraft, Christoph Meinerding 3rd Financial Risks International Forum, 2010, Paris (25.3. - 26.3.). Optimal Portfolio Choice with Contagion Risk and Restricted Information Nicole Branger, Holger Kraft, Christoph Meinerding 13th Conference of the Swiss Society for Financial Market Research (SGF), 2010, Zurich (19.3. - 19.3.). Optimal Portfolio Choice with Contagion Risk and Restricted Information Nicole Branger, Holger Kraft, Christoph Meinerding Midwest Finance Association Annual Meeting, 2010, Las Vegas (24.2. - 27.2.). Robust Hedging - Simultaneous Use of Hedge Models Nicole Branger, Christian Schlag, David Horn Brown Bag Seminar, 2010, Frankfurt am Main (3.2.). Robust Hedging - Simultaneous Use of Hedge Models Nicole Branger, Christian Schlag, David Horn American Finance Association, Annual Meeting, 2010, Atlanta. Expected Option Returns and the Structure of Jump Risk Premia Nicole Branger, Alexandra Hansis, Christian Schlag
2009
16th Annual Meeting of the German Finance Association (DGF), 2009, Frankfurt am Main (9.10. - 10.10.). Stochastic Volatility and Jumps: Exponentially Affine Yes or No? - An Empricial Analysis of S&P500 Dynamics Katja Ignatieva, Paulo Rodrigues, Norman Seeger Earning the Right Premium on the Right Factor in Portfolio Planning Nicole Branger, Alexandra Hansis The Dynamics of Risk-Neutral Implied Moments: Evidence from Individual Options Alexandra Hansis, Christian Schlag, Grigory Vilkov Asset Allocation in SVCJ Models: How much does model choice matter? Nicole Branger, Alexandra Hansis 2009 European Meeting of the Econometric Society, 2009, Barcelona (23.8. - 27.8.). Stochastic Volatility and Jumps: Exponentially Affine Yes or No? - An Empricial Analysis of S&P500 Dynamics Katja Ignatieva, Paulo Rodrigues, Norman Seeger European Finance Association Annual Meeting, 2009, Bergen (19.8. - 22.8.). Expected Option Returns and the Structure of Jump Risk Premia Nicole Branger, Alexandra Hansis, Christian Schlag 2009 Far East and South Asia Meeting of the Econometric Society, 2009, Tokio (3.8. - 5.8.). Stochastic Volatility and Jumps: Exponentially Affine Yes or No? - An Empricial Analysis of S&P500 Dynamics Katja Ignatieva, Paulo Rodrigues, Norman Seeger 15th International Conference on Computing in Economics and Finance, 2009, University of Technology, Sydney (15.7. - 17.7.). Stochastic Volatility and Jumps: Exponentially Affine Yes or No? - An Empricial Analysis of S&P500 Dynamics Katja Ignatieva, Paulo Rodrigues, Norman Seeger Econometric Society Australasian Meeting, 2009, Canberra (7.7. - 10.7.). Stochastic Volatility and Jumps: Exponentially Affine Yes or No? - An Empricial Analysis of S&P500 Dynamics Katja Ignatieva, Paulo Rodrigues, Norman Seeger 2009 Meeting of the Swiss Society of Economics and Statistics, 2009, Geneva (26.6. - 27.6.). Stochastic Volatility and Jumps: Exponentially Affine Yes or No? - An Empricial Analysis of S&P500 Dynamics Katja Ignatieva, Paulo Rodrigues, Norman Seeger Eastern Finance Association Annual Meeting, 2009, Washington, D.C. (29.4. - 2.5.). Expected Option Returns and the Structure of Jump Risk Premia Nicole Branger, Alexandra Hansis, Christian Schlag Asset Allocation in SVCJ Models: How much does model choice matter? Nicole Branger, Alexandra Hansis 4th Tinbergen Institute Conference: , 2009, Rotterdam (13.3. - 14.3.). What is the Impact of Stock Market Contagion on an Investor's Portfolio Choice? Nicole Branger, Holger Kraft, Christoph Meinerding 58th Annual Meeting of the Midwest Finance Association (MFA) , 2009, Chicago, Illinois (4.3. - 7.3.). Expected Option Returns and the Structure of Jump Risk Premia Nicole Branger, Alexandra Hansis, Christian Schlag Southwestern Finance Association Annual Meeting, 2009, Oklahoma City, Oklahoma (25.2. - 28.2.). Expected Option Returns and the Structure of Jump Risk Premia Nicole Branger, Alexandra Hansis, Christian Schlag Asset Allocation in SVCJ Models: How much does model choice matter? Nicole Branger, Alexandra Hansis 8. Kölner Finanzmarktkolloquium Asset Management, 2009, Köln. Expected Option Returns and the Structure of Jump Risk Premia Nicole Branger, Alexandra Hansis, Christian Schlag Campus for Finance, 2009, Vallendar. Expected Option Returns and the Structure of Jump Risk Premia Nicole Branger, Alexandra Hansis, Christian Schlag What is the Impact of Stock Market Contagion on an Investor's Portfolio Choice? Nicole Branger, Holger Kraft, Christoph Meinerding 12th Conference of the Swiss Society for Financial Market Research (SGF), 2009, Geneva. Asset Allocation in SVCJ Models: How much does model choice matter? Nicole Branger, Alexandra Hansis Expected Option Returns and the Structure of Jump Risk Premia Nicole Branger, Alexandra Hansis, Christian Schlag What is the Impact of Stock Market Contagion on an Investor's Portfolio Choice? Nicole Branger, Holger Kraft, Christoph Meinerding
2008
11th Symposium on Finance, Banking, and Insurance, 2008, Karlsruhe (17.12. - 19.12.). Expected Option Returns and the Structure of Jump Risk Premia Nicole Branger, Alexandra Hansis, Christian Schlag Hedging Under Model Mis-Specification: Which Risk Factors Should You Not Forget? Nicole Branger, Christian Schlag, Eva Schneider, Norman Seeger What is the Impact of Stock Market Contagion on an Investor's Portfolio Choice? Nicole Branger, Holger Kraft, Christoph Meinerding Seminar Series, Universitity of Southern Denmark, 2008, Odense (21.10. - 21.10.). Do Transaction Costs Affect The Optimal Exercise Strategy of American Options? Norman Seeger Deutsche Gesellschaft für Finanzwirtschaft, Jahrestagung, 2008, Münster (10.10. - 11.10.). The Optimal Demand for Retail Derivatives Nicole Branger, Beate Breuer Expected Option Returns and the Structure of Jump Risk Premia Nicole Branger, Alexandra Hansis, Christian Schlag Optimal Life-Cycle Strategies in the Presence of Interest Rate and Inflation Risk Raimond Maurer, Christian Schlag, Michael Stamos 5th World Congress of the Bachelier Finance Society, 2008, London (15.7. - 19.7.). Hedging Under Model Mis-Specification: Which Risk Factors Should You Not Forget? Nicole Branger, Christian Schlag, Eva Schneider, Norman Seeger Do Transaction Costs Affect The Optimal Exercise Strategy of American Options? Norman Seeger Recovery Rates in Credit Default Models. Theory and Application to Corporate Bonds Dirk Herkommer Expected Option Returns and the Structure of Jump Risk Premia Nicole Branger, Alexandra Hansis, Christian Schlag What is the Impact of Stock Market Contagion on an Investor's Portfolio Choice? Nicole Branger, Holger Kraft, Christoph Meinerding Pricing Two Trees When Trees and Investors are Heterogeneous Nicole Branger, Christian Schlag, Lue Wu Swiss Society for Financial Market Research, 2008, Zürich (11.4. - 11.4.). Systematic Risk and Option Prices David Horn, Eva Schneider The Optimal Demand for Retail Derivatives Nicole Branger, Beate Breuer Hedging Under Model Mis-Specification: Which Risk Factors Should You Not Forget? Nicole Branger, Christian Schlag, Eva Schneider, Norman Seeger Pricing Two Trees When Trees and Investors are Heterogeneous Nicole Branger, Christian Schlag, Lue Wu Eastern Finance Association Annual Meeting, 2008, St. Pete Beach, Florida (9.4. - 12.4.). Hedging in the Presence of Microstructural Noise David Horn, Eva Schneider, Grigory Vilkov Mathematical and Statistical Methods for Actuarial Sciences and Finance MAF, 2008, Venedig (26.3. - 28.3.). The Optimal Demand for Retail Derivatives Nicole Branger, Beate Breuer Pricing Two Trees When Trees and Investors are Heterogeneous Nicole Branger, Christian Schlag, Lue Wu Midwest Finance Association Annual Meeting, 2008, San Antonio (27.2. - 1.3.). Systematic Risk and Option Prices David Horn, Eva Schneider Hedging in the Presence of Microstructural Noise David Horn, Eva Schneider, Grigory Vilkov Workshop Finance, Stochastics and Insurance, 2008, Bonn, Hausdorff Research Institute for Mathematics (25.2. - 29.2.). Hedging Under Model Mis-Specification: Which Risk Factors Should You Not Forget? Nicole Branger, Christian Schlag, Eva Schneider, Norman Seeger Pricing Two Trees When Trees and Investors are Heterogeneous Nicole Branger, Christian Schlag, Lue Wu IX. Workshop on Quantitative Finance, 2008, Tor Vergata Universität, Rom. The Optimal Demand for Retail Derivatives Nicole Branger, Beate Breuer Campus for Finance, 2008, Vallendar. Optimal Derivatives Strategies with Discrete Rebalancing Nicole Branger, Beate Breuer, Christian Schlag Campus for Finance, 2008, Vallendar. The Optimal Demand for Retail Derivatives Nicole Branger, Beate Breuer
2007
French Finance Association International Meeting, 2007, Paris (20.12. - 21.12.). Learning or Robust Control Nicole Branger, Christian Schlag, Lue Wu 20th Australasian Finance and Banking Conference, 2007, Sydney (12.12. - 14.12.). Optimal Life-Cycle Strategies in the Presence of Interest Rate and Inflation Risk Raimond Maurer, Christian Schlag, Michael Stamos Southern Finance Association Annual Meeting 2007, 2007, Charleston (13.11. - 17.11.). Recovery Rates in Credit Default Models.Theory and Application to Corporate Bonds Dirk Herkommer Jahrestagung 2007 des Vereins für Socialpolitik, 2007, München (9.10. - 12.10.). Optimal Derivative Strategies with Discrete Rebalancing Nicole Branger, Beate Breuer, Christian Schlag Learning or Robust Control Nicole Branger, Christian Schlag, Lue Wu Hedging Options in Illiquid Markets Burkart Mönch, Norman Seeger Deutsche Gesellschaft für Finanzwirtschaft, Jahrestagung, 2007, Dresden (28.9. - 29.9.). Optimal Derivative Strategies with Discrete Rebalancing Nicole Branger, Beate Breuer, Christian Schlag Pricing Two Trees When Trees and Investors are Heterogeneous Nicole Branger, Christian Schlag, Lue Wu Continuous-time Volatility Components: Option Pricing and Asset Allocation Eva Schneider European Finance Association Annual Meeting, 2007, Ljubljana (22.8. - 25.8.). Pricing Two Trees When Trees and Investors are Heterogeneous Nicole Branger, Christian Schlag, Lue Wu SITE Summer Workshop, 2007, Stanford (29.6. - 30.6.). The Role of U.S. Trading in Pricing Internationally Cross-listed Stocks Joachim Grammig, Michael Melvin, Christian Schlag French Finance Association Annual Meeting - AFFI, 2007, Bordeaux (27.6. - 29.6.). Recovery Rates in Credit Default Models.Theory and Application to Corporate Bonds Dirk Herkommer Eastern Finance Association - 43rd Annual Meeting, 2007, New Orleans, Louisiana (18.4. - 21.4.). Discrete-Time Implementation of Continuous-Time Portfolio Strategies Nicole Branger, Beate Breuer, Christian Schlag 10th Conference of the Swiss Society for Financial Market Research, 2007, Zürich (30.3. - 30.3.). Optimal Derivative Strategies with Discrete Rebalancing Nicole Branger, Beate Breuer, Christian Schlag Discrete-Time Implementation of Continuous-Time Portfolio Strategies Nicole Branger, Beate Breuer, Christian Schlag Hedging Options in Illiquid Markets Burkart Mönch, Norman Seeger Rational Laymen versus Over-Confident Experts: Who Survives in the Long Run? Nicole Branger, Christian Schlag, Lue Wu Swiss Society for Economics and Statistics, Annual Meeting, 2007, St. Gallen (22.3. - 23.3.). Rational Laymen versus Over-Confident Experts: Who Survives in the Long Run? Nicole Branger, Christian Schlag, Lue Wu Midwest Finance Association Annual Meeting, 2007, Minneapolis (21.3. - 24.3.). Discrete-Time Implementation of Continuous-Time Portfolio Strategies Nicole Branger, Beate Breuer, Christian Schlag Southwestern Finance Associations Annual Meeting, 2007, San Diego (USA) (13.3. - 17.3.). Hedging Options in Illiquid Markets Burkart Mönch, Norman Seeger Credit Risk Workshop, 2007, Riezlern. Recovery Rates in Credit Default Models.Theory and Application to Corporate Bonds Dirk Herkommer VIII Workshop on Quantitative Finance, 2007, Venice (26.01. - 27.01.). Rational Laymen versus Over-Confident Experts: Who Survives in the Long Run? Nicole Branger, Christian Schlag, Lue Wu 6. Kölner Finanzmarktkolloquium Asset Management, 2007, Köln (19.01.). Optimal Derivative Strategies with Discrete Rebalancing Nicole Branger, Beate Breuer, Christian Schlag Campus for Finance, 2007, Vallendar (10.01. - 11.01.). Discrete-Time Implementation of Continuous-Time Portfolio Strategies Nicole Branger, Beate Breuer, Christian Schlag Rational Laymen versus Over-Confident Experts: Who Survives in the Long Run? Nicole Branger, Christian Schlag, Lue Wu
2006
Paris International Meeting on Finance, 2006, Paris (18.12. - 19.12.). General Equilibrium with Stochastic Volatility and Jumps Nicole Branger, Christian Schlag, Eva Schneider 19th Australasian Finance and Banking Conference, 2006, Sydney (13.12. - 15.12.). Hedging Options in Illiquid Markets Burkart Mönch, Norman Seeger Bid-Ask Spreads and Asymmetry of Option Prices Raisa Beygelman Southern Finance Association Annual Meeting 2006, 2006, Destin, FL, USA (15.11. - 18.11.). Correlation Effects in Credit Risk Models with Incomplete Accounting Information Dirk Herkommer Deutsche Gesellschaft für Finanzwirtschaft, Jahrestagung, 2006, Oestrich-Winkel (6.10. - 7.10.). Discrete-Time Implementation of Continuous-Time Portfolio Strategies Nicole Branger, Beate Breuer, Christian Schlag Hedging Options in Illiquid Markets Burkart Mönch, Norman Seeger Verein für Socialpolitik, 2006, Bayreuth (26.9. - 29.9.). General Equilibrium with Stochastic Volatility and Jumps Nicole Branger, Christian Schlag, Eva Schneider European Finance Association - 33rd Annual Meeting, 2006, Zurich, Switzerland (23.8. - 26.8.). Rational Laymen versus Over-Confident Experts: Who Survives in the Long Run? Nicole Branger, Christian Schlag, Lue Wu 4th World Congress of the Bachelier Finance Society, 2006, Tokio (17.8. - 20.8.). Correlation Effects in Credit Risk Models with Incomplete Accounting Information Dirk Herkommer European Summer Symposium in Financial Markets, 2006, Gerzensee (17.7. - 29.7.). Rational Laymen versus Over-Confident Experts: Who Survives in the Long Run? Nicole Branger, Christian Schlag, Lue Wu Portuguese Finance Network, 2006, Porto (6.7. - 8.7.). Do the Recovery Rate and the Accounting Regime Matter for Pricing Corporate Bonds and Loans? Evidence from Models with Incomplete Accounting Information Dirk Herkommer Correlation Effects in Credit Risk Models with Incomplete Accounting Information Dirk Herkommer Rational Laymen versus Over-Confident Experts: Who Survives in the Long Run? Nicole Branger, Christian Schlag, Lue Wu European Financial Management Association (EFMA), 2006, Universidad Complutense, Madrid, Spain (28.6. - 1.7.). Do the Recovery Rate and the Accounting Regime Matter for Pricing Corporate Bonds and Loans? Evidence from Models with Incomplete Accounting Information Dirk Herkommer Association Française de Finance Annual Meeting, 2006, Poitiers (26.6. - 27.6.). Discrete-Time Implementation of Continuous-Time Portfolio Strategies Nicole Branger, Beate Breuer, Christian Schlag Rational Laymen versus Over-Confident Experts: Who Survives in the Long Run? Nicole Branger, Christian Schlag, Lue Wu 12th International Conference on Computing in Economics and Finance, 2006, Limassol, Zypern (22.6. - 24.6.). Discrete-Time Implementation of Continuous-Time Portfolio Strategies Nicole Branger, Beate Breuer, Christian Schlag Western Finance Association, 2006, Keystone (21.6. - 24.6.). General Equilibrium with Stochastic Volatility and Jumps Nicole Branger, Christian Schlag, Eva Schneider Financial Management Association, European Meeting, 2006, Stockholm (7.6. - 10.6.). Do the Recovery Rate and the Accounting Regime Matter for Pricing Corporate Bonds and Loans? Evidence from Models with Incomplete Accounting Information Dirk Herkommer 30th Anniversary of the Journal of Banking and Finance Conference, 2006, Peking University, Beijing, China (6.6. - 8.6.). Rational Laymen versus Over-Confident Experts: Who Survives in the Long Run? Nicole Branger, Christian Schlag, Lue Wu Swiss Society for Financial Market Research, 2006, Zürich (7.4.). General Equilibrium with Stochastic Volatility and Jumps Nicole Branger, Christian Schlag, Eva Schneider Do the Recovery Rate and the Accounting Regime Matter for Pricing Corporate Bonds and Loans? Evidence from Models with Incomplete Accounting Information Dirk Herkommer Optimal Portfolios When Volatility can Jump Nicole Branger, Christian Schlag, Eva Schneider 16th Annual Derivative Securities and Risk Measurement Conference, 2006, Arlington, Virginia (7.4. - 8.4.). General Equilibrium with Stochastic Volatility and Jumps Nicole Branger, Christian Schlag, Eva Schneider DekaBank Workshop, 2006, Frankfurt (20.3.). Do the Recovery Rate and the Accounting Regime Matter for Pricing Corporate Bonds and Loans? Evidence from Models with Incomplete Accounting Information Dirk Herkommer Correlation Effects in Credit Risk Models with Incomplete Accounting Information Dirk Herkommer Gesellschaft für Klassifikation (GfKl), 2006, Berlin (8.3. - 10.3.). Optimal Portfolios When Volatility can Jump Nicole Branger, Christian Schlag, Eva Schneider Credit Risk Workshop, 2006, Rietzlern. Do the Recovery Rate and the Accounting Regime Matter for Pricing Corporate Bonds and Loans? Evidence from Models with Incomplete Accounting Information Dirk Herkommer American Finance Association, 2006, Boston. An Economic Motivation for Variance Contracts Nicole Branger, Christian Schlag
2005
Paris International Meeting on Finance, 2005, Paris (19.12. - 20.12.). Optimal Portfolios When Volatility can Jump Nicole Branger, Christian Schlag, Eva Schneider 10th Symposium on Finance, Banking and Insurance, 2005, Karlsruhe (14.12. - 16.12.). An Economic Motivation for Variance Contracts Nicole Branger, Christian Schlag Put Options Are Not Too Expensive - An Analysis of Path Peso Problems Nicole Branger, Christian Schlag Deutsche Gesellschaft für Finanzwirtschaft, Jahrestagung, 2005, Augsburg (7.10. - 8.10.). Optimal Portfolios When Volatility can Jump Nicole Branger, Christian Schlag, Eva Schneider Put Options Are Not Too Expensive - An Analysis of Path Peso Problems Nicole Branger, Christian Schlag Verein für Socialpolitik, 2005, Bonn (27.9. - 30.9.). An Economic Motivation for Variance Contracts Nicole Branger, Christian Schlag Put Options Are Not Too Expensive - An Analysis of Path Peso Problems Nicole Branger, Christian Schlag European Summer Symposium in Financial Markets, 2005, Gerzensee (23.7. - 29.7.). Put Options Are Not Too Expensive - An Analysis of Path Peso Problems Nicole Branger, Christian Schlag Optimal Portfolios When Volatility can Jump Nicole Branger, Christian Schlag, Eva Schneider Quantitative Finance: Developements, Applications and Problems, 2005, Cambridge (4.7. - 8.7.). An Economic Motivation for Variance Contracts Nicole Branger, Christian Schlag European Financial Management Association (EFMA), 2005, Bocconi University, Mailand, Italy (29.6. - 2.7.). An Economic Motivation for Variance Contracts Nicole Branger, Christian Schlag The Navigation of an Iceberg: The Optimal Use of Hidden Orders Angelika Esser, Burkart Mönch Western Finance Association, 2005, Portland (18.6. - 21.6.). The Navigation of an Iceberg: The Optimal Use of Hidden Orders Angelika Esser, Burkart Mönch 22nd Symposium on Banking and Monetary Economics, 2005, Strasbourg (16.6. - 17.6.). Has There Always Been Underpricing and Long-Run Underperformance? IPOs in Germany Before World War I Christian Schlag, Anja Wodrich Verband der Hochschullehrer für Betriebswirtschaft, 2005, Kiel (18.5. - 21.5.). Is Jump Risk Priced? What We Can (and Cannot) Learn From Option Hedging Errors Nicole Branger, Christian Schlag Swiss Society for Financial Market Research, 2005, Zürich (8.4.). Is Jump Risk Priced? What We Can (and Cannot) Learn From Option Hedging Errors Nicole Branger, Christian Schlag Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia? Nicole Branger, Christian Schlag Campus for Finance, 2005, Vallendar. Tractable Hedging – An Implementation of Robust Hedging Strategies Nicole Branger, Antje Mahayni Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia? Nicole Branger, Christian Schlag
2004
Deutsche Gesellschaft für Finanzwirtschaft Jahrestagung, 2004, Tübingen (1.10. - 2.10.). The Navigation of an Iceberg: The Optimal Use of Hidden Orders Angelika Esser, Burkart Mönch The Role of U.S. Trading in Pricing Internationally Cross-listed Stocks Joachim Grammig, Michael Melvin, Christian Schlag When are Static Superhedging Strategies Optimal? Nicole Branger, Angelika Esser, Christian Schlag Is Jump Risk Priced? What We Can (and Cannot) Learn From Option Hedging Errors Nicole Branger, Christian Schlag Tractable Hedging – An Implementation of Robust Hedging Strategies Nicole Branger, Antje Mahayni European Investment Review, 2004, London (9.9. - 10.9.). When are Static Superhedging Strategies Optimal? Nicole Branger, Angelika Esser, Christian Schlag Is Jump Risk Priced? What We Can (and Cannot) Learn From Option Hedging Errors Nicole Branger, Christian Schlag European Finance Association, 2004, Maastricht (18.8. - 21.8.). The Role of U.S. Trading in Pricing Internationally Cross-listed Stocks Joachim Grammig, Michael Melvin, Christian Schlag Tractable Hedging – An Implementation of Robust Hedging Strategies Nicole Branger, Antje Mahayni Third World Congress Bachelier Finance Society, 2004, Chicago (21.7. - 24.7.). Tractable Hedging – An Implementation of Robust Hedging Strategies Nicole Branger, Antje Mahayni European Financial Management Association, 2004, Basel (30.6. - 3.7.). Model Risk: A Conceptual Framework for Risk Measurement and Hedging Nicole Branger, Christian Schlag When are Static Superhedging Strategies Optimal? Nicole Branger, Angelika Esser, Christian Schlag Over-Allotment Options in IPOs on Germany’s Neuer Markt - An Empirical Investigation Stefanie Franzke, Christian Schlag Optimal Liquidation Strategies Burkart Mönch Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia? Nicole Branger, Christian Schlag Tractable Hedging – An Implementation of Robust Hedging Strategies Nicole Branger, Antje Mahayni An Empirical Analysis of the Relation Between Stock and Option Trading Activity Iskra Kalodera, Christian Schlag Western Finance Association, 2004, Vancouver (23.6. - 26.6.). Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia? Nicole Branger, Christian Schlag Financial Management Association, European Meeting, 2004, Zürich (2.6. - 4.6.). When are Static Superhedging Strategies Optimal? Nicole Branger, Angelika Esser, Christian Schlag Tractable Hedging – An Implementation of Robust Hedging Strategies Nicole Branger, Antje Mahayni Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia? Nicole Branger, Christian Schlag Swiss Society for Financial Market Research, 2004, Zürich (2.4. - 2.4.). When are Static Superhedging Strategies Optimal? Nicole Branger, Angelika Esser, Christian Schlag Optimal Liquidation Strategies Burkart Mönch
2003
Australasian Finance Conference, 2003, Sydney (17.12. - 19.12.). Optimal Liquidation Strategies Burkart Mönch 10th Annual Meeting of the Deutsche Gesellschaft für Finanzwirtschaft, 2003, Mainz, Germany (10.10. - 11.10.). Attainability of European Path Independent Claims in Incomplete Markets Nicole Branger, Angelika Esser, Christian Schlag Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia? Nicole Branger, Christian Schlag Over-Allotment Options in IPOs on Germany’s Neuer Markt - An Empirical Investigation Stefanie Franzke, Christian Schlag Verein für Socialpolitik, 2003, Zürich (30.9. - 3.10.). Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia? Nicole Branger, Christian Schlag Why is the Index Smile So Steep? Nicole Branger, Christian Schlag Over-Allotment Options in IPOs on Germany’s Neuer Markt - An Empirical Investigation Stefanie Franzke, Christian Schlag EIASM-Workshop on Dynamic Strategies in Asset Allocation and Risk Management, 2003, Brüssel (26.9. - 27.9.). Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia? Nicole Branger, Christian Schlag European Investment Review, 2003, Genf (25.9. - 26.9.). Why is the Index Smile So Steep? Nicole Branger, Christian Schlag Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia? Nicole Branger, Christian Schlag An Empirical Analysis of the Relation Between Stock and Option Trading Activity Iskra Kalodera, Christian Schlag Money Macro and Finance Research Group, 2003, Cambridge (10.9. - 12.9.). Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia? Nicole Branger, Christian Schlag Why is the Index Smile So Steep? Nicole Branger, Christian Schlag Gesellschaft für Operations Research, 2003, Heidelberg (3.9. - 5.9.). Tractable Hedging – An Implementation of Robust Hedging Strategies Nicole Branger, Antje Mahayni European Financial Management Association, 2003, Helsinki (25.6. - 28.6.). Why is the Index Smile So Steep? Nicole Branger, Christian Schlag Pricing Derivatives Using Cross-Entropy – An Economic Analysis Nicole Branger Modeling Feedback Effects with Stochastic Liquidity Angelika Esser, Burkart Mönch 10th Global Finance Conference, 2003, Frankfurt (15.6. - 17.6.). Why is the Index Smile So Steep? Nicole Branger, Christian Schlag Modeling Feedback Effects with Stochastic Liquidity Angelika Esser, Burkart Mönch General Valuation Principles for Arbitrary Payoffs and Applications to Power Options under Stochastic Volatility Models Angelika Esser Swiss Society for Financial Market Research, 2003, Zürich (4.4.). Explaining Credit Default Swap Premia Christoph Benkert Attainability of European Path Independent Claims in Incomplete Markets Nicole Branger, Angelika Esser, Christian Schlag Why is the Index Smile So Steep? Nicole Branger, Christian Schlag Modeling Feedback Effects with Stochastic Liquidity Angelika Esser, Burkart Mönch General Valuation Principles for Arbitrary Payoffs and Applications to Power Options under Stochastic Volatility Models Angelika Esser Frankfurt MathFinance Workshop, 2003, Frankfurt (2.4. - 4.4.). Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia? Nicole Branger, Christian Schlag ERI / CfS Conference on Pensions and Long Run Investments, 2003, Frankfurt (20.3. - 20.3.). Money Back Guarantee for Individual Pension Accounts: Evidence from the German Pension Reform Raimond Maurer, Christian Schlag Gesellschaft für Klassifikation (GfKl), 2003, Cottbus (12.3. - 14.3.). Why is the Index Smile So Steep? Nicole Branger, Christian Schlag
2002
Symposium on Finance, Banking, and Insurance, 2002, Karlsruhe (11.12. - 13.12.). Why is the Index Smile So Steep? Nicole Branger, Christian Schlag Pricing Derivatives Using Cross-Entropy – An Economic Analysis Nicole Branger Deutsche Gesellschaft für Finanzwirtschaft, 2002, Köln (4.10. - 5.10.). General Valuation Principles for Arbitrary Payoffs and Applications to Power Options under Stochastic Volatility Models Angelika Esser Option Betas Nicole Branger, Christian Schlag Price Impacts of Option Volume Christian Schlag, Hans Stoll International Conference on Operations Research, 2002, Klagenfurt (2.9. - 5.9.). Pricing Derivatives Using Cross-Entropy – An Economic Analysis Nicole Branger European Finance Association, Doctoral Tutorial, 2002, Berlin (21.8.). Modeling Feedback Effects with Stochastic Liquidity Angelika Esser, Burkart Mönch Gesellschaft für Klassifikation, 2002, Mannheim (22.7. - 24.7.). Quadratic Hedging Julia Bondarenko, Nicole Branger, Angelika Esser, Christian Schlag Annual Conference of the Pension Research Council, 2002, Wharton School (22.4. - 23.4.). Money Back Guarantee for Individual Pension Accounts: Evidence from the German Pension Reform Raimond Maurer, Christian Schlag Annual Meeting of the European Investment Review, 2002, London. Money Back Guarantee for Individual Pension Accounts: Evidence from the German Pension Reform Raimond Maurer, Christian Schlag
2001
Deutsche Gesellschaft für Finanzwirtschaft, 2001, Wien. Pricing Derivatives Using Cross-Entropy – An Economic Analysis Nicole Branger Price Discovery in International Equity Trading Joachim Grammig, Michael Melvin, Christian Schlag
1999
8th Symposium on Finance, Banking, and Insurance, 1999, Karlsruhe (15.12. - 17.12.). Untersuchung der Preisführerschaft im DAX am Beispiel eines Indexzertifikates Nicole Branger, Tobias Kirchner


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