The introduction of the accounting standards SFAS 123R and IFRS 2 forexecutive stock options has led to an important change. As companies arenow forced to value their stock options at grant date for accounting purposes,the robustness of prices against the choice of certain valuation models...

This paper analyzes the investment timing of firms facing two dimensions of financingconstraints: Liquidity constraints and capital market frictions inducing financing costs. We showthat liquidity constraints are not sufficient to explain voluntary investment delay. However, whenadditionally...

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...

We analyze the term structure of illiquidity premiums as the difference between the yield curves of two major bond segments that are both government guaranteed but differ in their liquidity. We show that its characteristics strongly depend on the economic situation. In crisis times, illiquidity...

Why do investors entrust active mutual fund managers with large sums of money while receiving negative excess returns on average? Our explanation is that investors have a coarser information set than fund managers which leads them to systematically misinterpret managers' skill. When investors...

Renewables introduce new weather-induced patterns and risks for market participants active in the energy commodity sector. We present a flexible framework for power spot prices that is capable of incorporating a weather model for the joint distribution of local weather conditions. This not only...

Renewables introduce new weather-induced patterns and risks for market participants active in the energy commodity sector. We present a flexible framework for power spot prices that is capable of incorporating a weather model for the joint distribution of local weather conditions. This not only...