Institute for Finance - Department Financial Engineering and Derivatives

Research Field

In recent years, the financial industry and the products have been exposed to major changes. New and more complex forms of financial instruments and services require profound knowledge of the capital market theory. The subprime crisis and the market turbulences in the wake of the Covid-19 pandemic revealed the necessity to analyze the interactoion between global financial service providers and their activities in the individual financial markets. Against this background, the research activities of the chair focus on the following areas:
  • Capital market theory: Valuation of company shares, derivatives and fixed-income securities
  • Empirical capital market research: Testing and calibration of yield models, empirical investigation of defaulted bonds and credit derivatives, empirical research on energy and commodity markets
  • Risk management of banks and industrial companies: Valuation and management of interest rate, credit, and liquidity risks
  • Corporate Finance: Company valuation, optimal capital structure, ssymmetric information and agency models, hedging, treatment of risk in industrial and commercial enterprises
  • Blockchain technology in finance: Valuation of crypto currencies and their derivatives, cryptocurrency modelling, trading and settlement of financial transactions

Ultimately, the various problems are all related to the question of how well-founded decisions can be derived on basis of the findings of modern capital market theory (portfolio theory, capital asset pricing model, arbitrage pricing theory, option pricing theory). Current focuses are in the areas of credit and liquidity risks, credit derivatives and defaulted bonds, the valuation of derivatives on energy and carbon emission markets, frictions on options markets, finance applications of block chain technology as well as the interaction of investment and financing policies and risk management of banks and industrial companies.