Research Profile

The chair focuses on the research areas of banking and financial control with regard to international financial markets. In particular, the chair's publications comprise the following topics:

  • Financial Control of Banks
  • Regulation of Banks
  • Derivatives and Financial Innovations
  • Term Structure Models
  • Energy Contracts
  • Asset Management
  • Asset Pricing
  • Risk Management

Refereed Journals

Muck, Matthias (2022): "Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities", Review of Derivatives Research, forthcoming, doi: 10.1007/s11147-022-09189-9

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 and 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 and 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 and Stefan Weisheit (2019): "Correlation Risk and International Portfolio Choice", Journal of Futures Markets, doi: 10.1002/fut.21941.

Branger, Nicole, Matthias Muck, Frank Seifried and 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 and 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", Perspectives, Financial Markets and Portfolio Management 26 (2), 269-289.

Branger, Nicole and 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.

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

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

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

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,

Muck, Matthias and Markus Rudolf (2005): „Improving Discrete Implementation of the Hull and White Two-Factor Model”, The Journal of Fixed Income 14 (March), 67-75.

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

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

Books and other Publications

Mahayni, Antje and Matthias Muck (2019): "Wertschöpfung durch Versicherungen", in: Patrick Ulrich and Björn Baltzer (2019): Wertschöpfung in der Betriebswirtschaftslehre, Springer Gabler, Wiesbaden.

Mahayni, Antje and Matthias Muck (2017): "Vergleich von Garantiekonzepten im Kontext innovativer Lebensversicherungsprodukte", in: Stefan Kirmße and Stephan Schüller (2017): Aktuelle Entwicklungslinien in der Finanzwirtschaft, Fritz Knapp Verlag, Frankfurt, 661-687.

Muck, Matthias, Dominik Staniewski and Stefan Weisheit (2016): "Optimale Fristentransformation von international agierenden Banken", in: Stefan Eckert and Georg Trautnitz (2016): Internationales Management und die Grundlagen des globalisierten Kapitalismus, Springer Gabler, 199-218.

Muck, Matthias und Christian Putz (2016): "Lebenszykluseffekte in einem konsumbasierten Kapitalmarktmodell", WiSt - Wirtschaftswissenschaftliches Studium, 45 (7), 337 - 338.

Muck, Matthias und Stefan Weisheit (2013): "Optimal Portfolio Choice, Derivatives and Event Risk", in: Wehn, Carsten S., Christian Hoppe und Greg N. Gregoriou (2013): Rethinking Valuation and Pricing Models: Lessons Learned from the Crisis and Future Challenges, Academic Press, Elsevier Inc., 501-517.

Herold, Michael and Matthias Muck (2012): "Risk-Neutral Densities and Catastrophe Events", in: Jonathan A. Batten and Niklas Wagner (2012): Contemporary Studies in Economic and Financial Analysis 94: Derivative Securities Pricing and Modelling, Bingley, UK: Emerald, 185-207.

Marckhoff, Jan and Matthias Muck (2010): "Bewertung von Stromderivaten", in: Roland Eller, Markus Heinrich, René Perrot and Markus Reif (2010): Management von Rohstoffrisiken - Strategien, Märkte und Produkte, Wiesbaden: Gabler, 297-325.

Marckhoff, Jan and Matthias Muck (2008): "Die Bewertung von Stromderivaten mit Hilfe von Reduced-Form-Modellen", in: Andreas Oehler and Udo Terstege (2008): Finanzierung, Investition und Entscheidung. Einzelwirtschaftliche Analysen zur Bank- und Finanzwirtschaft, Festschrift für Michael Bitz, Springer, 295-320.

Muck, Matthias and Markus Rudolf (2008): "The Pricing of Electricity Forwards", in: Roland Füss, Dieter G. Kaiser and Frank J. Fabozzi (2008): The Handbook of Commodity Investing, Wiley, 596-612.

Muck, Matthias and Markus Rudolf (2006): „Derivatebewertung mit dem LIBOR-Marktmodell", in: Wolfgang Kürsten and Bernhard Nietert (2006): Kapitalmarkt, Unternehmensfinanzierung und rationale Entscheidungen - Festschrift für Jochen Wilhelm, Berlin: Springer, 453-472,

Muck, Matthias and Markus Rudolf (2006): „Optionsbewertung mit stochastischer Volatilität: Implementation des Heston-Modells", WiSt Wirtschaftswissenschaftliches Studium, 35 (6), 325-330.

Holtorf, Claudia, Matthias Muck and Markus Rudolf (2005): „The New Basel Capital Accord“, in: Michael Frenkel, Ulrich Hommel and Markus Rudolf: Risk Management, 2nd edition, Berlin: Springer, 79-98,

Muck, Matthias and Markus Rudolf (2005): „International Corporate Risk Management: A Comparison of Three Major Airlines“, in: Michael Frenkel, Ulrich Hommel and Markus Rudolf: Risk Management, 2. Auflage, Berlin: Springer, 571-590,

Muck, Matthias and Markus Rudolf (2004): „Bewertung von Swaptions im Hull/White Modell", WiSt Wirtschaftswissenschaftliches Studium, 33 (4), 211-216.

Muck, Matthias and Markus Rudolf (2004): „Fallstudie: Risikomanagement bei Lufthansa“, in: Ann-Kristin Achleitner and Georg F. Thoma (2004): Handbuch Corporate Finance, Loseblattausgabe, 2. Auflage, Köln 2001: Deutscher Wirtschaftsdienst.

Muck, Matthias and Markus Rudolf (2003): „How technology stocks have become poor dogs and not cash cows", Financial Markets and Portfolio Management 17, 1-8,