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• "The pricing of temperature futures at the Chicago Mercantile Exchange", Dorfleitner, Wimmer, 2010

  Publikation

  This paper analyzes observed prices of US temperature futures at the Chicago Mercantile Exchange (CME). Results show that an index modeling approach...

  Publikation auf epub.uni-regensburg.de: "The pricing of temperature futures at the Chicago Mercantile Exchange" (externer Link, öffnet neues Fenster)

• "Zero Coupon Yield Curve Estimation with the Package termstrc", Ferstl, Hayden, 2010

  Publikation

  Since zero-coupon rates are rarely directly observable, they have to be estimated from market data. In this paper we review several widely-used...

  Publikation auf epub.uni-regensburg.de: "Zero Coupon Yield Curve Estimation with the Package termstrc" (externer Link, öffnet neues Fenster)

• "Flexing the default barrier", Dorfleitner, Schneider, Veza, 2011

  Publikation

  The paper introduces a Black-Cox-type structural model for credit default swaps (CDS). The existing literature on structural CDS pricing is extended...

  Publikation auf epub.uni-regensburg.de: "Flexing the default barrier" (externer Link, öffnet neues Fenster)

• "Microcredit as an Asset Class: Structured Microfinance", Dorfleitner, Leidl, Priberny, 2011

  Publikation

  Publikation auf epub.uni-regensburg.de: "Microcredit as an Asset Class: Structured Microfinance" (externer Link, öffnet neues Fenster)

• "Asset-liability management under time-varying investment opportunities", Ferstl, Weissensteiner, 2011

  Publikation

  Stochastic linear programming is a suitable numerical approach for solving practical asset-liability management problems. In this paper, we consider a...

  Publikation auf epub.uni-regensburg.de: "Asset-liability management under time-varying investment opportunities" (externer Link, öffnet neues Fenster)

• "Risk capital allocation for RORAC optimization", Buch, Dorfleitner, Wimmer, 2011

  Publikation

  This paper considers the financial optimization problem of a firm with several sub-businesses striving for its optimal RORAC. An insightful example...

  Publikation auf epub.uni-regensburg.de: "Risk capital allocation for RORAC optimization" (externer Link, öffnet neues Fenster)

• "Kleine Kredite, große Rendite?Zur Refinanzierung von Mikrokrediten", Dorfleitner, Leidl, 2011

  Publikation

  Blick in die Wissenschaft

  Publikation auf epub.uni-regensburg.de: "Kleine Kredite, große Rendite? Zur Refinanzierung von Mikrokrediten" (externer Link, öffnet neues Fenster)

• "Theory of social returns in portfolio choice with application to microfinance", Dorfleitner, Leidl, Reeder, 2012

  Publikation

  We complement the Markowitz portfolio theory by adding a social dimension. Every asset is assigned a social return, which is generally modeled as...

  Publikation auf epub.uni-regensburg.de: "Theory of social returns in portfolio choice with application to microfinance" (externer Link, öffnet neues Fenster)

• "On the diversification benefits of commodities from the perspective of euro investors", Belousova, Dorfleitner, 2012

  Publikation

  This paper investigates the diversification contribution of several commodities to a portfolio of traditional assets from the perspective of a euro...

  Publikation auf epub.uni-regensburg.de: "On the diversification benefits of commodities from the perspective of euro investors" (externer Link, öffnet neues Fenster)

• "The effect of the Japan 2011 disaster on nuclear and alternative energy stocks worldwide: An event study", Ferstl, Utz, Wimmer, 2012

  Publikation

  This event study investigates the impact of the Japanese nuclear disaster in Fukushima-Daiichi on the daily stock prices of German, French, Japanese...

  Publikation auf epub.uni-regensburg.de: "The effect of the Japan 2011 disaster on nuclear and alternative energy stocks worldwide: An event study" (externer Link, öffnet neues Fenster)