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Prof. Dr. Nicole Branger

Lehrstuhl für Derivate und Financial Engineering


Tel.: +49 251 83-29779 (Sekretariat)
Fax: +49 251 83-22867
E-Mail: nicole.branger@wiwi.uni-muenster.de
Raum: 260 (Juridicum)
Sprechstunde: nach Vereinbarung

Zur Person:
Personal Homepage (in english)
  • 1992 – 1997: Studium des Wirtschaftsingenieurwesens an der Universität Karlsruhe (TH)
  • 1997 – 2001: Doktorandin am Institut für Entscheidungstheorie und Unternehmensforschung, Universität Karlsruhe (TH)
  • 2001: Promotion zum Dr. rer. pol., Thema: Bewertung nicht-redundanter Finanzderivate mittels Entropie und Cross-Entropie
  • 2001 – 2005: Habilitandin an der Professur für Derivate und Financial Engineering, Goethe-Universität Frankfurt am Main
  • 2005: Habilitation, Thema: Essays in Option Pricing, Venia Legendi in BWL
  • 2005 – 2006: Associate Professor an der University of Southern Denmark, Odense
  • Seit September 2006: Inhaberin des Lehrstuhls für Betriebswirtschaftslehre, insbesondere Derivate und Financial Engineering an der Westfälischen Wilhelms-Universität Münster


Forschungsschwerpunkte:
  • Asset Pricing
  • Asset Allocation
  • Economics of Derivatives


alle anzeigen | nur Publikationen der letzten 5 Jahre anzeigen

Working Papers

  • Branger, N., Flacke, R. M., Gräber, N. (2017): Monopoly Power in the Oil Market and the Macroeconomy, Working Paper, October 2017. (available at SSRN) (Abstract)

  • Branger, N., Gräber, N., Schumacher, M. (2017): The Effects of Oil Inventories on Growth Prospects, Futures Markets, and Risk Premia, Working Paper, August 2017. (available at SSRN) (Abstract)

  • Branger, N., Gräber, N., Schumacher, M. (2017): Internet Appendix to "The Effects of Oil Inventories on Growth Prospects, Futures Markets, and Risk Premia", Working Paper, August 2017. (Internet Appendix)

  • Branger, N., Hülsbusch, H., Middelhoff, T. F. (2017): Idiosyncratic Volatility, its Expected Variation, and the Cross-Section of Stock Returns, Working Paper. (available at SSRN) (Abstract)

  • Branger, N., Hülsbusch, H., Kraftschik, A. (2017): The Volatility-of-Volatility Term Structure, Working Paper. (available at SSRN) (Abstract)

  • Branger, N., Mahayni, A., Schweizer, N., Sende, C. (2016): Precautionary Saving and Insurance under Generalized Mean-Variance Preferences, Working Paper, 2016.

  • Branger, N., Pfeiffer, P., Schumacher, M. (2016): Endogenous Growth Cycles and Asset Prices in a Search Economy, Working Paper, September 2016. (Abstract)

  • Branger, N., Lucivjanska, K., Weissensteiner, A. (2016): Optimal Granularity for Portfolio Choice, Working Paper, July 2016. (available at SSRN) (Abstract)

  • Branger, N., Semenischev, M. (2016): Expected Growth Rate Risk: In-Sample Estimation, Out-of-Sample Asset Pricing Implication, Working Paper, September 2016. (Abstract)

  • Branger, N., Semenischev, M., Thimme, J. (2016): Macroeconomic Risk: What the Predictability of Stock Returns and Cash-Flows tells us, Working Paper, August 2016. (Abstract)

  • Branger, N., Kraftschik, A., Völkert, C. (2016): The Fine Structure of Variance: Pricing VIX Derivatives in Consistent and Log-VIX Models, Working Paper. (available at SSRN) (Abstract)

  • Branger, N., Schlag, C., Shaliastovich, I., Song, D. (2016): Macroeconomic Bond Risks at the Zero Lower Bound, Working Paper, August 2016. (available at SSRN) (Abstract)

  • Branger, N., Gräber, N., Schumacher, M. (2016): Asset Pricing in Production Economies when Capital Inputs are Heterogeneous, Working Paper, October 2016. (available at SSRN) (Abstract)

  • Branger, N., Muck, M., Weisheit, S. (2016): Correlation Risk and International Portfolio Choice, Working Paper. (available at SSRN)

  • Branger, N., Grüning, P., Schlag, C. (2016): Commodities, Financialization, and Heterogeneous Agents, Working Paper. (available at SSRN)

  • Branger, N., Konermann, P., Schlag, C. (2015): Optimists, Pessimists, and the Stock Market: The Role of Preferences and Market (In)Completeness, Working Paper, September 2015. (available at SSRN)

  • Branger, N., Konermann, P., Meinerding, C., Schlag, C. (2015): Equilibrium Asset Pricing in Directed Networks with Mutually Exciting Jumps, Working Paper, August 2015. (available at SSRN)

  • Bohl, M. T., Branger, N., Trede, M. (2015): The Case for Herding is Stronger than You Think, Working Paper.

  • Branger, N., Muck, M., Weisheit, S. (2015): Optimal Portfolios when Variances and Covariances can Jump, Working Paper, 2015. (available at SSRN)

  • Branger, N., Schlag, C., Thimme, J. (2015): Does Ambiguity about Volatility Matter Emprically?, Working Paper.

  • Branger, N., Dierkes, M., Konermann, P. (2014): On the horizon effects of estimation risk and smooth ambiguity aversion, Working Paper, September 2014.

  • Branger, N., Semenischev, M. (2014): Global Long Run-Risk in Durable Consumption and Asset Pricing, Working Paper.

  • Branger, N., Grüning, P., Kraft, H., Meinerding, C., Schlag, C. (2013): Asset Pricing under Uncertainty about Shock Propagation, Working Paper, 2013. (available at ssrn)

  • Branger, N., Kraftschik, A., Völkert, C. (2013): The Variance Process Implied in VIX Options: Affine vs. Non-Affine Models, Working Paper.

  • Branger, N., Konermann, P., Thimme, J. (2013): Returns on Cyclical and Defensive Stocks in Times of Scarce Information about the Business Cycle, Working Paper, March 2013. (available at SSRN)

  • Branger, N., Dumitrescu, I., Ivanova, V., Schlag, C. (2011): Preference Heterogeneity and Survival in Long-Run Risk Models, Working Paper, 2011.

  • Branger, N., Schlag, C., Zaharia, S. (2011): An Equilibrium Foundation for the Heston Stochastic Volatility Model and U-Shaped Pricing Kernels, Working Paper, 2011.

  • Branger, N., Dumitrescu, I., Ivanova, V., Schlag, C. (2010): Two Trees the EZ Way, Working Paper, 2010.

  • Branger, N., Rodrigues, P., Schlag, C. (2010): The Role of Volatility Shocks and Rare Events in Long-Run Risk Models, Working Paper, 2010.

  • Branger, N., Völkert, C. (2010): What is the Equilibrium Price of Variance Risk? A Long-Run Risks Model with Two Volatility Factors, Working Paper. (available at SSRN) (Abstract)

  • Vrecko, D., Branger, N. (2009): Why is Portfolio Insurance Attractive to Investors?, Working Paper. (available at SSRN) (Abstract)

  • Branger, N., Hansis, A., Schlag, C. (2009): Expected Option Returns and the Structure of Jump Risk Premia, Working Paper, February 2009.

  • Branger, N., Kraft, H., Mahayni, A., Schlag, C. (2008): Reconciling Smiles for Index and Stock Options, Working Paper, April 2008.

  • Branger, N., Schlag, C. (2005): An Economic Motivation for Variance Contracts, Working Paper, December 2005. (PDF)

  • Branger, N., Schlag, C. (2005): Put Options Are Not Too Expensive - An Analysis of Path Peso Problems, Working Paper, February 2005. (PDF)

  • Branger, N. (2004): An Anatomy of Option Pricing Models, Working Paper, December 2004. (PDF)

  • Branger, N., Schlag, C. (2004): Model Risk: A Conceptual Framework for Risk Measurement and Hedging, Working Paper, January 2004. (PDF)


Refereed Publications

  • Branger, N., Kraft., H., Meinerding, C. (2016): The Dynamics of Crises and the Equity Premium, Review of Financial Studies, Vol. 29, 2016, 232-270. (Abstract)

  • Ascheberg, M., Branger, N., Kraft, H., Seifried, F. (2016): When Do Jumps Matter for Portfolio Optimization?, Quantitative Finance, Vol. 16, Issue 8, 2016, 1297-1311.

  • Branger, N., Schlag, C., Wu, L. (2015): 'Nobody is Perfect': Asset Pricing and Long-Run Survival When Heterogeneous Investors Exhibit Different Kinds of Filtering Errors , (former title: Rational Laymen versus Over-Confident Experts: Who Survives in the Long Run?), Journal of Economic Dynamics and Control, Vol. 61, December 2015, 303-333.

  • Branger, N., Mahayni, A., Zieling, D. (2015): Robustness of Stable Volatility Strategies, Journal of Economic Dynamics and Control, Vol. 60, November 2015, 134-151.

  • Branger, N., Hansis, A. (2015): Earning the Right Premium on the Right Factor in Portfolio Planning, Journal of Banking & Finance, Vol. 59, October 2015, 367-383.

  • Branger, N., Kraft, H., Meinerding, C. (2014): Partial Information about Contagion Risk, Endogenous Self-Exciting Processes and Portfolio Optimization, Journal of Economic Dynamics and Control, Vol. 39, February 2014, 18-36.

  • Branger, N., Larsen, L. S. (2013): Robust Portfolio Choice with Uncertainty about Jump and Diffusion Risk, Journal of Banking and Finance, Vol. 37, Issue 12, December 2013, 5036–5047.

  • Branger, N., Larsen, L. S., Munk, C. (2013): Robust Portfolio Choice with Ambiguity and Learning about Return Predictability, Journal of Banking and Finance, Vol. 37, Issue 5, May 2013, 1397-1411.

  • Branger, N., Hansis, A. (2012): Asset Allocation: How Much Does Model Choice Matter?, Journal of Banking and Finance, Vol. 36, Issue 7, July 2012, 1865–1882.

  • Branger, N., Muck, M. (2012): Keep On Smiling? The Pricing of Quanto Options when all Covariances are Stochastic, Journal of Banking and Finance, Vol. 36, Issue 6, June 2012, 1577-1591.

  • Branger, N., Schlag, C., Krautheim, E., Seeger, N. (2012): Hedging under Model Misspecification: All Risk Factors are Equal, But Some are More Equal than Others..., Journal of Futures Markets, Vol. 32, Issue 5, May 2012, 397-430.

  • Branger, N., Mahayni, A., Schneider, J. C. (2011): Pricing and Upper Price Bounds of Relax Certificates, Review of Managerial Science, Vol. 5, Issue 4, November 2011, 309-336.

  • Branger, N., Schlag, C., Wu, L. (2011): Pricing Two Heterogeneous Trees, Journal of Financial and Quantitative Analysis, Vol. 46, Issue 5, October 2011, 1437-1462.

  • Branger, N., Mahayni, A. (2011): Tractable Hedging with Additional Hedge Instruments, Review of Derivatives Research, Vol. 14, Issue 1, April 2011, 85-114.

  • Branger, N., Mahayni, A., Schneider, J.C. (2010): On the Optimal Design of Insurance Contracts with Guarantees, Insurance: Mathematics and Economics, Vol. 46, Issue 3, June 2010, 485-492.

  • Branger, N., Breuer, B., Schlag, C. (2010): Discrete-Time Implementation of Continuous-Time Portfolio Strategies, European Journal of Finance, Vol. 16, Issue 2, 2010, 137-152.

  • Branger, N., Kraft, H., Meinerding, C. (2009): What is the Impact of Stock Market Contagion on an Investor's Portfolio Choice?, Insurance: Mathematics and Economics, Vol. 45, Issue 1, August 2009, 94-112.

  • Branger, N., Breuer, B., Schlag, C. (2008): Optimal Derivative Strategies with Discrete Rebalancing, Journal of Derivatives, Vol. 16, No. 2, Winter 2008, 67-84.

  • Branger, N., Schlag, C. (2008): Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?, Journal of Financial and Quantitative Analysis, Vol. 43, Issue 4, December 2008, 1055-1090.

  • Branger, N., Schlag, C., Schneider, E. (2008): Optimal Portfolios When Volatility Can Jump, Journal of Banking and Finance, Vol. 32, Issue 6, June 2008, 1087-1097.

  • Branger, N., Schlag, C. (2007): Option Betas: Risk Measures for Options, International Journal of Theoretical and Applied Finance, Vol. 10, Issue 7, November 2007, 1137-1157.

  • Branger, N., Mahayni, A. (2006): Tractable Hedging - An Implementation of Robust Hedging Strategies, Journal of Economic Dynamics and Control, Vol. 30, Issue 11, November 2006, 1937-1962.

  • Branger, N., Esser, A., Schlag, C. (2004): Attainability of European Path-Independent Claims in Incomplete Markets, Finance Research Letters, Vol. 1, Issue 3, September 2004, 190-195.

  • Branger, N. (2004): Pricing Derivative Securities Using Cross-Entropy - An Economic Analysis, International Journal of Theoretical and Applied Finance, Vol. 7, Issue 1, February 2004, 63-82.

  • Branger, N., Schlag, C. (2004): Why is the Index Smile So Steep?, Review of Finance, Vol. 8, Issue 1, January 2004, 109-127.


Books

  • Branger, N., Schlag, C. (2004): Zinsderivate: Modelle und Bewertung, Springer, Berlin-Heidelberg-New York. (available at http://www.springer.com)

  • Branger, N. (2002): Bewertung nicht redundanter Finanzderivate mittels Entropie und Cross-Entropie, Deutscher-Universitätsverlag, Wiesbaden.


Incollections and Conference Proceedings

  • Bondarenko, J., Branger, N., Esser, A., Schlag, C. (2003): Decentralizing Risk Management in the Case of Quadratic Hedging, in: M. Schader, W. Gaul, M. Vichi (Eds.), Between Data Science And Applied Data Analysis, Springer, Berlin, pp. 521-529.



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