Florian Borchard, M. Sc.
Photo: Hardy Welsch
Email: florian.borchard
Phone: +49 2331 987-2937
Office hours: by appointment
Room: B 316, Bldg. 7
Profile
| Since 2019 | Research assistant at Faculty of Economic Sciences, Chair of Banking and Finance, at University of Hagen, Germany. |
| 2016 - 2019 | Studies in Business Administration and Economics at University of Hagen, Germany. Master of Science |
| 2016 - 2019 | Graduate assistant at Faculty of Economic Sciences, Chair of Banking and Finance, at University of Hagen, Germany. |
| 2016 | Ungraduate assistant at Faculty of Economic Sciences, Chair of Banking and Finance, at University of Hagen, Germany. |
| 2013 - 2016 | Studies in Economics at University of Hagen, Germany. Master of Science |
| 2012 - 2013 | Nationwide voluntary service |
| 2012 | A-levels |
Research Focus
mehr Infos
Volatility and jump risks as determinants of index option returns
Empirically observable returns on index options that are far out of the money are negative on average. While for put options only the sometimes extreme extend is surprising, a positive return would actually be expected for call options in conventional models. The discrepancy between theoretical and empirically observable returns is known as the "index option return puzzle". Possible solutions include the additional consideration of premiums for jump risks and/or volatility risks. Both explanatory approaches compete in the literature, with partly different results.
The research project will examine to which extent a more precise differentiation between the influence of jump and volatility risks can be achieved, for example by explicitly considering the influence of the volatility of the underlying. In addition, it will be examined to what extent the inconsistency of the jump risk premium-based approach with negative returns on call options shown in the literature can be overcome by using a more realistic jump model with somewhat flexible differentiation with regard to the direction of the jump.
Conference Participations
- Pieces of the index-option-return-puzzle – Some new evidence
Workshop of the German Operations Research Society: Working Group on Financial Management and Investments (GOR AG FMI)
Paris, 13.03.2024. - Instantaneous Volatility and Index Option Returns
Internationales Doktorandenseminar "Banking and Finance" 2022 (IDS)
Stuttgart, 07.10.2022.
