Zinsderivate wie Swaps, Caps, Forwards oder Futures ermöglichen auf vielfältige Weise das Management von Zinsrisiken. Die Bewertung dieser Kontrakte erscheint jedoch meist wesentlich schwieriger und anspruchsvoller als die Bewertung von Aktien- oder Währungsderivaten, da Anleihen besondere...

Zinsderivate wie Swaps, Caps, Forwards oder Futures ermöglichen auf vielfältige Weise das Management von Zinsrisiken. Die Bewertung dieser Kontrakte erscheint jedoch meist wesentlich schwieriger und anspruchsvoller als die Bewertung von Aktien- oder Währungsderivaten, da Anleihen besondere...

Inadequate consideration of inflation when making long-term financial decisions – so-called money illusion – can have severe consequences for future financial wellbeing. Thus, it is essential to understand how different methods of informing private investors about inflation affect their...

We analyze optimal asset allocation in continuous time for a collective of tied-together investors. We rely on a specific collective utility function which dates back to Karatzas (1990), by which the fund manager maximizes the weighted average of expected individual utilities for the investors...

We extract implied price densities from wheat derivative prices during the first seven months of the Ukrainian war. Differences between short- and longterm densities indicate that market expectations about the duration of the conflict changed over time. Under simplifying assumptions, we...

In this paper, we challenge the often implemented herding measure by Chang, Cheng and Khorana (2000). They regress the cross-sectional absolute deviation of returns on the absolute and squared excess market return. A coefficient on the squared excess market return significantly smaller than zero...

Uncertainty and monetary policy decisions in the U.S. interact with one another. Contrary to the common notion that FOMC announcements resolve a non-trivial amount of economic uncertainty, we find that the announcement commands a sizable left-tail premium, which builds up a few days in advance....

Relax certificates are written on multiple underlying stocks. Their payoff depends on a barrier condition and is thus path-dependent. As long as none of the underlying assets crosses a lower barrier, the investor receives the payoff of a coupon bond. Otherwise, there is a cash settlement at...

The paper analyzes insurance contracts where the benefits of the insured depend on the performance of an investment strategy and which guarantee a certain interest rate on the contributions made by the insured. The insured has to decide simultaneously on the investment strategy and the guarantee...