Articles in refereed journals

• Drawdown Measures: Are They All the Same?
  Journal of Portfolio Management (forthcoming)
  (with P. Möller and C. Schwehm)
• After the Stock Options Boom: IFRS Adoption and Changes in Equity-Based Pay
  The International Journal of Accounting, Vol. 56 (2021)
  (with R. Gillenkirch and A. Merz)
• Hedging with Regret
  Journal of Behavioral and Experimental Finance, Vol. 22 (2019), p. 192-205.
  (with M.-O. 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 R. Baule & L.-C. 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).