Chair for Derivatives and Financial Engineering

Our research mainly deals with the pricing of financial assets and their dynamics over time. We analyze stocks and stock indices but are also interested in equity options, index options, and variance derivatives. Equilibrium models explain asset prices based on the preferences of investors and the fundamental properties of the economy like aggregate consumption or production technologies. Option pricing models are our second research topic. We assess the predictions of these models and test for a consistent pricing of a cross section of stocks and options. We pay particular attention to the combination of theoretical models and empirical studies.