Forschung

Muck, Matthias, Thomas Schmidl und Julian Wolf (2024): “Wish or reality? On the exploitability of triangular arbitrage in cryptocurrency markets”, Finance Research Letters, doi: 10.1016/j.frl.2024.106508

Herzing, Tobias J. und Matthias Muck (2024): "Can You Keep a Secret? The dissemination of false rumors and the evolution of bubbles in perceived predatory trading games", International Review of Financial Analysis, doi: 10.1016/j.irfa.2024.103592

Kleffel, Philipp und Matthias Muck (2024): "The confusion of taste and consumption: Evidence from a stated-choice experiment", Journal of Behavioral and Experimental Finance, doi: 10.1016/j.jbef.2024.100964

Muck, Matthias und Thomas Schmidl (2024): "Comparing ESG score weighting approaches and stock performance differentiation", Finance Research Letters, doi: 10.1016/j.frl.2024.105924

Albert, Pascal, Michael Herold und Matthias Muck (2023): "Estimation of Rare Disaster Concerns From Option Prices – An Arbitrage-Free RND-Based Smile Construction Approach", Journal of Futures Markets, doi: 10.1002/fut.22457

Kleffel, Philipp und Matthias Muck (2023): "Aggregate confusion or inner conflict? An experimental analysis of investors reaction to greenwashing", Finance Research Letters (53), doi: 10.1016/j.frl.2022.103421

Muck, Matthias (2022): "Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities", Review of Derivatives Research, 25:293–314, doi: 10.1007/s11147-022-09189-9, Online Appendix(143.5 KB)

Eierle, Brigitte, Sebastian Klamer und Matthias Muck (2022): "Does it really pay off for investors to consider information from social media?", International Review of Financial Analysis (81), doi: 10.1016/j.irfa.2022.102074

Herold, Michael, Andreas Kanz und Matthias Muck (2021): "Do opinion polls move stock prices? Evidence from the US presidential election in 2016", The Quarterly Review of Economics and Finance (80), 665-690, doi: 10.1016/j.qref.2021.03.013

Branger, Nicole, Michael Herold und Matthias Muck (2021): "International Stochastic Discount Factors and Covariance Risk", Journal of Banking and Finance (123), doi: 10.1016/j.jbankfin.2020.106018

Branger, Nicole, Matthias Muck und Stefan Weisheit (2019): ?Correlation Risk and International Portfolio Choice”, Journal of Futures Markets 39 (1), 128-146, doi: 10.1002/fut.21941

Branger, Nicole, Matthias Muck, Frank Seifried und Stefan Weisheit (2017): "Optimal Portfolios When Variances and Covariances Can Jump", Journal of Economic Dynamics & Control (85), 59-89, doi: 10.1016/j.jedc.2017.09.008

Mahayni, Antje und Matthias Muck (2017): "The Benefit of Life Insurance Contracts with Capped Index Participation When Stock Prices are Subject to Jump Risk", Review of Derivatives Research 20 (3), 281-308, doi: 10.1007/s11147-017-9131-9

Muck, Matthias (2012): "Spread ladder swaps - an analysis of controversial Interest Rate Derivatives", Financial Markets and Portfolio Management 26 (2), 269-289, doi: 10.1007/s11408-012-0186-1

Branger, Nicole und Matthias Muck (2012): "Keep on smiling? The pricing of Quanto options when all covariances are stochastic", Journal of Banking and Finance 36 (6), 1577-1591, doi: 10.1016/j.jbankfin.2012.01.004

Volmer, Thomas (2011): "A Robust Model of the Convenience Yield in the Natural Gas Market", Journal of Futures Markets 31 (11), 1011-1051, doi: 10.1002/fut.20504

Muck, Matthias (2010): "Trading Strategies with Partial Access to the Derivatives Market", Journal of Banking and Finance 34 (6), 1288-1298, doi: 10.1016/j.jbankfin.2009.11.025

Marckhoff, Jan und Jens Wimschulte (2009): ?Locational Price Spreads and the Pricing of Contracts for Difference: Evidence from the Nordic Market”, Energy Economics 31 (2), 257-268.

Marckhoff, Jan, Sebastian Paik und Stefanie Wei? (2009): ?Preiseffizienz im Futuresmarkt der EEX”, Zeitschrift für Energie, Markt, Wettbewerb, Heft 2, 26-31.

Muck, Matthias (2007): ?Pricing turbo certificates in the presence of stochastic jumps, interest rates, and volatility”, DBW – Die Betriebswirtschaft 67 (2), 224-240.

Muck, Matthias (2006): ?Where Should You Buy Your Options? The Pricing of Exchange-Traded Certificates and OTC Derivatives in Germany”, The Journal of Derivatives 14 (Fall), 82-96, doi: 10.3905/jod.2006.650200

Muck, Matthias und Markus Rudolf (2005): ?Improving Discrete Implementation of the Hull and White Two-Factor Model”, The Journal of Fixed Income 14 (March), 67-75, doi: 10.3905/jfi.2005.491116

Adams, Michael, Matthias Muck und Markus Rudolf (2004): ?Basel II – A Guarantee for a Stable Banking System?", Financial Markets and Portfolio Management 18 (3), 306-311.

Muck, Matthias und Markus Rudolf (2004): ?Zinsstrukturmodelle: Hedging im Hull/White-Einfaktormodell in diskreter und stetiger Zeit“, Finanz-Betrieb: FB, 551-561