Mein(e) Ansprechpartner/-in

Prof. Dr. Holger Fink

Prof. Dr. Holger Fink
Fakultaet 07
Raum: R 3.029
Adresse: 80335 München, Lothstr. 64

Fakultät 07
Tel.: 089 1265-3707
Fax: 089 1265-3780

Fachgebiete / Schwerpunkte

  • Finanzökonometrie
  • Quantitative Finance
  • Stochastik


  • Prüfungskommissionsvorsitz M.Sc. Stochastic Engineering in Business & Finance
  • Praktikanten-Beauftragter (B.Sc. Informatik + B.Sc. Scientific Computing)


H. Fink
An arbitrage-free real-world model for fractional option prices
accepted for publication, 2020

Bauer, H. Fink, S. Stoller
Are gross margins of structured products priced in a market-consistent way? Evidence from the new issuer estimated value
Forecasting, 2(4): 387-409, 2020

S. Beer, H. Fink
Dynamics of foreign exchange implied volatility and implied correlation surfaces
Quantitative Finance, 19(8): 1293-1320, 2019

H. Fink, S. Geissel, J. Sass, F. T. Seifried
Implied risk aversion: an alternative rating system for retail structured products
Review of Derivatives Research, 22(3): 357-387, 2019

H. Fink, G. Schlüchtermann
Fractional Lévy Cox-Ingersoll-Ross and Jacobi processes
Statistics & Probability Letters, 142: 84-91, 2018

H. Fink, Y. Graf
Forecasting the effects of in-store marketing on conversion rates for online shops Forecasting, 1(1): 70-89, 2018

H. Fink, A. Fuest, H. Port
The impact of sovereign yield curve differentials on value-at-risk forecasts for foreign exchange rates
Risks, 6(3), 84, 2018

A. Kaspar, K. Pfister, M. K. Nielsen, L. Silaghi, H. Fink, M. C. Scheuerle
Detection of Strongylus vulgaris in equine faecal samples by real-time PCR and larval culture – method comparison and occurrence assessment
BMC Veterinary Research 2017 13:19, 2017

H. Fink, Y. Klimova, C. Czado, J. Stöber
Regime switching vine copula models for global equity and volatility indices
Econometrics, 5(1), 3, 2017

H. Fink, S. Geppert
Implied correlation indices and volatility forecasting
Applied Economics Letters, 24(9): 584-588, 2017

H. Fink
Conditional distributions of Mandelbrot-Van Ness fractional Lévy processes and continuous-time ARMA-GARCH-type models with long memory
Journal of Time Series Analysis, 37(1): 30-45, 2016

H. Fink, C. Scherr
CDS Pricing with long memory via fractional Lévy processes
Journal of Financial Engineering, 1(4), 2014

F. Biagini, H. Fink, C. Klüppelberg
A fractional credit model with long range dependent default rate
Stochastic Processes and their Applications, 123(4): 1319-1347, 2013

H. Fink
Conditional characteristic functions of Molchan-Golosov fractional Lévy processes with application to credit risk
Journal of Applied Probability, 50(4): 983-1005, 2013

H. Fink, C. Klüppelberg, M. Zähle
Conditional distributions of processes related to fractional Brownian motion
Journal of Applied Probability, 50(1):166-183, 2012

T. E. Duncan, H. Fink
Corrigendum to "Prediction for some processes related to a fractional Brownian motion"
Statistics & Probability Letters, 81(8):1336-1337, 2011

H. Fink, C. Klüppelberg
Fractional Lévy driven Ornstein-Uhlenbeck processes and stochastic differential equations
Bernoulli, 17(1): 484-506, 2011

K. Böcker, A. Crimmi, H. Fink
Bayesian Risk Aggregation: Correlation Uncertainty and Expert Judgment
in Rethinking Risk Measurement and Reporting - Uncertainty, Bayesian Analysis and Expert Judgment, Böcker, Klaus (Ed), RiskBooks, London, PRMIA Best Paper Award for paper charting New Frontiers in Risk Management, 2010


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