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Research Fields

The research activities at the Chair of Financial Engineering and Derivatives concentrate on the following four areas:
  • Capital market theory: Valuation of equities, derivatives and fixed income products
  • Empirical research on capital markets: Test and calibrations of interest rate models, empirical investigation of bonds and credit derivatives, empirical research on energy and commodity markets
  • Risk Management: Valuation and management of interest rate, credit and liquidity risks
  • Corporate Finance: Valuation of companies, optimal capital structure, asymmetric information and agency models, hedging, treatment of risks in industry and commercial enterprises

In recent years, the finance industry and capital market products have been exposed to dramatic changes. New and more complex types of financial products and services require a much deeper understanding of capital market systems. The subprime crises thereby revealed the necessity to analyze the interplay between global financial service providers and their market activities. 

These problems can be analysed with modern capital market theory (portfolio theory, capital asset pricing model, arbitrage pricing theory, option pricing theory). The current focus lays in the field of fixed income products, especially in the valuation and management of interest rate, credit and liquidity risks, the valuation of energy derivatives, and the interaction between risk management and the financing policy of companies.

On the following pages, you will find further information concerning our research activities. That includes our publicationsresearch projects and awards. Together with the Institut für Finanzwirtschaft, Banken und Versicherungen, we are organizing the Symposium on Finance, Banking, and Insurance, a meeting point for professionals and researchers. Interested persons are also welcome to visit the Workshop on Economics and Finance, a lecture series of researchers who present their current work.

We thank the DZ BANK foundation for sponsoring our Bloomberg Professional Account.