Objective of this paper is to enhance the understanding of modelling jumpsand to analyse the model risk based on the jump component in electricity markets.We provide a common modelling framework that allows to incorporate the main jumppatterns observed in electricity spot prices and compare the...

Credit default swaps (CDSs) are among the most successful financial innovationsof recent years, which is reflected in the rapidly expanding market. CDS trading occurs inthe over-the-counter market, which relies heavily on broker intermediation to arrangetrades. We provide empirical evidence that...

Die Bewertung derivativer Zinsinstrumente erfolgt inder Praxis häufig mit Hilfe des Bewertungsmodells von Black [1]. Dabeiwird die Mean-Reversion-Eigenschaft von Zinssätzen vernachlässigt. Beizahlreichen Finanzinnovationen ist jedoch aufgrund ihrer Struktur davonauszugehen, daß ihr Wert...

Our main goal is to investigate the question of which interest-rate options valuationmodels are better suited to support the management of interest-rate risk. Weuse the German market to test seven spot-rate and forward-rate models with oneand two factors for interest-rate warrants for the period...

This paper investigates the dynamics of the term structure of bond market illiquidity premia using data on German bond market segments which differ only with respect to their liquidity. We analyze the interaction between different parts of the term structure and identify economic factors that...