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Optimal portfolios when variances and covariances can jump

Branger, Nicole; Muck, Matthias; Seifried, Frank Thomas; … - In: Journal of economic dynamics & control 85 (2017), pp. 59-89

Persistent link: https://www.econbiz.de/10011919303

Spread ladder swaps : an analysis of controversial interest rate derivatives

Muck, Matthias - In: Financial markets and portfolio management 26 (2012) 2, pp. 269-289

Persistent link: https://www.econbiz.de/10009553642

Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities

Muck, Matthias - In: Review of derivatives research 25 (2022) 3, pp. 293-314

Persistent link: https://www.econbiz.de/10013457626

Bewertung nicht redundanter Finanzderivate mittels Entropie und Cross-Entropie

Branger, Nicole - 2002 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001653604

Pricing derivative securities using cross-entropy : an economic analysis

Branger, Nicole - In: International journal of theoretical and applied finance 7 (2004) 1, pp. 63-81

Persistent link: https://www.econbiz.de/10001946395

Estimation of rare disaster concerns from option prices : an arbitrage-free RND-based smile construction approach

Albert, Pascal; Herold, Michael; Muck, Matthias - In: The journal of futures markets 43 (2023) 12, pp. 1807-1835

Persistent link: https://www.econbiz.de/10014433013

Jump Risk Premia in Short-Term Spread Options : Evidence from the German Electricity Market

Marckhoff, Jan - 2009

This paper analyzes the valuation of day-ahead Physical Transmission Rights (PTRs) on the German-Dutch interconnector. From a financial perspective, PTRs are options written on the difference between the German and Dutch hourly electricity prices. We propose a model for the valuation of...

Persistent link: https://www.econbiz.de/10013159854

Optionsbewertung mit stochastischer Volatilität : Implementation des Heston-Modells

Muck, Matthias; Rudolf, Markus - In: Wirtschaftswissenschaftliches Studium : WiSt ; … 35 (2006) 6, pp. 325-330

Persistent link: https://www.econbiz.de/10003324884

The pricing of electricity forwards

Muck, Matthias; Rudolf, Markus - In: The handbook of commodity investing, (pp. 596-612). 2008

Persistent link: https://www.econbiz.de/10003795216

Derivatebewertung mit dem LIBOR-Marktmodell

Muck, Matthias; Rudolf, Markus - In: Kapitalmarkt, Unternehmensfinanzierung und rationale …, (pp. 453-472). 2006

Persistent link: https://www.econbiz.de/10003236939