This paper describes the first thorough empirical analysis of the pricing of leverage products
in the German retail market. These mainly exchange-traded products with an impressive …

For no clear reason, many retail investors seem to have an unnatural taste for exotic
structured products with payoffs that depend on complex and hard-to-value contingencies …

We analyze the order flow of discount certificates, its dependence on product age, and the
implications for issuer pricing behavior. Based on a unique data set of exchange trades and …

Das Buch führt umfassend und anwendungsorientiert in die breite Palette der derivativen
Finanzmarktinstrumente ein. Die Charakteristika von Optionen und Futures werden …

This paper presents the first analysis of open-end leverage certificates on the German
market. The major innovations of these certificates are twofold. First, issuers announce a …

Cumulative prospect theory (CPT) is widely considered to be the most successful descriptive
theory for decision making under risk and uncertainty. Sophisticated methods have been …

Exchange-traded commodities (ETCs) open the commodity markets to both private and
institutional investors. This paper is the first to examine the pricing efficiency and potential …

The Callable Bull/Bear Contract is a barrier options contract recently introduced to the Hong
Kong market. In this study, we propose a trading strategy that defines the entry point and exit …

Markets for over-the-counter derivatives have flourished during the last decade, especially in
Europe and Asia. In these markets, investors often face a choice between many instruments …

This paper presents the first theoretical model of the profit maximizing price-setting policy for
the issuers of exchange-traded retail certificates. Unlike previous theoretical microstructure …