Publications
- Asset Diversification versus Climate Action (with Holger Kraft and Frederick van der Ploeg), International Economic Review, Vol. 65, 1323-1355, 2024, Online Appendix, Replication Material
- When Should Retirees Tap Their Home Equity? (with Holger Kraft and André Meyer-Wehmann), Journal of Banking & Finance, Vol. 154, 106967, 2023
- Solving Life Cycle Problems with Biometric Risk by Artificial Insurance Markets (with Holger Kraft and Claus Munk), Scandinavian Actuarial Journal, Issue 4, 307-302, 2022
- The Social Cost of Carbon in a Non-cooperative World (with Holger Kraft and Eduardo S. Schwartz), Journal of International Economics, Vol. 131, 103490, 2021, Online Appendix, Replication Material, Winner of the Sturm & Drang Prize (best paper award of the Faculty of Economics and Business of the Goethe University Frankfurt)
- Optimal Carbon Abatement in a Stochastic Equilibrium Model with Climate Change (with Holger Kraft and Eduardo S. Schwartz), European Economic Review, Vol. 132, 103642, 2021, Online Appendix
- Health Shock Risk, Critical Illness Insurance, and Housing Services, Insurance: Mathematics and Economics, Vol. 91, 111-128, 2020
- Life Insurance Demand under Health Shock Risk (with Holger Kraft, Lorenz S. Schendel, and Mogens Steffensen), Journal of Risk and Insurance, Vol. 84, 1171-1202, 2017, Online Appendix
Working Papers (available for download from SSRN)
- Pricing in Transition and Physical Risks: Carbon Premiums and Stranded Assets (with Frederick van der Ploeg), 2024, Reject & Resubmit at Journal of Monetary Economics
- Reevaluating the Carbon Premium: Evidence of Green Outperformance (with Floor van der Sanden), 2024, Revise & Resubmit at International Review of Financial Analysis
- Green Investors and the Return on Capital in General Equilibrium (with Sijmen Duineveld and Kai Lessmann), 2024, Revise & Resubmit at Economics Letters
- Three Reasons to Price Carbon under Uncertainty: Accuracy of Simple Rules (with Ton S. van den Bremer and Frederick van der Ploeg), 2023
- Recalculating the Social Cost of Carbon (with Soheil Shayegh, Valentina Bosetti, Simon Dietz, Johannes Emmerling, Svenn Jensen, Holger Kraft, Massimo Tavoni, Christian P. Traeger, and Frederick van der Ploeg), FEEM Working Paper 19.2018, 2018
- The Carbon Abatement Game (with Holger Kraft and Eduardo S. Schwartz), Winner of the Best Paper Award in Economics and Finance at IRMBAM-2019, NBER Working Paper w24604, 2018
Work in Progress
- Asset Prices and the Price of Carbon in a Non-cooperative World (with Ton S. van den Bremer and Frederick van der Ploeg)
- Energy Consumption and Household Portfolio Choice (with Carina Fleischer and Marlene Koch)
- Optimal Consumption-Portfolio Choice under Physical Climate Risk
- Public Infrastructure Delays and Transition Risks (with Beatriz Gaitan, Kai Lessmann, and Ibrahim Tahri)
- Regret-Aversion and Rejoicing in a Life-Cycle Consumption-Investment Model (with Djep Dorelijers)
PDE Solver
I have developed a Matlab solver for parabolic (and elliptic) partial differential equations, which are common in finance and economics. As an example, the solver can determine the value function in an endowment economy with recursive preferences of the Epstein-Zin type leading to semi-linear PDEs, and can handle consumption plus two continuous state variables driven by Brownian and Poissonian shocks, as well as two (directed or undirected) Markov chains. Similarly, it can be applied to option pricing solving parabolic PDEs of the Black-Scholes type. Moreover, it can easily be extended to Hamilton-Jacobi-Bellman equations and more involved state variable dynamics. The solver will soon be available for download together with a readme file.
