Institut für Finance & Banking

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Dr. Janis Bauer

Dr. Janis Bauer

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Research interests

  • Empirical Option Pricing
  • Risk Management
  • Financial Econometrics

Working papers

  • "Model Calibration in Thinly Traded Derivatives Markets", Working Paper LMU Munich, October 2016. Munich Finance Day 2015, CEQURA Junior Workshop 2015, DGF Ph.D. Workshop 2015, DGF 2015 Best Ph.D. Student Paper Award, Swiss Derivative Awards 2016 (2nd place). (Link to paper)
  • "Are gross margins of structured products priced in a market-consistent way? Evidence from the new issuer estimated value" (with Holger Fink and Eva Stoller), CEQURA Working Paper, August 2016. (Link to paper)
  • "A Heston-Nandi GARCH Credit Risk Model", Working Paper LMU Munich, January 2017. Munich Finance Day 2017.