Publications

Books

Option Pricing and Risk Management based on Mixtures of Distributions. Theoretical Analysis and Empirical Evaluation of the European Derivatives Market (in German), Wiesbaden 2003.
Numerical Methods in Option Pricing (in German), Karlsruhe 2000.

Articles in refereed journals

Pairs Trading in the German Stock Market: Is There Still Life in the Old Dog?, forthcoming in: Financial Markets and Portfolio Management.
Quantum Computing for Financial Risk Measurement, Quantum Information Processing, Vol. 22, 2023, Art. 51 (with Joe Moorhouse).
Predicting Stock Index Changes, The Journal of Portfolio Management, Vol. 48, No. 7, 2022, pp. 175-194.
Sports Prediction and Betting Models in the Machine Learning Age: The Case of Tennis, Journal of Sports Analytics, Vol. 7, No. 2, 2021, pp. 99-117.
Computational Challenges for Value-at-Risk and Expected Shortfall: Chebyshev Interpolation to the Rescue?, International Journal of Financial Engineering and Risk Management, Vol. 8, No. 2, 2021, pp. 101-115.
Machine Learning in Risk Measurement: Gaussian Process Regression for Value-at-Risk and Expected Shortfall, Journal of Risk Management in Financial Institutions, Vol. 12, 2019, pp. 374-383.
Model Risk in the Fundamental Review of the Trading Book: The Case of the Default Risk Charge, Journal of Risk Model Validation, Vol. 12, No. 4, 2018, pp. 1-26 (with Mirela Predescu).
Default Risk Charge: Modeling Framework for the “Basel” Risk Measure, Journal of Risk, Vol. 19, No. 4, 2017, pp. 23-50 (with Mirela Predescu).
Capturing Initial Margin in Counterparty Risk Calculations, Journal of Risk Management in Financial Institutions, Vol. 10, 2017, pp. 118-129 (with Lee Moran).
Contingent Convertible (CoCo) Bonds: A First Empirical Assessment of Selected Pricing Models, Financial Analysts Journal, Vol. 70, March/April 2014, pp. 59-77 (with Nastja Bethke).
IRC and CRM: Modelling Framework for the “Basel 2.5” Risk Measures, European Financial Management, Vol. 19, 2013, pp. 801-829 (with Jean-Baptiste Brunac and Vladimir Chorniy).
Capturing Credit Correlation between Counterparty and Underlying, Risk, Vol. 24, 2011, pp. 70-74 (with Kirk Buckley and Vladimir Chorniy).
The Valuation of Multivariate Equity Options by Means of Copulas: Theory and Application to the European Derivatives Market, Journal of Derivatives and Hedge Funds, Vol. 16, 2011, pp. 303-318 (with Ivan Slavchev).
The Pricing of Dividend Futures in the European Market: A First Empirical Analysis, Journal of Derivatives and Hedge Funds, Vol. 16, 2010, pp. 136-143 (with Jens Wimschulte).
Option Returns versus Asset-Pricing Theory: Evidence from the European Option Market, Journal of Derivatives and Hedge Funds, Vol. 13, 2007, pp. 170-176.
The Pricing of Leverage Products: An Empirical Investigation of the German Market for ‘Long’ and ‘Short’ Stock Index Certificates, Journal of Banking and Finance, Vol. 31, 2007, pp. 735-750 (with Pavel A. Stoimenov).
The Pricing of Electricity Futures: Evidence from the European Energy Exchange, The Journal of Futures Markets, Vol. 27, 2007, pp. 387-410 (with Jens Wimschulte).
The Informational Content of Option-implied Distributions: Evidence from the Eurex Index and Interest Rate Futures Options Market, Global Finance Journal, Vol. 17, 2006, pp. 50-74 (with Klaus Röder).
Option Pricing based on Mixtures of Distributions: Evidence from the Eurex Index and Interest Rate Futures Options Market, Derivatives Use, Trading and Regulation, Vol. 11, 2005, pp. 213-231.
Are Structured Products “Fairly” Priced? An Analysis of the German Market for Equity-linked Instruments, Journal of Banking and Finance, Vol. 29, 2005, pp. 2971-2993 (with Pavel A. Stoimenov).
Price and Volume Effects Associated with 2003’s Major Reorganization of German Stock Indices, Financial Markets and Portfolio Management, Vol. 19, 2005, pp. 61-98 (with Jens Wimschulte).
The Pricing of Structured Products in Germany, The Journal of Derivatives, Vol. 11, Fall 2003, pp. 55-69 (with Carsten Erner and Klaus Röder).
Reverse Convertibles and Discount Certificates in the Case of Constant and Stochastic Volatilities, Financial Markets and Portfolio Management, Vol. 17, 2003, pp. 76-102 (with Klaus Röder).
GDP-linked Bonds: Concept, Economic Analysis, and Valuation (in German), Finanz Betrieb, Vol. 10, 2008, pp. 507-520 (with Andreas Trauten and Jens Wimschulte).
The CX Commodity Index Family of Deutsche Börse: Overview and First Analysis (in German), Bankarchiv, Vol. 55, 2007, pp. 755-763 (with Jens Wimschulte).
Inflation-linked Bonds. An Analysis against the Background of Germany’s First Federal Issuance (in German), Finanz Betrieb, Vol. 8, 2006, pp. 573-580 (with Jens Wimschulte).
Trading in CO2 Emission Allowances: An Early Assessment (in German), Finanz Betrieb, Vol. 8, 2006, pp. 394-406 (with Jens Wimschulte).
Simulation-based Valuation of Option Rights on Electricity (in German), Finanz Betrieb, Vol. 8, 2006, pp. 300-311 (with Kalin Tanev).
Structured Financial Products with Sport Bet Characteristics (in German), Finanz Betrieb, Vol. 7, 2005, pp. 672-678.
Structured Financial Products in the German Capital Market (in German), Finanz Betrieb, Vol. 7, 2005, pp. 512-517 (with Pavel A. Stoimenov).
Macroeconomic Derivatives (in German), Die Betriebswirtschaft, Vol. 64, 2004, pp. 641-646 (with Andreas Trauten).
Macroeconomic Derivatives – Concept, Valuation, and Applications (in German), Finanz Betrieb, Vol. 6, 2004, pp. 445-457 (with Andreas Trauten and Klaus Röder).
Pricing and Hedging Performance of Option Pricing Models – An Assessment of Empirical Studies at DTB and Eurex (in German), Finanz Betrieb, Vol. 6, 2004, pp. 314-322.
The Pricing of Reverse Convertibles and Discount Certificates – A Thesis on the Influence of the Product Life Cycle (in German), Zeitschrift für Bankrecht und Bankwirtschaft, Vol. 16, 2004, pp. 105-113 (with Carsten Erner and Klaus Röder).
The Market for Structured Products in Germany – Overview, Product Valuation, and Empirical Pricing Analysis (in German), Finanz Betrieb, Vol. 6, 2004, pp. 207-218 (with Pavel A. Stoimenov).
Electricity Derivatives (in German), Die Betriebswirtschaft, Vol. 64, 2004, pp. 121-125 (with Jens Wimschulte).
Remarks on Fischer/Greistorfer/Sommersguter-Reichmann: “Turbo Certificates” (ÖBA 12/2002, pp. 995-1005) and “Short Certificates” (ÖBA 02/2003, pp. 119-128) (in German), Bankarchiv, Vol. 51, 2003, p. 946 (with Ulrich Sonnemann).
Value-at-Risk based on Extreme Value Theory (in German), Finanz Betrieb, Vol. 5, 2003, pp. 821 829 (with Hendrik Hakenes).
“Protected” Reverse Convertibles as Innovative Structured Products (in German), Zeitschrift für Bankrecht und Bankwirtschaft, Vol. 14, 2002, pp. 77-89 (with Klaus Röder).
Weather Derivatives (in German), Die Betriebswirtschaft, Vol. 62, 2002, pp. 116-119 (with Andreas Kamp).
The Valuation of Exotic Options by Monte Carlo Simulation (in German), Finanz Betrieb, Vol. 3, 2001, pp. 118-124 (with Klaus Röder).

Articles in unrefereed journals and journals for university education

Case Study: The Trading of Stock Pairs – Part II (in German), forthcoming in: Wirtschaftswissenschaftliches Studium.
Case Study: The Trading of Stock Pairs – Part I (in German), forthcoming in: Wirtschaftswissenschaftliches Studium.
Case Study: Coco Bonds – Blessing or Curse? (in German), Wirtschaftswissenschaftliches Studium, Vol. 52, No. 12, 2023, pp. 55-59.
Case Study: “Inflation-indexed Bonds” (in German), Wirtschaftswissenschaftliches Studium, Vol. 52, No. 1, 2023, pp. 60-64.
Case Study: “Green Bonds” (in German), Wirtschaftswissenschaftliches Studium, Vol. 50, No. 11, 2021, pp. 65-69.
Case Study: Financing of Start-ups Through Convertible Notes (in German), Wirtschaftswissenschaftliches Studium, Vol. 49, No. 9, 2020, pp. 61-65.
Case Study: Machine Learning on the Example of Option Prices (in German), Wirtschaftswissenschaftliches Studium, Vol. 49, No. 2/3, 2020, pp. 70-74.
Case Study: Structured Credit Derivatives – First Come, First Loss (in German), Wirtschaftswissenschaftliches Studium, Vol. 40, 2011, pp. 667-670.
Storm Loss Futures at the Eurex: Heavy Blast (in German), Die Bank, March 2010, pp. 18-22 (with Jens Wimschulte).
Case Study: Analysis of Structured Credit Derivatives on the Example of CDOs (in German), Wirtschaftswissenschaftliches Studium, Vol. 39, 2010, pp. 107-111.
Inflation-linked German Government Securities: Investments for Turbulent Times? (in German), Zeitschrift für das gesamte Kreditwesen, Vol. 63, 2010, pp. 83-86 (with Jens Wimschulte).
Property Derivatives: New Trading Facility at the Derivatives Exchange Eurex (in German), Immobilien & Finanzierung, Vol. 60, 2009, pp. 784-787 (with Jens Wimschulte).
Case Study: The Valuation of Credit Default Swaps (in German), Wirtschaftswissenschaftliches Studium, Vol. 38, 2009, pp. 161-164.
Freight Derivatives: Cast off (in German), Die Bank, December 2008, pp. 22-28 (with Jens Wimschulte).
Inflation Futures: Hedging Inflation Risk (in German), Die Bank, July 2008, pp. 22-27 (with Jens Wimschulte).
Case Study: Principal Components Analysis (PCA) in Risk Management (in German), Wirtschaftswissenschaftliches Studium, Vol. 36, 2007, pp. 599-603.
Exchange-based Gas Trading in Germany – Introduction to Products and Price Modeling (in German), Energiewirtschaftliche Tagesfragen, Vol. 57, No. 11, 2007, pp. 74-80 (with Jens Wimschulte).
Modern Portfolio Theory Applied to Stock Indices: Optimized Investment Strategies (in German), Die Bank, October 2007, pp. 24-28 (with Jens Wimschulte).
Electricity Spot Price Indices on the Swiss Market: A Comparison of SWEP and Swissix (in German), Energiewirtschaftliche Tagesfragen, Vol. 57, No. 6, 2007, pp. 44-48 (with Jens Wimschulte).
Eurex Credit Futures: The World’s First Exchange-traded Credit Derivatives (in German), Die Bank, June 2007, pp. 14-19 (with Jens Wimschulte).
Volatility Futures: Volatility as Traded Asset (in German), Die Bank, March 2007, pp. 17-19.
Plastics Derivatives: “Jute statt Plastik”? (in German), Zeitschrift für das gesamte Kreditwesen, Vol. 60, 2007, pp. 184-187.
DAXplus Covered Call and DAXplus Protective Put: The Derivatives Strategy Indices of Deutsche Börse (in German), Zeitschrift für das gesamte Kreditwesen, Vol. 59, 2006, pp. 1228-1231.
Sports Betting: More than a Game of Chance (in German), Die Bank, November 2006, pp. 14-17.
Empirical Validation of the Capital Asset Pricing Model (in German), Wirtschaftswissenschaftliches Studium, Vol. 34, 2005, pp. 269-273 (with Pavel A. Stoimenov).
Case Study: The Capital Asset Pricing Model – Results for the German Stock Market (in German), Wirtschaftswissenschaftliches Studium, Vol. 34, 2005, pp. 295-300 (with Pavel A. Stoimenov).
Real Options (in German), Das Wirtschaftsstudium, Vol. 33, 2004, p. 759 (with Carsten Erner).
Financial Engineering: The DAX Savings Account – A Product under Review (in German), Zeitschrift für das gesamte Kreditwesen, Vol. 57, 2004, pp. 302-314.
Structured Products (in German), Das Wirtschaftsstudium, Vol. 32, 2003, p. 327 (with Carsten Erner).
Case Study: Analysis of Structured Products, Part II (in German), Wirtschaftswissenschaftliches Studium, Vol. 32, 2003, pp. 620-624 (with Klaus Röder).
Case Study: Analysis of Structured Products, Part I (in German), Wirtschaftswissenschaftliches Studium, Vol. 32, 2003, pp. 563-564 (with Klaus Röder).
Accrued Interest (in German), Das Wirtschaftsstudium, Vol. 31, 2002, p. 327 (with Carsten Erner).
Case Study: The Use of Options in Portfolio Management (in German), Wirtschaftswissenschaftliches Studium, Vol. 30, 2001, pp. 563-567 (with Klaus Röder).
The Black/Scholes Option Pricing Formula – A Derivation with the Principle of Risk-Neutral Valuation (in German), Wirtschaftswissenschaftliches Studium, Vol. 30, 2001, pp. 355-361 (with Lutz Hahnenstein and Klaus Röder).
Case Study: Option Pricing Theory – Selected Sensitivity Analyses (in German), Das Wirtschaftsstudium, Vol. 30, 2001, pp. 840-842 (with Klaus Röder and Carsten Erner).
Case Study: Option Pricing Theory – Valuation with the Black/Scholes and Binomial Model (in German), Das Wirtschaftsstudium, Vol. 30, 2001, pp. 707-709 (with Klaus Röder and Carsten Erner).

Working Papers

Mean-reverting Jump Diffusion Processes: Drift Adjustment to Preserve a Fixed Long-term Mean, Working Paper, London 2012 (with Mirela Predescu).

Publications

Books

Option Pricing and Risk Management based on Mixtures of Distributions. Theoretical Analysis and Empirical Evaluation of the European Derivatives Market (in German), Wiesbaden 2003.

Numerical Methods in Option Pricing (in German), Karlsruhe 2000.

​

Articles in refereed journals

Pairs Trading in the German Stock Market: Is There Still Life in the Old Dog?, forthcoming in: Financial Markets and Portfolio Management.

Quantum Computing for Financial Risk Measurement, Quantum Information Processing, Vol. 22, 2023, Art. 51 (with Joe Moorhouse).

Predicting Stock Index Changes, The Journal of Portfolio Management, Vol. 48, No. 7, 2022, pp. 175-194.

Sports Prediction and Betting Models in the Machine Learning Age: The Case of Tennis, Journal of Sports Analytics, Vol. 7, No. 2, 2021, pp. 99-117.

Computational Challenges for Value-at-Risk and Expected Shortfall: Chebyshev Interpolation to the Rescue?, International Journal of Financial Engineering and Risk Management, Vol. 8, No. 2, 2021, pp. 101-115.

Machine Learning in Risk Measurement: Gaussian Process Regression for Value-at-Risk and Expected Shortfall, Journal of Risk Management in Financial Institutions, Vol. 12, 2019, pp. 374-383.

Model Risk in the Fundamental Review of the Trading Book: The Case of the Default Risk Charge, Journal of Risk Model Validation, Vol. 12, No. 4, 2018, pp. 1-26 (with Mirela Predescu).

Default Risk Charge: Modeling Framework for the “Basel” Risk Measure, Journal of Risk, Vol. 19, No. 4, 2017, pp. 23-50 (with Mirela Predescu).

Capturing Initial Margin in Counterparty Risk Calculations, Journal of Risk Management in Financial Institutions, Vol. 10, 2017, pp. 118-129 (with Lee Moran).

Contingent Convertible (CoCo) Bonds: A First Empirical Assessment of Selected Pricing Models, Financial Analysts Journal, Vol. 70, March/April 2014, pp. 59-77 (with Nastja Bethke).

IRC and CRM: Modelling Framework for the “Basel 2.5” Risk Measures, European Financial Management, Vol. 19, 2013, pp. 801-829 (with Jean-Baptiste Brunac and Vladimir Chorniy).

Capturing Credit Correlation between Counterparty and Underlying, Risk, Vol. 24, 2011, pp. 70-74 (with Kirk Buckley and Vladimir Chorniy).

The Valuation of Multivariate Equity Options by Means of Copulas: Theory and Application to the European Derivatives Market, Journal of Derivatives and Hedge Funds, Vol. 16, 2011, pp. 303-318 (with Ivan Slavchev).

The Pricing of Dividend Futures in the European Market: A First Empirical Analysis, Journal of Derivatives and Hedge Funds, Vol. 16, 2010, pp. 136-143 (with Jens Wimschulte).

Option Returns versus Asset-Pricing Theory: Evidence from the European Option Market, Journal of Derivatives and Hedge Funds, Vol. 13, 2007, pp. 170-176.

The Pricing of Leverage Products: An Empirical Investigation of the German Market for ‘Long’ and ‘Short’ Stock Index Certificates, Journal of Banking and Finance, Vol. 31, 2007, pp. 735-750 (with Pavel A. Stoimenov).

The Pricing of Electricity Futures: Evidence from the European Energy Exchange, The Journal of Futures Markets, Vol. 27, 2007, pp. 387-410 (with Jens Wimschulte).

The Informational Content of Option-implied Distributions: Evidence from the Eurex Index and Interest Rate Futures Options Market, Global Finance Journal, Vol. 17, 2006, pp. 50-74 (with Klaus Röder).

Option Pricing based on Mixtures of Distributions: Evidence from the Eurex Index and Interest Rate Futures Options Market, Derivatives Use, Trading and Regulation, Vol. 11, 2005, pp. 213-231.

Are Structured Products “Fairly” Priced? An Analysis of the German Market for Equity-linked Instruments, Journal of Banking and Finance, Vol. 29, 2005, pp. 2971-2993 (with Pavel A. Stoimenov).

Price and Volume Effects Associated with 2003’s Major Reorganization of German Stock Indices, Financial Markets and Portfolio Management, Vol. 19, 2005, pp. 61-98 (with Jens Wimschulte).

The Pricing of Structured Products in Germany, The Journal of Derivatives, Vol. 11, Fall 2003, pp. 55-69 (with Carsten Erner and Klaus Röder).

Reverse Convertibles and Discount Certificates in the Case of Constant and Stochastic Volatilities, Financial Markets and Portfolio Management, Vol. 17, 2003, pp. 76-102 (with Klaus Röder).

GDP-linked Bonds: Concept, Economic Analysis, and Valuation (in German), Finanz Betrieb, Vol. 10, 2008, pp. 507-520 (with Andreas Trauten and Jens Wimschulte).

The CX Commodity Index Family of Deutsche Börse: Overview and First Analysis (in German), Bankarchiv, Vol. 55, 2007, pp. 755-763 (with Jens Wimschulte).

Inflation-linked Bonds. An Analysis against the Background of Germany’s First Federal Issuance (in German), Finanz Betrieb, Vol. 8, 2006, pp. 573-580 (with Jens Wimschulte).

Trading in CO2 Emission Allowances: An Early Assessment (in German), Finanz Betrieb, Vol. 8, 2006, pp. 394-406 (with Jens Wimschulte).

Simulation-based Valuation of Option Rights on Electricity (in German), Finanz Betrieb, Vol. 8, 2006, pp. 300-311 (with Kalin Tanev).

Structured Financial Products with Sport Bet Characteristics (in German), Finanz Betrieb, Vol. 7, 2005, pp. 672-678.

Structured Financial Products in the German Capital Market (in German), Finanz Betrieb, Vol. 7, 2005, pp. 512-517 (with Pavel A. Stoimenov).

Macroeconomic Derivatives (in German), Die Betriebswirtschaft, Vol. 64, 2004, pp. 641-646 (with Andreas Trauten).

Macroeconomic Derivatives – Concept, Valuation, and Applications (in German), Finanz Betrieb, Vol. 6, 2004, pp. 445-457 (with Andreas Trauten and Klaus Röder).

Pricing and Hedging Performance of Option Pricing Models – An Assessment of Empirical Studies at DTB and Eurex (in German), Finanz Betrieb, Vol. 6, 2004, pp. 314-322.

The Pricing of Reverse Convertibles and Discount Certificates – A Thesis on the Influence of the Product Life Cycle (in German), Zeitschrift für Bankrecht und Bankwirtschaft, Vol. 16, 2004, pp. 105-113 (with Carsten Erner and Klaus Röder).

The Market for Structured Products in Germany – Overview, Product Valuation, and Empirical Pricing Analysis (in German), Finanz Betrieb, Vol. 6, 2004, pp. 207-218 (with Pavel A. Stoimenov).

Electricity Derivatives (in German), Die Betriebswirtschaft, Vol. 64, 2004, pp. 121-125 (with Jens Wimschulte).

Remarks on Fischer/Greistorfer/Sommersguter-Reichmann: “Turbo Certificates” (ÖBA 12/2002, pp. 995-1005) and “Short Certificates” (ÖBA 02/2003, pp. 119-128) (in German), Bankarchiv, Vol. 51, 2003, p. 946 (with Ulrich Sonnemann).

Value-at-Risk based on Extreme Value Theory (in German), Finanz Betrieb, Vol. 5, 2003, pp. 821 829 (with Hendrik Hakenes).

“Protected” Reverse Convertibles as Innovative Structured Products (in German), Zeitschrift für Bankrecht und Bankwirtschaft, Vol. 14, 2002, pp. 77-89 (with Klaus Röder).

Weather Derivatives (in German), Die Betriebswirtschaft, Vol. 62, 2002, pp. 116-119 (with Andreas Kamp).

The Valuation of Exotic Options by Monte Carlo Simulation (in German), Finanz Betrieb, Vol. 3, 2001, pp. 118-124 (with Klaus Röder).

​

Articles in unrefereed journals and journals for university education

Case Study: The Trading of Stock Pairs – Part II (in German), forthcoming in: Wirtschaftswissenschaftliches Studium.

Case Study: The Trading of Stock Pairs – Part I (in German), forthcoming in: Wirtschaftswissenschaftliches Studium.

Case Study: Coco Bonds – Blessing or Curse? (in German), Wirtschaftswissenschaftliches Studium, Vol. 52, No. 12, 2023, pp. 55-59.

Case Study: “Inflation-indexed Bonds” (in German), Wirtschaftswissenschaftliches Studium, Vol. 52, No. 1, 2023, pp. 60-64.

Case Study: “Green Bonds” (in German), Wirtschaftswissenschaftliches Studium, Vol. 50, No. 11, 2021, pp. 65-69.

Case Study: Financing of Start-ups Through Convertible Notes (in German), Wirtschaftswissenschaftliches Studium, Vol. 49, No. 9, 2020, pp. 61-65.

Case Study: Machine Learning on the Example of Option Prices (in German), Wirtschaftswissenschaftliches Studium, Vol. 49, No. 2/3, 2020, pp. 70-74.

Case Study: Structured Credit Derivatives – First Come, First Loss (in German), Wirtschaftswissenschaftliches Studium, Vol. 40, 2011, pp. 667-670.

Storm Loss Futures at the Eurex: Heavy Blast (in German), Die Bank, March 2010, pp. 18-22 (with Jens Wimschulte).

Case Study: Analysis of Structured Credit Derivatives on the Example of CDOs (in German), Wirtschaftswissenschaftliches Studium, Vol. 39, 2010, pp. 107-111.

Inflation-linked German Government Securities: Investments for Turbulent Times? (in German), Zeitschrift für das gesamte Kreditwesen, Vol. 63, 2010, pp. 83-86 (with Jens Wimschulte).

Property Derivatives: New Trading Facility at the Derivatives Exchange Eurex (in German), Immobilien & Finanzierung, Vol. 60, 2009, pp. 784-787 (with Jens Wimschulte).

Case Study: The Valuation of Credit Default Swaps (in German), Wirtschaftswissenschaftliches Studium, Vol. 38, 2009, pp. 161-164.

Freight Derivatives: Cast off (in German), Die Bank, December 2008, pp. 22-28 (with Jens Wimschulte).

Inflation Futures: Hedging Inflation Risk (in German), Die Bank, July 2008, pp. 22-27 (with Jens Wimschulte).

Case Study: Principal Components Analysis (PCA) in Risk Management (in German), Wirtschaftswissenschaftliches Studium, Vol. 36, 2007, pp. 599-603.

Exchange-based Gas Trading in Germany – Introduction to Products and Price Modeling (in German), Energiewirtschaftliche Tagesfragen, Vol. 57, No. 11, 2007, pp. 74-80 (with Jens Wimschulte).

Modern Portfolio Theory Applied to Stock Indices: Optimized Investment Strategies (in German), Die Bank, October 2007, pp. 24-28 (with Jens Wimschulte).

Electricity Spot Price Indices on the Swiss Market: A Comparison of SWEP and Swissix (in German), Energiewirtschaftliche Tagesfragen, Vol. 57, No. 6, 2007, pp. 44-48 (with Jens Wimschulte).

Eurex Credit Futures: The World’s First Exchange-traded Credit Derivatives (in German), Die Bank, June 2007, pp. 14-19 (with Jens Wimschulte).

Volatility Futures: Volatility as Traded Asset (in German), Die Bank, March 2007, pp. 17-19.

Plastics Derivatives: “Jute statt Plastik”? (in German), Zeitschrift für das gesamte Kreditwesen, Vol. 60, 2007, pp. 184-187.

DAXplus Covered Call and DAXplus Protective Put: The Derivatives Strategy Indices of Deutsche Börse (in German), Zeitschrift für das gesamte Kreditwesen, Vol. 59, 2006, pp. 1228-1231.

Sports Betting: More than a Game of Chance (in German), Die Bank, November 2006, pp. 14-17.

Empirical Validation of the Capital Asset Pricing Model (in German), Wirtschaftswissenschaftliches Studium, Vol. 34, 2005, pp. 269-273 (with Pavel A. Stoimenov).

Case Study: The Capital Asset Pricing Model – Results for the German Stock Market (in German), Wirtschaftswissenschaftliches Studium, Vol. 34, 2005, pp. 295-300 (with Pavel A. Stoimenov).

Real Options (in German), Das Wirtschaftsstudium, Vol. 33, 2004, p. 759 (with Carsten Erner).

Financial Engineering: The DAX Savings Account – A Product under Review (in German), Zeitschrift für das gesamte Kreditwesen, Vol. 57, 2004, pp. 302-314.

Structured Products (in German), Das Wirtschaftsstudium, Vol. 32, 2003, p. 327 (with Carsten Erner).

Case Study: Analysis of Structured Products, Part II (in German), Wirtschaftswissenschaftliches Studium, Vol. 32, 2003, pp. 620-624 (with Klaus Röder).

Case Study: Analysis of Structured Products, Part I (in German), Wirtschaftswissenschaftliches Studium, Vol. 32, 2003, pp. 563-564 (with Klaus Röder).