Dr. Sascha Wilkens, CFA, CAIA, FRM, PRM

 
ITM_Wilkens

E-Mail
  
     
Research interests  
 
  • Valuation of derivative claims
     
  • Risk management
     
  • Empirical capital market research
  
     
Working papers  
   
     
Books  
 

  • Option Pricing and Risk Management based on Mixtures of Distributions. Theoretical Analysis and Empirical Evaluation of the European Derivatives Market (in German), Wiesbaden 2003.

  • Numerical Methods in Option Pricing (in German), Karlsruhe 2000.

  
Articles in refereed journals  

 

 

English

  • The Pricing of Dividend Futures in the European Market: A First Empirical Analysis, Journal of Derivatives and Hedge Funds, Vol. 16, 2007, pp. 136-143 (with Jens Wimschulte).

  • Option Returns versus Asset-Pricing Theory: Evidence from the European Option Market, Journal of Derivatives and Hedge Funds, Vol. 13, 2007, pp. 170-176.

  • The Pricing of Leverage Products: An Empirical Investigation of the German Market for 'Long' and 'Short' Stock Index Certificates, Journal of Banking and Finance, Vol. 31, 2007, pp. 735-750 (with Pavel A. Stoimenov).

  • The Pricing of Electricity Futures: Evidence from the European Energy Exchange, The Journal of Futures Markets, Vol. 27, 2007, pp. 387-410 (with Jens Wimschulte).

  • The Informational Content of Option-implied Distributions: Evidence from the Eurex Index and Interest Rate Futures Options Market, Global Finance Journal, Vol. 17, 2006, pp. 50-74 (with Klaus Röder).

  • Option Pricing based on Mixtures of Distributions: Evidence from the Eurex Index and Interest Rate Futures Options Market, Derivatives Use, Trading and Regulation, Vol. 11, 2005, pp. 213‑231.

  • Are Structured Products "Fairly" Priced? An Analysis of the German Market for Equity-linked Instruments, Journal of Banking and Finance, Vol. 29, 2005, pp. 2971-2993 (with Pavel A. Stoimenov).

  • Price and Volume Effects Associated with 2003’s Major Reorganization of German Stock Indices, Financial Markets and Portfolio Management, Vol. 19, 2005, pp. 61-98 (with Jens Wimschulte).

  • The Pricing of Structured Products in Germany, The Journal of Derivatives, Vol. 11, Fall 2003, pp. 55-69 (with Carsten Erner and Klaus Röder).

  • Reverse Convertibles and Discount Certificates in the Case of Constant and Stochastic Volatilities, Financial Markets and Portfolio Management, Vol. 17, 2003, pp. 76-102 (with Klaus Röder).

 
German

  • GDP-linked Bonds: Concept, Economic Analysis, and Valuation (in German), Finanz Betrieb, Vol. 10, 2008, pp. 507-520 (with Andreas Trauten and Jens Wimschulte).

  • The CX Commodity Index Family of Deutsche Börse: Overview and First Analysis (in German), Bankarchiv, Vol. 55, 2007, pp. 755-763 (with Jens Wimschulte).

  • Inflation-linked Bonds. An Analysis against the Background of Germany's First Federal Issuance (in German), Finanz Betrieb, Vol. 8, 2006, pp. 573-580 (with Jens Wimschulte).

  • Trading in CO2 Emission Allowances: An Early Assessment (in German), Finanz Betrieb, Vol. 8, 2006, pp. 394-406 (with Jens Wimschulte).

  • Simulation-based Valuation of Option Rights on Electricity (in German), Finanz Betrieb, Vol. 8, 2006, pp. 300-311 (with Kalin Tanev).

  • Structured Financial Products with Sport Bet Characteristics (in German), Finanz Betrieb, Vol. 7, 2005, pp. 672-678.

  • Structured Financial Products in the German Capital Market (in German), Finanz Betrieb, Vol. 7, 2005, pp. 512-517 (with Pavel A. Stoimenov).

  • Macroeconomic Derivatives (in German), Die Betriebswirtschaft, Vol. 64, 2004, pp. 641-646 (with Andreas Trauten).

  • Macroeconomic Derivatives – Concept, Valuation, and Applications (in German), Finanz Betrieb, Vol. 6, 2004, pp. 445-457 (with Andreas Trauten and Klaus Röder).

  • Pricing and Hedging Performance of Option Pricing Models – An Assessment of Empirical Studies at DTB and Eurex (in German), Finanz Betrieb, Vol. 6, 2004, pp. 314-322.

  • The Pricing of Reverse Convertibles and Discount Certificates – A Thesis on the Influence of the Product Life Cycle (in German), Zeitschrift für Bankrecht und Bankwirtschaft, Vol. 16, 2004, pp. 105-113 (with Carsten Erner and Klaus Röder).

  • The Market for Structured Products in Germany – Overview, Product Valuation, and Empirical Pricing Analysis (in German), Finanz Betrieb, Vol. 6, 2004, pp. 207-218 (with Pavel A. Stoimenov).

  • Electricity Derivatives (in German), Die Betriebswirtschaft, Vol. 64, 2004, pp. 121-125 (with Jens Wimschulte).

  • Remarks on Fischer/Greistorfer/Sommersguter-Reichmann: "Turbo Certificates" (ÖBA 12/2002, pp. 995-1005) and "Short Certificates" (ÖBA 02/2003, pp. 119-128) (in German), Bankarchiv, Vol. 51, 2003, p. 946 (with Ulrich Sonnemann).

  • Value-at-Risk based on Extreme Value Theory (in German), Finanz Betrieb, Vol. 5, 2003, S. 821-829 (with Hendrik Hakenes).

  • "Protected" Reverse Convertibles as Innovative Structured Products (in German), Zeitschrift für Bankrecht und Bankwirtschaft, Vol. 14, 2002, pp. 77-89 (with Klaus Röder).

  • Weather Derivatives (in German), Die Betriebswirtschaft, Vol. 62, 2002, pp. 116-119 (with Andreas Kamp).

  • The Valuation of Exotic Options by Monte Carlo Simulation (in German), Finanz Betrieb, Vol. 3, 2001, pp. 118-124 (with Klaus Röder).

  
     
Articles in unrefereed journals and journals for university eduation  

 

 

  • Storm Loss Futures at the Eurex: Heavy Blast (in German), Die Bank, March 2010, pp. 18-22 (with Jens Wimschulte).

  • Case Study: Analysis of Structured Credit Derivatives on the Example of CDOs (in German), Wirtschaftswissenschaftliches Studium, Vol. 39, 2010, pp. 107-111.

  • Inflation-linked German Government Securities: Investments for Turbulent Times? (in German), Zeitschrift für das gesamte Kreditwesen, Vol. 63, 2010, pp. 83-86 (with Jens Wimschulte).

  • Property Derivatives: New Trading Facility at the Derivatives Exchange Eurex (in German), Immobilien & Finanzierung, Vol. 60, 2009, pp. 784-787 (with Jens Wimschulte).

  • Case Study: The Valuation of Credit Default Swaps (in German), Wirtschaftswissenschaftliches Studium, Vol. 38, 2009, pp. 161-164.

  • Freight Derivatives: Cast off (in German), Die Bank, December 2008, pp. 22-28 (with Jens Wimschulte).

  • Inflation Futures: Hedging Inflation Risk (in German), Die Bank, July 2008, pp. 22-27 (with Jens Wimschulte).

  • Case Study: Principal Components Analysis (PCA) in Risk Management (in German), Wirtschaftswissenschaftliches Studium, Vol. 36, 2007, pp. 599-603.

  • Exchange-based Gas Trading in Germany – Introduction to Products and Price Modeling (in German), Energiewirtschaftliche Tagesfragen, Vol. 57, No. 11, 2007, pp. 74-80 (with Jens Wimschulte).

  • Modern Portfolio Theory Applied to Stock Indices: Optimized Investment Strategies (in German), Die Bank, October 2007, pp. 24-28 (with Jens Wimschulte).

  • Electricity Spot Price Indices on the Swiss Market: A Comparison of SWEP and Swissix (in German), Energiewirtschaftliche Tagesfragen, Vol. 57, No. 6, 2007, pp. 44-48 (with Jens Wimschulte).

  • Eurex Credit Futures: The World's First Exchange-traded Credit Derivatives (in German), Die Bank, June 2007, pp. 14-19 (with Jens Wimschulte).

  • Volatility Futures: Volatility as Traded Asset (in German), Die Bank, March 2007, pp. 17-19

  • Plastics Derivatives: "Jute statt Plastik"? (in German), Zeitschrift für das gesamte Kreditwesen, Vol. 60, 2007, pp. 184-187.

  • DAXplus Covered Call and DAXplus Protective Put: The Derivatives Strategy Indices of Deutsche Börse (in German), Zeitschrift für das gesamte Kreditwesen, Vol. 59, 2006, pp. 1228-1231.

  • Sports Betting: More than a Game of Chance (in German), Die Bank, November 2006, pp. 14-17.

  • Empiricial Validation of the Capital Asset Pricing Model (in German), Wirtschaftswissenschaftliches Studium, Vol. 34, 2005, pp. 269-273 (with Pavel A. Stoimenov).

  • Case Study: The Capital Asset Pricing Model – Results for the German Stock Market (in German), Wirtschaftswissenschaftliches Studium, Vol. 34, 2005, pp. 295-300 (with Pavel A. Stoimenov).

  • Real Options (in German), Das Wirtschaftsstudium, Vol. 33, 2004, p. 759 (with Carsten Erner).

  • Financial Engineering: The DAX Savings Account – A Product under Review (in German), Zeitschrift für das gesamte Kreditwesen, Vol. 57, 2004, pp. 302-314.

  • Structured Products (in German), Das Wirtschaftsstudium, Vol. 32, 2003, p. 327 (with Carsten Erner).

  • Case Study: Analysis of Structured Products, Part II (in German), Wirtschaftswissenschaftliches Studium, Vol. 32, 2003, pp. 620-624 (with Klaus Röder).

  • Case Study: Analysis of Structured Products, Part I (in German), Wirtschaftswissenschaftliches Studium, Vol. 32, 2003, pp. 563-564 (with Klaus Röder).

  • Accrued Interest (in German), Das Wirtschaftsstudium, Vol. 31, 2002, p. 327 (with Carsten Erner).

  • Case Study: The Use of Options in Portfolio Management (in German), Wirtschaftswissenschaftliches Studium, Vol. 30, 2001, pp. 563-567 (with Klaus Röder).

  • The Black/Scholes Option Pricing Formula – A Derivation with the Principle of Risk-Neutral Valuation (in German), Wirtschaftswissenschaftliches Studium, Vol. 30, 2001, pp. 355-361 (with Lutz Hahnenstein and Klaus Röder).

  • Case Study: Option Pricing Theory – Selected Sensitivity Analyses (in German), Das Wirtschaftsstudium, Vol. 30, 2001, pp. 840-842 (with Klaus Röder and Carsten Erner).

  • Case Study: Option Pricing Theory – Valuation with the Black/Scholes and Binomial Model (in German), Das Wirtschaftsstudium, Vol. 30, 2001, pp. 707-709 (with Klaus Röder and Carsten Erner).

  
     
Other media  

 

 TV Interview on "Weather Derivatives" (in German), Markt im Dritten (N3), July 16, 2001.  
     
Last update: August 2010

 

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(c) 2010 Sascha Wilkens.