• 2023

    Research article (journal)

    Branger, N., Chen, A., Mahayni, A., & Nguyen, T. (2023). Optimal collective investment: an analysis of individual welfare. Mathematics and Financial Economics, 17, 101–125.
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    Branger, N., Flacke, R. M., Meyerhof, P., & Windmüller, S. (2023). Stock Returns in Global Value Chains: The Role of Upstreamness and Downstreamness. Journal of Empirical Finance, 74.
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    Branger, N., Hanke, M., & Weissensteiner, A. (2023). The Information Content of Wheat Derivatives Regarding the Ukrainian War. Journal of Futures Markets, forthcoming.
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  • 2022

    Research article (journal)

    Bohl, M. T., Branger, N., & Trede, M. (2022). Measurement Errors in Index Trader Positions Data: Is the Price Pressure Hypothesis Still Invalid?. Applied Economic Perspectives and Policy, 44(3), 1534–1553.
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  • 2021

    Research article (journal)

    Branger, N., Herold, M., & Muck, M. (2021). International Stochastic Discount Factors and Stochastic Correlation. Journal of Banking and Finance, 123, 106108.
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    Branger, N., Konermann, P., Meinerding, C., & Schlag, C. (2021). Equilibrium Asset Pricing in Directed Networks. Review of Finance, 2021, 777–818.
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  • 2020

    Research article (journal)

    Branger, N., Flacke, R., & Gräber, N. (2020). Monopoly power in the oil market and the macroeconomy. Energy Economics, 85, 104597.
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    Branger, N., Konermann, P., & Schlag, C. (2020). Optimists and Pessimists in (In)Complete Markets. Journal of Financial and Quantitative Analysis, 55(8), 2466–2499.
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  • 2019

    Research article (journal)

    Branger, N., Larsen, L. S., & Munk, C. (2019). Hedging Recessions. Journal of Economic Dynamics and Control, 107.
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    Branger, N., Lucivjanska, K., & Weissensteiner, A. (2019). Optimal Granularity for Portfolio Choice. Journal of Empirical Finance, 50, 125–146.
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    Branger, N., Muck, M., & Weisheit, S. (2019). Correlation Risk and International Portfolio Choice. Journal of Futures Markets, 2019, 128–146.
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  • 2018

    Research article (journal)

    Branger, N., Rodrigues, P., & Schlag, C. (2018). The Role of Volatility Shocks and Rare Events in Long-Run Risk Models. Journal of Economic Dynamics and Control, 86, 95–122.
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  • 2017

    Research article (journal)

    Bohl, M., Branger, N., & Trede, M. (2017). The Case for Herding is Stronger than You Think. Journal of Banking and Finance, 85(December), 30–40.
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    Branger, N., Muck, M., Seifried, F., & Weisheit, S. (2017). Optimal Portfolios When Variances and Covariances can Jump. Journal of Economic Dynamics and Control, 85, 59–89.
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  • 2016

    Research article (journal)

    Ascheberg, M., Branger, N., Kraft, H., & Seifried, F. (2016). When Do Jumps Matter for Portfolio Optimization?. Quantitative Finance, 16(8), 1297–1311.
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    Branger, N., Kraft, H., & Meinerding, C. (2016). The Dynamics of Crises and the Equity Premium. Review of Financial Studies, 29(1), 232–270.
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  • 2015

    Research article (journal)

    Branger, N., & Hansis, A. (2015). Earning the Right Premium on the Right Factor in Portfolio Planning. Journal of Banking and Finance, 59, 367–383.
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    Branger, N., Mahayni, A., & Zieling, D. (2015). Robustness of Stable Volatility Strategies. Journal of Economic Dynamics and Control, 60, 134–151.
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    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. Journal of Economic Dynamics and Control, 61, 303–333.
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  • 2014

    Research article (journal)

    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, 2014, 18–36.
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  • 2013

    Research article (journal)

    Branger, N., & Larsen, L. (2013). Robust Portfolio Choice with Uncertainty about Jump and Diffusion Risk. Journal of Banking and Finance, 37(12), 5036–5047.
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    Branger, N., Larsen, L., & Munk, C. (2013). Robust Portfolio Choice with Ambiguity and Learning about Return Predictability. Journal of Banking and Finance, 37(5), 1397–1411.
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  • 2012

    Research article (journal)

    Branger, N., & Hansis, A. (2012). Asset allocation: How much does model choice matter?. Journal of Banking and Finance, 36, 1865–1882.
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    Branger, N., Krautheim, E., Schlag, C., & Seeger, N. (2012). Hedging Under Model Mis-Specification: All Risk Factors are Equal, But Some are More Equal than Others ... Journal of Futures Markets, 32(5), 397–430.
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    Branger, N., & Muck, M. (2012). Keep on Smiling? Volatility Surfaces and the Pricing of Quanto Options when all Covariances are Stochastic. Journal of Banking and Finance, 36(1), 1577–1591.
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  • 2011

    Research article (journal)

    Branger, N., & Mahayni, A. (2011). Tractable Hedging with Additional Hedge Instruments. Review of Derivatives Research, 14(1), 85–114.
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    Branger, N., Mahayni, A., & Schneider, J. (2011). Pricing and Upper Price Bounds of Relax Certificates. Review of Managerial Science, 5(4), 309–336.
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    Branger, N., Schlag, C., & Wu, L. (2011). Pricing Two Heterogeneous Trees. Journal of Financial and Quantitative Analysis, 46(5), 1437–1462.
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  • 2010

    Research article (journal)

    Branger, N., Breuer, B., & Schlag, C. (2010). Discrete-Time Implementation of Continuous-Time Portfolio Strategies. European Journal of Finance, 16(2), 137–152.
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    Branger, N., Mahayni, A., & Schneider, J. (2010). On the Optimal Design of Insurance Contracts with Guarantees. Insurance: Mathematics and Economics, 46(3), 485–492.
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    Branger, N., Reichmann, O., & Wobben, M. (2010). Pricing electricity derivatives on an hourly basis. Journal of Energy Markets, 3(3), 51–90.
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  • 2009

    Research article (journal)

    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, 2009(45), 1–94.
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  • 2008

    Research article (journal)

    Branger, N., Breuer, B., & Schlag, C. (2008). Optimal Derivatives Strategies with Discrete Rebalancing. Journal of Derivatives, 16(2), 67–84.
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    Branger, N., & Schlag, C. (2008). Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?. Journal of Financial and Quantitative Analysis, 43(4), 1055–1090.
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    Branger, N., Schlag, C., & Schneider, E. (2008). Optimal Portfolios When Volatility can Jump. Journal of Banking and Finance, 32(6), 1087–1097.
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  • 2007

    Research article (journal)

    Branger, N., & Schlag, C. (2007). Option Betas — Risk Measures for Options. International Journal of Theoretical and Applied Finance, 10(7), 1137–1157.
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  • 2006

    Research article (journal)

    Branger, N., & Mahayni, A. (2006). Tractable Hedging — An Implementation of Robust Hedging Strategies. Journal of Economic Dynamics and Control, 30(11), 1937–1962.
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  • 2005

    Thesis (doctoral or post-doctoral)

    Branger, N. (2005). Essays on Option Pricing. at the Goethe-Universität Frankfurt.
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  • 2004

    Book (monograph)

    Branger, N., & Schlag, C. (2004). Zinsderivate: Modelle und Bewertung. Berlin-Heidelberg-New York.: Springer.
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    Research article (journal)

    Branger, N. (2004). Pricing Derivative Securities Using Cross-Entropy — An Economic Analysis. International Journal of Theoretical and Applied Finance, 7(1), 63–82.
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    Branger, N., Esser, A., & Schlag, C. (2004). Attainability of European Path Independent Claims in Incomplete Markets. Finance Research Letters, 1(3), 190–195.
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    Branger, N., & Schlag, C. (2004). Why is the Index Smile So Steep?. Review of Finance, 8(1), 109–127.
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  • 2003

    Research article (book contribution)

    Branger, N., Bondarenko, J., Esser, A., & Schlag, C. (2003). Decentralizing Risk Management in the Case of Quadratic Hedging. In Schader, M., Gaul, W., & Vichi, M. (Eds.), Between Data Science And Applied Data Analysis (pp. 521–529). Berlin.
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  • 2002

    Thesis (doctoral or post-doctoral)

    Branger, N. (2002). Bewertung nicht redundanter Finanzderivate mittels Entropie und Cross-Entropie. at the Universität Karlsruhe (TH). Wiesbaden: Deutscher Universitäts-Verlag.
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