Articles in refereed journals


  • Hedging with Regret
    Journal of Behavioral and Experimental Finance, Vol. 22 (2019), p. 192-205.
    (with Marc Oliver Rieger)
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  • How to Hedge if the Payment Date is Uncertain?
    Journal of Futures Markets, Vol. 39 (2019), p. 481-498.
    (with Alexander Merz)
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  • Markowitz with Regret
    Journal of Economic Dynamics and Control, Vol. 103 (2019), p.1-24.
    (with Rainer Baule & Laura-Chloé Kuntz)
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  • Risk-adjusted option-implied moments
    Review of Derivatives Research, Vol.21 (2018), p.149–173.
    (with F Brinkmann)
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  • Which Beta is Best? On the Information Content of Option-implied Betas
    European Financial Management, Vol. 22 (2016), p. 450-483.
    (with R. Baule and S. Saßning)
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  • Volatility in Oilseeds and Vegetable Oils Markets: Drivers and Spillovers
    Journal of Agricultural Economics, Vol. 67 (2016), p. 685-705.
    (with B. Brümmer, T. J. Jaghdani and K. Schlüßler)
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  • Portfolio Optimization Using Forward-Looking Information
    Review of Finance, Vol. 19 (2015), p. 467-490.
    (with A. Kempf and S. Saßning)
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  • The Term Structure of the Illiquidity Premia
    Journal of Banking and Finance, Vol. 36 (2012), p. 1381–-1391.
    (with A. Kempf and M. Uhrig-Homburg)
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    • Robust Stock Option Plans
      Review of Quantitative Finance and Accounting, Vol. 39 (2012), p. 77-103.
      (with C. Paschke and M. Uhrig-Homburg)
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    • The Term Structure of Currency Hedge Ratios
      International Journal of Theoretical and Applied Finance, Vol. 14 (2011), p. 525 – 557.
      (with P. Koziol)
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    • Risk Management with Default-risky Forwards
      Schmalenbach Business Review, Vol. 62 (2010), p. 102 – 125.
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    • How Firms Should Hedge: An Extension
      Journal of Futures Markets, Vol. 30 (2010), p. 834-845.
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    • Do Lead-Lag Effects Affect Derivative Pricing?
      Journal of Derivatives, Vol. 15 (2007), p. 34-51.
      (with M. Uhrig-Homburg)
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    • Bond Portfolio Optimization: A Risk-Return Approach
      Journal of Fixed Income, Vol. 15 (2006), p. 48-60.
      (with C. Koziol)
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    • Drift Matters: An Analysis of Commodity Derivatives
      Journal of Futures Markets, Vol. 25 (2005), p. 211-241.
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    • Hedging Long-Term Forwards with Short-Term Futures: A Two-Regime Approach
      Review of Derivatives Research, Vol. 7 (2004), p. 185-212.
      (with W. Bühler and R. Schöbel)
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    • Liquidity Risk and Hedging Decisions
      Zeitschrift für Betriebswirtschaft, Vol. 74 (2004), p. 837-857.
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    • Absicherung langfristiger Lieferverpflichtungen mit kurzfristigen Futures: Möglich oder Unmöglich?
      Zeitschrift für betriebswirtschaftliche Forschung, Vol. 52 (2000), p. 315-347.
      (with W. Bühler).
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    • Market Depth and Order Size
      Journal of Financial Markets, Vol. 2 (1999), p. 29-48.
      (with A. Kempf).
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    • Model Selection in Neural Networks
      Neural Networks, Vol. 12 (1999), p. 309-323.
      (with U. Anders).
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    • Preisprognosen mit Handelsvolumen
      Finanzmarkt und Portfolio Management, Vol. 13 (1999), p. 178-193.
      (with A. Kempf).
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    • Trading System and Market Integration
      Journal of Financial Intermediation, Vol. 7 (1998), p. 220-239.
      (with A. Kempf).
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    • Improving the Pricing of Options: A Neural Network Approach
      Journal of Forecasting, Vol. 17 (1998), Special Issue: Neural Networks in Financial Economics, p. 369-388.
      (with U. Anders and C. Schmitt).
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    • Ermittlung von Eigenkapitalanforderungen mit "Internen Modellen"
      Die Betriebswirtschaft, Vol. 58 (1998), p. 64-85.
      (with W. Bühler and A. Schmidt)
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    • Preisführerschaft und imperfekte Arbitrage
      Zeitschrift für Betriebswirtschaft, Vol. 66 (1996), p. 837-859.
      (with A. Kempf).
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      Monographs


      • Bewertung und Hedging von Terminkontrakten auf Mineralöl
        ZEW Wirtschaftsanalysen / Schriftenreihe des ZEW, Band 45,
        Nomos, Baden-Baden, (2000).
      • Wirkungszusammenhänge zwischen Zinsen und makroökonomischer Aktivität - Eine Untersuchung zu den binnen- und außenwirtschaftlichen Effekten der deutschen Geldpolitik
        Schriftenreihe des ZEW, Band 2, Nomos, Baden-Baden, (1995)
        (with J. Kaehler).



      Articles in books


      • Backtesting von Kreditrisikomodellen
        in: Oehler, A. (Hrsg.) (2002): Kreditrisikomanagement:
        Kernbereiche, Aufsicht und Entwicklungstendenzen,
        Schäffer-Poeschel, Stuttgart, S. 183-217.
        (with W. Bühler, C. Engel and G. Stahl)
      • Rollierende Absicherung langfristiger Lieferverpflichtungen:
        Hat die Metallgesellschaft ihre Positionen zu früh aufgelöst?

        in: Johanning, L. und B. Rudolph (Hrsg.) (2000): Handbuch Risikomanagement, Uhlenbruch, Bad Soden, S. 1175-1213.
        (with W. Bühler).
      • Modelling Neural Networks with Statistical Hypotheses Tests
        in: Kasabov, N. et al. (Eds.) (1997): Progress in Connectionist-Based Information Systems, Springer, New York, p. 576-579.
        (with U. Anders).
      • Die Nachbildung von Aktienindizes: Ein Vergleich verschiedener Verfahren
        in: Schröder, M. (Hrsg., 1996): Quantitative Verfahren im Finanzbereich: Methoden und Anwendungen, ZEW Wirtschaftsanalysen, Band 5, Nomos,
        Baden-Baden, S. 37-64.
        (with C. Schmitt).