University of Bamberg
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Faculty of Social Sciences, Economics, and Business Administration

Chair of Banking and Financial Control

  1.  University of bamberg
  2. Faculties
  3. Social Sciences, Economics and Business Administration
  4. Subjects and Institutes
  5. Business Administration
  6. Chairs
  7. Chair of Banking and Financial Control
  8. Research

Research

Research Profile

The Chair of Banking and Financial Controlling at the University of Bamberg emphasizes research on capital markets, asset management, and ESG (Environmental, Social, and Governance). Current studies explore the integration of sustainability criteria into investment strategies, the impact of ESG risks on financial markets, and the role of banks in sustainable wealth management. These focal points position the chair as a key hub for innovative research in finance and sustainability. Explore our publications in international journals and other media.

Refereed Journals

Muck, Matthias, Thomas Schmidl and Julian Wolf (2024): “Wish or reality? On the exploitability of triangular arbitrage in cryptocurrency markets”, Finance Research Letters, doi: 10.1016/j.frl.2024.106508

Herzing, Tobias J. and Matthias Muck (2024): "Can You Keep a Secret? The dissemination of false rumors and the evolution of bubbles in perceived predatory trading games", International Review of Financial Analysis, doi: 10.1016/j.irfa.2024.103592

Kleffel, Philipp and Matthias Muck (2024): "The confusion of taste and consumption: Evidence from a stated-choice experiment", Journal of Behavioral and Experimental Finance, doi: 10.1016/j.jbef.2024.100964

Muck, Matthias and Thomas Schmidl (2024): "Comparing ESG score weighting approaches and stock performance differentiation", Finance Research Letters, doi: 10.1016/j.frl.2024.105924

Albert, Pascal, Michael Herold and Matthias Muck (2023): "Estimation of Rare Disaster Concerns From Option Prices – An Arbitrage-Free RND-Based Smile Construction Approach", Journal of Futures Markets, doi: 10.1002/fut.22457

Kleffel, Philipp and Matthias Muck (2023): "Aggregate confusion or inner conflict? An experimental analysis of investors reaction to greenwashing", Finance Research Letters (53), doi: 10.1016/j.frl.2022.103421

Muck, Matthias (2022): "Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities", Review of Derivatives Research, 25:293–314, doi: 10.1007/s11147-022-09189-9, Online Appendix(143.5 KB)

Eierle, Brigitte, Sebastian Klamer and Matthias Muck (2022): "Does it really pay off for investors to consider information from social media?", International Review of Financial Analysis (81), doi: 10.1016/j.irfa.2022.102074

Herold, Michael, Andreas Kanz and Matthias Muck (2021): "Do opinion polls move stock prices? Evidence from the US presidential election in 2016", The Quarterly Review of Economics and Finance (80), 665-690, doi: 10.1016/j.qref.2021.03.013

Branger, Nicole, Michael Herold and Matthias Muck (2021): "International Stochastic Discount Factors and Covariance Risk", Journal of Banking and Finance (123), doi: 10.1016/j.jbankfin.2020.106018

Branger, Nicole, Matthias Muck and Stefan Weisheit (2019): "Correlation Risk and International Portfolio Choice", Journal of Futures Markets, doi: 10.1002/fut.21941

Branger, Nicole, Matthias Muck, Frank Seifried and Stefan Weisheit (2017): "Optimal Portfolios When Variances and Covariances Can Jump", Journal of Economic Dynamics & Control (85), 59-89, doi: 10.1016/j.jedc.2017.09.008

Mahayni, Antje and Matthias Muck (2017): "The Benefit of Life Insurance Contracts with Capped Index Participation When Stock Prices are Subject to Jump Risk", Review of Derivatives Research 20 (3), 281-308, doi: 10.1007/s11147-017-9131-9

Muck, Matthias (2012): "Spread Ladder Swaps - An Analysis of Controversial Interest Rate Derivatives", Perspectives, Financial Markets and Portfolio Management 26 (2), 269-289, doi: 10.1007/s11408-012-0186-1

Branger, Nicole and Matthias Muck (2012): "Keep on Smiling? The pricing of Quanto options when all covariances are stochastic", Journal of Banking and Finance 36 (6), 1577-1591, doi: 10.1016/j.jbankfin.2012.01.004

Volmer, Thomas (2011): "A Robust Model of the Convenience Yield in the Natural Gas Market", Journal of Futures Markets 31 (11), 1011-1051, doi: 10.1002/fut.20504

Muck, Matthias (2010): "Trading Strategies with Partial Access to the Derivatives Market", Journal of Banking and Finance 34 (6), 1288-1298, doi: 10.1016/j.jbankfin.2009.11.025

Marckhoff, Jan and Jens Wimschulte (2009): „Locational Price Spreads and the Pricing of Contracts for Difference: Evidence from the Nordic Market”, Energy Economics 31 (2), 257-268.

Marckhoff, Jan, Sebastian Paik and Stefanie Weiß (2009): „Preiseffizienz im Futuresmarkt der EEX”, Zeitschrift für Energie, Markt, Wettbewerb, Heft 2, 26-31.

Muck, Matthias (2007): „Pricing turbo certificates in the presence of stochastic jumps, interest rates, and volatility”, DBW – Die Betriebswirtschaft 67 (2), 224-240.

Muck, Matthias (2006): „Where Should You Buy Your Options? The Pricing of Exchange-Traded Certificates and OTC Derivatives in Germany”, The Journal of Derivatives 14 (Fall), 82-96, doi: 10.3905/jod.2006.650200

Muck, Matthias and Markus Rudolf (2005): „Improving Discrete Implementation of the Hull and White Two-Factor Model”, The Journal of Fixed Income 14 (March), 67-75, doi: 10.3905/jfi.2005.491116

Adams, Michael, Matthias Muck and Markus Rudolf (2004): „Basel II – A Guarantee for a Stable Banking System?", Perspectives, Financial Markets and Portfolio Management 18 (3), 306-311.

Muck, Matthias and Markus Rudolf (2004): „Zinsstrukturmodelle: Hedging im Hull/White-Einfaktormodell in diskreter und stetiger Zeit“, Finanz-Betrieb FB, 551-561

Books and other Publications

Mahayni, Antje and Matthias Muck (2019): "Wertschöpfung durch Versicherungen", in: Patrick Ulrich and Björn Baltzer (2019): Wertschöpfung in der Betriebswirtschaftslehre, Springer Gabler, Wiesbaden, 535-560, doi: 10.1007/978-3-658-18573-2_24

Mahayni, Antje and Matthias Muck (2017): "Vergleich von Garantiekonzepten im Kontext innovativer Lebensversicherungsprodukte", in: Stefan Kirmße and Stephan Schüller (2017): Aktuelle Entwicklungslinien in der Finanzwirtschaft, Fritz Knapp Verlag, Frankfurt, 661-687.

Muck, Matthias, Dominik Staniewski and Stefan Weisheit (2016): "Optimale Fristentransformation von international agierenden Banken", in: Stefan Eckert and Georg Trautnitz (2016): Internationales Management und die Grundlagen des globalisierten Kapitalismus, Springer Gabler, 199-218, doi: 10.1007/978-3-658-09599-4_9

Muck, Matthias und Christian Putz (2016): "Lebenszykluseffekte in einem konsumbasierten Kapitalmarktmodell", WiSt - Wirtschaftswissenschaftliches Studium, 45 (7), 350-355, doi: 10.15358/0340-1650-2016-7-350

Muck, Matthias und Stefan Weisheit (2013): "Optimal Portfolio Choice, Derivatives and Event Risk", in: Wehn, Carsten S., Christian Hoppe und Greg N. Gregoriou (2013): Rethinking Valuation and Pricing Models: Lessons Learned from the Crisis and Future Challenges, Academic Press, Elsevier Inc., 501-517.

Herold, Michael and Matthias Muck (2012): "Risk-Neutral Densities and Catastrophe Events", in: Jonathan A. Batten and Niklas Wagner (2012): Contemporary Studies in Economic and Financial Analysis 94: Derivative Securities Pricing and Modelling, Bingley, UK: Emerald, 185-207.

Marckhoff, Jan and Matthias Muck (2010): "Bewertung von Stromderivaten", in: Roland Eller, Markus Heinrich, René Perrot and Markus Reif (2010): Management von Rohstoffrisiken - Strategien, Märkte und Produkte, Wiesbaden: Gabler, 297-325.

Marckhoff, Jan and Matthias Muck (2008): "Die Bewertung von Stromderivaten mit Hilfe von Reduced-Form-Modellen", in: Andreas Oehler and Udo Terstege (2008): Finanzierung, Investition und Entscheidung. Einzelwirtschaftliche Analysen zur Bank- und Finanzwirtschaft, Festschrift für Michael Bitz, Springer, 295-320.

Muck, Matthias and Markus Rudolf (2008): "The Pricing of Electricity Forwards", in: Roland Füss, Dieter G. Kaiser and Frank J. Fabozzi (2008): The Handbook of Commodity Investing, Wiley, 596-612.

Muck, Matthias and Markus Rudolf (2006): „Derivatebewertung mit dem LIBOR-Marktmodell", in: Wolfgang Kürsten and Bernhard Nietert (2006): Kapitalmarkt, Unternehmensfinanzierung und rationale Entscheidungen - Festschrift für Jochen Wilhelm, Berlin: Springer, 453-472, doi: 10.1007/3-540-30516-5_24

Muck, Matthias and Markus Rudolf (2006): „Optionsbewertung mit stochastischer Volatilität: Implementation des Heston-Modells", WiSt Wirtschaftswissenschaftliches Studium, 35 (6), 325-330, doi: 10.15358/0340-1650-2006-6-325

Holtorf, Claudia, Matthias Muck and Markus Rudolf (2005): „The New Basel Capital Accord“, in: Michael Frenkel, Ulrich Hommel and Markus Rudolf: Risk Management, 2nd edition, Berlin: Springer, 79-98, doi: 10.1007/3-540-26993-2_4

Muck, Matthias and Markus Rudolf (2005): „International Corporate Risk Management: A Comparison of Three Major Airlines“, in: Michael Frenkel, Ulrich Hommel and Markus Rudolf: Risk Management, 2. Auflage, Berlin: Springer, 571-590, doi: 10.1007/3-540-26993-2_29

Muck, Matthias and Markus Rudolf (2004): „Bewertung von Swaptions im Hull/White Modell", WiSt Wirtschaftswissenschaftliches Studium, 33 (4), 211-216, doi: 10.15358/0340-1650-2004-4-211

Muck, Matthias and Markus Rudolf (2004): „Fallstudie: Risikomanagement bei Lufthansa“, in: Ann-Kristin Achleitner and Georg F. Thoma (2004): Handbuch Corporate Finance, Loseblattausgabe, 2. Auflage, Köln 2001: Deutscher Wirtschaftsdienst.

Muck, Matthias and Markus Rudolf (2003): „How technology stocks have become poor dogs and not cash cows", Financial Markets and Portfolio Management 17, 1-8, doi: 10.1007/s11408-003-0101-x