[Zurück]
 
Please choose
Jahr
Details
Sprache
Sortierung
Ausgabe
neu: RTF !
 Research Report for 2010

Abteilung für Quantitative Finanzmarktforschung

Platz der Alten Synagoge
79085 Freiburg i. Br.
Tel: 0761 - 203 9362 Fax: 0761 - 203 9367
Email eva.luetkebohmert@finance.uni-freiburg.de
http://www.finance.uni-freiburg.de


Scientific Employees

Entries in "Who is Who"

Main Research

  • Pricing of Risk in Incomplete Markets
  • Industrial Structure of the Auditing Industry
  • Price Discovery and Liquidity before the SEC: The Case of the NYSE
  • Regulation of Financial Markets

Financing

  • DFG (Exzellenzinitiative): FRIAS-Research Fellowship "Information, Trust and Liquidity in Incomplete Markets"
  • DFG (Exzellenzinitiative): Pricing of Risk in Incomplete Markets (Nachwuchsforschergruppe)
  • NSF - Collaborative Research on "Early Markets: NYSE before the SEC" with Caroline Fohlin (Johns Hopkins University, Baltimore)
  • MWK - "Kompetenzverbund Sicherheit und Gesellschaft"
  • BMBF - Sofortrettung bei Grossunfall (SOGRO)

Scientific and Research Projects


  • A. Research Group "Pricing of Risk in Incomplete Markets" funded by the German Excellence Initiative (Bertha-Ottenstein Professur)
    • Project Manager: JProf. Dr. Eva Lütkebohmert-Holtz
    • Start/End of project: 01.10.2008 until 30.09.2013
    • Project Details
  • A. FRIAS Research Fellowship: Information, Liquidity and Trust in Incomplete Markets
    • Project Manager: Prof. Thomas P. Gehrig, Ph.D.
    • Start/End of project: 01.03.2009 until 30.11.2010
    • Project Details
  • C. Sofortrettung bei Grossrettung mit Massenanfall von Verletzten (SOGRO)
    • Project Manager: Prof. Thomas P. Gehrig
    • Start/End of project: 01.03.2009 until 28.02.2012
    • Project Details
  • D. International and Interregional Consumption Risk Sharing
    • Project Manager: Flotho, Teja
    • Start/End of project: 2002 until 2010
    • Project Details

Scientific publications

Journal Articles:
  • Berninghaus Siegfried, Güth Werner, Levati Vittoria, Qiu Jianying: Satisficing in Sales Competition: Experimental Evidence Int J Game Theory, 2010. (in Druck)
  • Brünner Tobias, Levinsky Rene, Qiu Jianying: A note on skewness seeking: an experimental analysis The European Journal of Finance, 2010. (in Druck)
  • Gehrig, Thomas, Shy, Oz, Stenbacka, Rune: History-Based Price Discrimination and Entry in Markets with Switching Costs: A Welfare Analysis Eur Econ Rev, 2010. (in Druck)
  • Qiu, Janying, Steiger, Eva Maria: Understanding the two components of risk attitudes: an experimental analysis Manage Sci, 2010. (in Druck)
Book Chapters:
  • Gehrig, Thomas P.: Politische Macht und freiheitliche Gesellschaftsordnung In: Thomas P. Gehrig, Dieter K. Tscheulin, Viktor J. Vanberg (Hrsg.): Freiburger Schule und die Zukunft der Sozialen Marktwirtschaft Berlin: Berliner Wissenschaftsverlag, 2010; 52-64.
Editions (miscellany):
  • Gehrig, Thomas P., Tscheulin, Dieter K., Vanberg, Viktor J. (Hrsg.): Die Freiburger Schule und die Zukunft der Sozialen Marktwirtschaft, Berlin: Berliner Wissenschaftsverlag, 2010.
Short Communications:
  • Gehrig, Thomas P.: The Economics of Regional Demarcation in Banking - A Comment Schmalenbachs Business Review, 2010. (in Druck)
Oral Presentations:
  • Ebert Sebastian, Lütkebohmert Eva: Treatment of double default effects within the granularity adjustment for Basel II 2010 (Conference on Large Portfolio, Concentration and Granularity (Paris)).
  • Gehrig, Thomas P: Finanzkrise - und kein Ende? 2010 (Günterstal).
  • Gehrig, Thomas P.: Trading Promises - Can we Trust in Banks? 2010 (FRIAS - Evening Speech).
  • Gehrig, Thomas P.: History-Based Pricing and Entry in Markets with Switching Costs 2010 (European School of Management and Technology (ESMT), Berlin).
  • Gehrig, Thomas P.: Financial Markets Equilibrium with Short-Selling Constraints 2010 (University of Michigan, Ann Arbor).
  • Gehrig, Thomas P.: Financial Markets Equilibrium with Short-Selling Constraints 2010 (Bendheim Center of Finance, Princeton University).
  • Gehrig, Thomas P.: Short-Selling Constraints and Information Acquisition 2010 (Ross School of Business, U. Michigan).
  • Gordy Michael, Lütkebohmert Eva: Granularity Adjustment for Basel II 2010 (FU Berlin).
  • Lütkebohmert-Holtz, Eva, Liang, Gechun (Oxford), Xiao, Yajun: A Multi-Period Bank Run Model for Liquidity Risk 2010.
  • Rune Stenbacka (mit Thomas Gehrig, Oz Shy): History Based Price Discrimination and Entry in Markets with Switching Costs 2010 (Max Planck Institute for Research on Collective Goods, Bonn).
Conference Papers:
  • Eberlein, Ernst, Gehrig, Thomas P., Madan, Dilip: Accounting to Acceptability with Applications to Pricing one's own Risk 2010 (FRIAS-Deutsche Bundesbank Workshop: "Information and Liquidity in Incomplete Markets", Eltville).
  • Fohlin Caroline, Gehrig Thomas: Liquidity and Competition in Unregulated Markets: The NYSE before the SEC 2010 (European Stock Markets in Historical Perspective, Cambridge).
  • Gehrig, Thomas: Short-Selling Constraints and Information Acquisition 2010 (24. Nagoya-Freiburg Joint Seminar / Freiburg).
  • Gehrig, Thomas P: Emerging Markets over the Long Run - Comment on Elroy Dimson 2010 (European Stock Markets in Historical Perspective, Cambridge).
  • Gehrig, Thomas P: Information, Sicherheit und Privatsphäre 2010 (FRIAS-Eröffnungsworkshop "Sicherheit und Gesellschaft" / Freiburg).
  • Gehrig, Thomas P: Financial Markets Equilibrium with Short-Sale Constraints 2010 (ESSFM 2010 (European Summer Symposium in Financial Markets), Gerzensee, CEPR und Schweizerische Nationalbank).
  • Gehrig, Thomas P.: The Economics of Unsolicited Ratings - Comment 2010 (Credit Rating Agencies and the Certification Process, Humboldt University, Berlin).
  • Gehrig Thomas: Short-Selling Constraints and Information Acquisition 2010 (Symposium on Pricing in Energy Markets and Financial Markets, Vienna).
  • Spanjers, Wilhelmus: Liquidity Provision, Ambiguous Asset Returns, and the Financial Crisis 2010 (Bundesbank-FRIAS Workshop: Liquidity and Trust in Incomplete Markets, Eltville).
  • Trost Michael: On the Equivalence of Iterated Application of a Choice Rule and Common Belief of Applying that Rule 2010 (Workshop on Epistemic Game Theory, Stony Brook University).
  • Trost Michael: Epistemic Characterization of Iterated Deletion of Inferior Strategy Profiles 2010 (9th Conference on Logic and the Foundations of Game and Decision Theory (LOFT 2010), Toulouse).
  • Trost Michael: On the Equivalence of Iterated Application of a Choice Rule and Common Belief of Applying that Rule 2010 (Epistemic Game Theory Workshop / Stony Brook).
  • Trost Michael: On the Equivalence of Iterated Application of a Choice Rule and Common Belief of Applying that Rule 2010 (Workshop on Decisions, Games and Logic / Paris).
Other publications (type Sonstiges):
  • Bester, Helmut, Gehrig, Thomas, Stenbacka, Rune: Optimal Securitization 2010.
  • Bleile Jörg: Ökonomische Bewertung des Zeitgewinns neuer Technologien bei MANV 2010.
  • Gehrig, Thomas P., Shy, Oz, Stenbacka, Rune: A Welfare-Evaluation of History-Based Price Discrimination 2010.
  • Gehrig, Thomas P., Shy, Oz, Stenbacka, Rune: History-Based Price Discrimination and Entry in Markets wit Switching Costs: A Welfare Analysis 2010.
  • Gehrig Thomas: Financial Markets Equilibrium with Short-Selling Constraints 2010.
  • Gehrig Thomas, Shy Oz, Stenbacka Rune: A Welfare Evaluation of History-Based Price Discrimination HECER Discussion Paper 299, 2010.
  • Trost, Michael: Epistemic Characterizations of Iterated Deletion of Inferior Strategy Profiles in Perference-Based Type Spaces 2010.
  • Trost Michael: Epistemic Characterization of Iterated Deletion of Inferior Strategy Profiles 2010.

Special Scientific Activities

Preise / Ehrungen:
  • Dr. Marco Wölfle: Friedrich Lutz Preis , Dissertation 2009, 01.10.2010 bis 31.10.2010.
  • Dr. Tobias Brünner: Südwestmetall Preis , Dissertation 2009, 01.10.2010 bis 31.10.2010.
Stipendien:
  • Professor Thomas P. Gehrig, Ph.D.: FRIAS Interdisciplinary Research Fellowship für das Forschungsprojekt "Information, Liqudity and Trust in Incomplete Markets", Zukunftskonzept der Universität Freiburg - Neue Universitas, Freiburg Institute of Advanced Studies (FRIAS), 01.10.2009 bis 31.07.2010.
Ehrung:
  • Professor Thomas P. Gehrig, Ph.D.: Member of the Executive Board, European Association for Research in Industrial Economics (EARIE), 01.09.2005 bis 31.08.2011.
Veranstaltung:
  • Prof. Thomas P. Gehrig, Ph.D., gemeinsam mit, Prof. Dr. Günter Müller, Prof. Dr. Dirk Neumann, Prof. Dr. Thomas Würtenberger, und Prof. Dr. Walter Perron: FRIAS-Conference: Security and Society, 08.07.2010.
  • Prof. Thomas P. Gehrig, Ph.D., gemeinsam mit Prof. Dr. Ernst Eberlein, und, Prof. Hans-Helmut Kotz: CEPR-FRIAS-RFS Symposium: Information and Liquidity in Incomplete Markets, Freiburg, 11.10.2010 bis 13.10.2010.
  • Prof. Thomas P. Gehrig, Ph.D., gemeinsam mit Prof. Dr. Ernst Eberlein, und Prof. Hans-Helmut Kotz: FRIAS-Bundesbank Joint Conference: Information and Liquidity in Incomplete Markets, 15.03.2010 bis 17.03.2010.
  • Professor Thomas P. Gehrig und Professor Ernst Eberlein: Forschergruppe "Pricing of Risk in Incomplete Markets" , Zukunftskonzept der Albert Ludwigs Universität im Rahmen der Deutschen Exzellenzinitiative, 01.10.2008 bis 30.09.2013.
  • Professor Thomas P Gehrig, Ph.D.: Program Committee, EARIE Annual Meeting, Istanbul, 01.03.2010 bis 01.10.2010.
  • Professor Thomas P Gehrig, Ph.D.: Program Committee, EFA Annual Meeting, Frankfurt, 01.03.2010 bis 01.10.2010.
Fakultaet:
  • Professor Dr. Thomas P. Gehrig: Koordinator des Master of Finance, 01.07.2002 bis 31.08.2010.

Scientific Dissertations

Degree Dissertations
  • Hoffmann, Michael: Liquidity and Market Crashes, 2010.
  • Jochen Baumgartner: Bewertung und Hedging von Spread Optionen (Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2010.
  • Schneider Frank: Soziale Präferenzen und individuelles Gerechtigkeitsempfinden, 2010.
Master
  • Bracke Verena: Systemic Risk in Intermediated Financial Networks, 2010.
  • Fu, Tingting: Should Banks Keep Credit Information Private?, 2010.
  • Longfei Chen: Valuation of the Euribor-Expander-Derivative (Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2010.
  • Stamenkova, Anita: Securitization as a Driver of the Financial Crisis 2007-2009., 2010.




Guest Scientists:

  • Dr. Sven Balder, Universität Duisburg-Essen, Lehrauftrag, 01.05.2010 bis 30.06.2010
  • Liang Gechun, Oxford, UK, 28.03.2010 bis 02.04.2010
  • Philipp Mayer, TU Graz, Österreich, Forschungsaufenthalt und Vortrag, 12.04.2010 bis 14.04.2010
  • Professor Dr. Hans Gersbach, ETH Zürich, Schweiz, FRIAS Short-Term Fellow, 18.01.2010 bis 31.10.2010
  • Professor Dr. Hans Gersbach, ETH Zürich, Schweiz, FRIAS-Short Term Fellow, 28.06.2010 bis 05.07.2010
  • Professor Dr. Wilhelmus Spanjers, Kingston University, UK, Forschungsaufenthalt, 01.08.2010 bis 31.01.2011
  • Professor Guglielmo Caporale, Brunel University, UK, Forschunsaufenthalt und Vortrag im Forschungsseminar, 10.02.2010 bis 15.02.2010
  • Professor Nobuyoshi Yamori, Nagoya University, Japan, Konferenzteilnahme: 24. Gemeinsames Freiburg-Nagoya Seminar, Freiburg, 19.09.2010 bis 23.09.2010
  • Professor Oldrich Vasicek, San Francisco, USA, FRIAS Visiting Fellow, 19.04.2010 bis 24.04.2010
  • Professor Rosario Mantegna, University Palermo, Italien, Vorlesungsreihe Eco-Physics: Physical Models for Financial Markets?, 17.05.2010 bis 19.05.2010
  • Professor Rune Stenbacka, Helsinki Center for Economic Research, Finland, FRIAS Short-Term Fellow, 01.05.2010 bis 31.05.2010
  • Professor Shogo Kimura, Nagoya University, Japan, Konferenzteilnahme: 24. Gemeinsames Freiburg-Nagoya Seminar, Freiburg, 19.09.2010 bis 23.09.2010
  • Professor Yuko Arayama, Nagoya University, Japan, Konferenzteilnahme: 24. Gemeinsames Freiburg-Nagoya Seminar, Freiburg, 19.09.2010 bis 23.09.2010
  • Sebastian Ebert, Universität Bonn, Forschungskooperation, 07.02.2010 bis 12.02.2010