{"id":21,"date":"2020-04-13T16:52:52","date_gmt":"2020-04-13T16:52:52","guid":{"rendered":"http:\/\/christoph-hambel.de\/?page_id=21"},"modified":"2026-05-13T17:48:22","modified_gmt":"2026-05-13T17:48:22","slug":"publications","status":"publish","type":"page","link":"http:\/\/christoph-hambel.de\/?page_id=21","title":{"rendered":"Research"},"content":{"rendered":"\n<p><strong>Publications<\/strong><\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong><a href=\"http:\/\/christoph-hambel.de\/wp-content\/uploads\/2026\/05\/TemperatureDisasters__QE_.pdf\">Three Reasons to Price Carbon under Uncertainty: Accuracy of Simple Rules<\/a><\/strong> (with <a href=\"https:\/\/sites.google.com\/view\/tonvandenbremer\/home\">Ton S. van den Bremer<\/a> and <a href=\"https:\/\/rickvanderploeg.wordpress.com\/\">Frederick van der Ploeg<\/a>), <em>Quantitative Economics<\/em>, forthcoming, 2026, <a href=\"https:\/\/zenodo.org\/records\/20075290\">Replication Package<\/a>, <a href=\"https:\/\/cepr.org\/voxeu\/columns\/new-way-price-carbon-understanding-social-cost-carbon\">VOXEU<\/a><\/li>\n<\/ul>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong><a href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S1544612325010207\">Dynamic Portfolio Choice with Regret Aversion and Rejoicing<\/a><\/strong> (with <a href=\"https:\/\/research.tilburguniversity.edu\/en\/persons\/djep-doreleijers\">Djep Doreleijers<\/a>), <em>Finance Research Letters<\/em>, Vol. 84, 107762, 2025, <a href=\"https:\/\/ars.els-cdn.com\/content\/image\/1-s2.0-S1544612325010207-mmc1.pdf\">Online Appendix<\/a><\/li>\n<\/ul>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong><strong><a href=\"https:\/\/www.sciencedirect.com\/science\/article\/abs\/pii\/S0304393225000510\">Policy Transition Risk, Carbon Premiums, and Asset Prices<\/a><\/strong><\/strong> (with <a href=\"https:\/\/rickvanderploeg.wordpress.com\/\">Frederick van der Ploeg<\/a>), <em>Journal of Monetary Economics<\/em>, Vol. 152, 103780, 2025, <a href=\"http:\/\/christoph-hambel.de\/wp-content\/uploads\/2025\/04\/HvdP-2025-JME-Online-Appendix.pdf\">Online Appendix<\/a>, <a href=\"https:\/\/doi.org\/10.3886\/E224281V1\">Replication Material<\/a><\/li>\n<\/ul>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong><strong><a href=\"https:\/\/www.sciencedirect.com\/science\/article\/abs\/pii\/S1057521925001292\">Reevaluating the Carbon Premium: Evidence of Green Outperformance<\/a><\/strong><\/strong> (with <a href=\"https:\/\/www.linkedin.com\/in\/floorvdsanden\/?originalSubdomain=nl\">Floor van der Sanden<\/a>), <em>International Review of Financial Analysis<\/em>, Vol. 102, 104042, 2025, <a href=\"http:\/\/christoph-hambel.de\/wp-content\/uploads\/2024\/05\/HvdS24-OA.pdf\">Online Appendix<\/a><\/li>\n<\/ul>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong><strong><a href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S0165176524006335?via%3Dihub\">Green Investors and the Return on Capital in General\u00a0Equilibrium<\/a><\/strong><\/strong> (with <a href=\"https:\/\/www.saduineveld.com\/\">Sijmen Duineveld<\/a> and <a href=\"https:\/\/www.pik-potsdam.de\/members\/lessman\">Kai Lessmann<\/a>), <em>Economics Letters<\/em>, Vol. 247, 112149, 2025, <a href=\"https:\/\/ars.els-cdn.com\/content\/image\/1-s2.0-S0165176524006335-mmc1.pdf\">Online Appendix<\/a><\/li>\n<\/ul>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong><a href=\"https:\/\/onlinelibrary.wiley.com\/doi\/10.1111\/iere.12691\">Asset Diversification versus Climate Action<\/a><\/strong> (with <a href=\"https:\/\/sites.google.com\/site\/hkraftfinance\/\">Holger Kraft<\/a> and <a href=\"https:\/\/rickvanderploeg.wordpress.com\/\">Frederick van der Ploeg<\/a>), <em>International Economic Review<\/em>, Vol. 65, 1323-1355, 2024, <a href=\"http:\/\/christoph-hambel.de\/wp-content\/uploads\/2024\/01\/HKvdP-IER-2024-Online-Appendix.pdf\">Online Appendix<\/a>, <a href=\"https:\/\/www.openicpsr.org\/openicpsr\/project\/198001\/version\/V1\/view\" data-type=\"link\" data-id=\"https:\/\/www.openicpsr.org\/openicpsr\/project\/198001\/version\/V1\/view\">Replication Material<\/a><\/li>\n<\/ul>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong><a href=\"https:\/\/www.sciencedirect.com\/science\/article\/abs\/pii\/S0378426623001656\" target=\"_blank\" rel=\"noreferrer noopener\">When Should Retirees Tap Their Home Equity?<\/a><\/strong>\u00a0(with <a href=\"https:\/\/sites.google.com\/site\/hkraftfinance\/\">Holger Kraft<\/a> and <a href=\"https:\/\/www.linkedin.com\/in\/andre-meyer-wehmann\/?originalSubdomain=de\">Andr\u00e9 Meyer-Wehmann<\/a>), <em>Journal of Banking & Finance<\/em>, Vol. 154, 106967, 2023<\/li>\n<\/ul>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong><a href=\"https:\/\/www.tandfonline.com\/doi\/full\/10.1080\/03461238.2021.1966831\" target=\"_blank\" rel=\"noreferrer noopener\">Solving Life Cycle Problems with Biometric Risk by Artificial Insurance Markets<\/a><\/strong>\u00a0(with <a href=\"https:\/\/sites.google.com\/site\/hkraftfinance\/\">Holger Kraft<\/a> and <a href=\"https:\/\/sites.google.com\/view\/clausmunk\/home\">Claus Munk<\/a>), <em>Scandinavian Actuarial Journal<\/em>, Issue 4, 307-302, 2022<\/li>\n<\/ul>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong><a href=\"https:\/\/www.sciencedirect.com\/science\/article\/abs\/pii\/S0022199621000672\" target=\"_blank\" rel=\"noreferrer noopener\">The Social Cost of Carbon in a Non-cooperative World<\/a><\/strong>\u00a0(with <a href=\"https:\/\/sites.google.com\/site\/hkraftfinance\/\">Holger Kraft<\/a> and <a href=\"https:\/\/www.anderson.ucla.edu\/faculty-and-research\/finance\/faculty\/schwartz\">Eduardo S. Schwartz<\/a>), <em>Journal of International Economics<\/em>, Vol. 131, 103490, 2021, <a href=\"http:\/\/christoph-hambel.de\/wp-content\/uploads\/2021\/05\/Online_Appendix_HKS2021_JIE.pdf\" target=\"_blank\" rel=\"noreferrer noopener\">Online Appendix<\/a>, <a href=\"https:\/\/www.openicpsr.org\/openicpsr\/project\/139921\/version\/V1\/view\" data-type=\"link\" data-id=\"https:\/\/www.openicpsr.org\/openicpsr\/project\/139921\/version\/V1\/view\">Replication Material<\/a>, Winner of the <a href=\"https:\/\/www.wiwi.uni-frankfurt.de\/en\/research\/promotion-of-young-researchers\/sturm-und-drang-prize.html\" target=\"_blank\" rel=\"noreferrer noopener\">Sturm & Drang Prize<\/a> (best paper award of the Faculty of Economics and Business of the Goethe University Frankfurt)<\/li>\n<\/ul>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong><a href=\"https:\/\/www.sciencedirect.com\/science\/article\/abs\/pii\/S0014292120302725\" target=\"_blank\" rel=\"noreferrer noopener\">Optimal Carbon Abatement in a Stochastic Equilibrium Model with Climate Change<\/a><\/strong> (with <a href=\"https:\/\/sites.google.com\/site\/hkraftfinance\/\">Holger Kraft<\/a> and <a href=\"https:\/\/www.anderson.ucla.edu\/faculty-and-research\/finance\/faculty\/schwartz\">Eduardo S. Schwartz<\/a>), <em>European Economic Review<\/em>, Vol. 132,\u00a0103642, 2021, <a href=\"http:\/\/christoph-hambel.de\/wp-content\/uploads\/2020\/12\/online_hks_carbon.pdf\" target=\"_blank\" rel=\"noreferrer noopener\">Online Appendix<\/a><\/li>\n<\/ul>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong><a href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S0167668720300160\" target=\"_blank\" rel=\"noreferrer noopener\">Health Shock Risk, Critical Illness Insurance, and Housing Services<\/a><\/strong>,\u00a0<em>Insurance: Mathematics and Economics, <\/em>Vol.<em>\u00a0<\/em>91, 111-128, 2020<\/li>\n<\/ul>\n\n\n\n<ul class=\"wp-block-list\">\n<li><a href=\"https:\/\/onlinelibrary.wiley.com\/doi\/abs\/10.1111\/jori.12149\" target=\"_blank\" rel=\"noreferrer noopener\"><strong>Life Insurance Demand under Health Shock Risk<\/strong><\/a>\u00a0(with <a href=\"https:\/\/sites.google.com\/site\/hkraftfinance\/\">Holger Kraft<\/a>, <a href=\"https:\/\/www.linkedin.com\/in\/dr-lorenz-schendel\/?originalSubdomain=de\">Lorenz S. Schendel<\/a>, and <a href=\"https:\/\/sites.google.com\/site\/steffensenmogens\/\">Mogens Steffensen<\/a>),\u00a0<em>Journal of Risk and Insurance, <\/em>Vol.\u00a084, 1171-1202, 2017,\u00a0<a href=\"http:\/\/christoph-hambel.de\/wp-content\/uploads\/2020\/12\/online_hkss_jori.pdf\" target=\"_blank\" rel=\"noreferrer noopener\">Online Appendix<\/a><\/li>\n<\/ul>\n\n\n\n<div style=\"height:50px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<div style=\"height:0px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<p><strong>Work in Progress<\/strong><\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>Asset Pricing, Monetary Policy, and Physical Climate Risk<\/strong> (with <a href=\"http:\/\/carina-fleischer.de\/\">Carina Fleischer<\/a>)<\/li>\n\n\n\n<li><strong>Biodiversity Risks and the Carbon Premium<\/strong> (with <a href=\"https:\/\/rickvanderploeg.wordpress.com\/\">Frederick van der Ploeg<\/a> and <a href=\"https:\/\/www.yasminevanderstraten.com\/\">Yasmine van der Straten<\/a>)<\/li>\n\n\n\n<li><strong>Energy Consumption and Household Portfolio Choice<\/strong> (with <a href=\"http:\/\/carina-fleischer.de\/\">Carina Fleischer<\/a> and <a href=\"https:\/\/sites.google.com\/view\/marlenekoch\/start\">Marlene Koch<\/a>)<\/li>\n\n\n\n<li><strong>Flood Insurance Demand under Climate Risk<\/strong> (with <a href=\"http:\/\/carina-fleischer.de\/\" data-type=\"link\" data-id=\"http:\/\/carina-fleischer.de\/\">Carina Fleischer<\/a> and <a href=\"https:\/\/www.linkedin.com\/in\/wiktor-grocholewski\/?originalSubdomain=nl\" data-type=\"link\" data-id=\"https:\/\/www.linkedin.com\/in\/wiktor-grocholewski\/?originalSubdomain=nl\">Wiktor Grocholewski<\/a>)<\/li>\n\n\n\n<li><strong>Policy Transition Risk and Stranded Assets<\/strong> (with <a href=\"https:\/\/rickvanderploeg.wordpress.com\/\">Frederick van der Ploeg<\/a>)<\/li>\n\n\n\n<li><strong>Public Infrastructure Delays and Transition Risks<\/strong> (with <a href=\"https:\/\/www.pik-potsdam.de\/members\/gaitan\">Beatriz Gaitan<\/a>, <a href=\"https:\/\/www.pik-potsdam.de\/members\/lessman\">Kai Lessmann<\/a>, and <a href=\"https:\/\/iiasa.ac.at\/staff\/ibrahim-tahri\">Ibrahim Tahri<\/a>)<\/li>\n<\/ul>\n\n\n\n<div style=\"height:50px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<p><strong>Permanent Working Papers<\/strong> (available for download from\u00a0<a href=\"http:\/\/papers.ssrn.com\/sol3\/cf_dev\/AbsByAuth.cfm?per_id=2370901\">SSRN<\/a>)<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3185991\" target=\"_blank\" rel=\"noreferrer noopener\">Recalculating the Social Cost of Carbon<\/a><\/strong>\u00a0(with <a href=\"https:\/\/www.soheilsh.com\/\">Soheil Shayegh<\/a>, <a href=\"https:\/\/www.valentinabosetti.eu\/\">Valentina Bosetti<\/a>, <a href=\"https:\/\/simondietz.com\/\">Simon Dietz<\/a>, <a href=\"https:\/\/www.eiee.org\/member\/johannes-emmerling\/\">Johannes Emmerling<\/a>, <a href=\"https:\/\/svennjensen.mystrikingly.com\/\">Svenn Jensen<\/a>, <a href=\"https:\/\/sites.google.com\/site\/hkraftfinance\/\">Holger Kraft<\/a>, <a href=\"https:\/\/sites.google.com\/site\/massimotavoni\/\">Massimo Tavoni<\/a>, <a href=\"https:\/\/traeger.eu\/\">Christian P. Traeger<\/a>, and <a href=\"https:\/\/rickvanderploeg.wordpress.com\/\">Frederick van der Ploeg<\/a>), FEEM Working Paper 19.2018, 2018<\/li>\n<\/ul>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3182205\" target=\"_blank\" rel=\"noreferrer noopener\">The Carbon Abatement Game<\/a><\/strong>\u00a0(with <a href=\"https:\/\/sites.google.com\/site\/hkraftfinance\/\">Holger Kraft<\/a> and <a href=\"https:\/\/www.anderson.ucla.edu\/faculty-and-research\/finance\/faculty\/schwartz\">Eduardo S. Schwartz<\/a>), Winner of the Best Paper Award in Economics and Finance at <a href=\"https:\/\/ipag-irm.sciencesconf.org\/resource\/page\/id\/24\" target=\"_blank\" rel=\"noreferrer noopener\">IRMBAM-2019<\/a>, NBER Working Paper w24604, 2018<\/li>\n<\/ul>\n\n\n\n<div style=\"height:50px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<p><strong>PDE Solver<\/strong><\/p>\n\n\n\n<p>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.<\/p>\n\n\n\n<p><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Publications Work in Progress Permanent Working Papers (available for download from\u00a0SSRN) 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 [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"page-templates\/template_fullwidth.php","meta":{"footnotes":""},"class_list":["post-21","page","type-page","status-publish","hentry","col-lg-4 col-md-6"],"_links":{"self":[{"href":"http:\/\/christoph-hambel.de\/index.php?rest_route=\/wp\/v2\/pages\/21","targetHints":{"allow":["GET"]}}],"collection":[{"href":"http:\/\/christoph-hambel.de\/index.php?rest_route=\/wp\/v2\/pages"}],"about":[{"href":"http:\/\/christoph-hambel.de\/index.php?rest_route=\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"http:\/\/christoph-hambel.de\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"http:\/\/christoph-hambel.de\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=21"}],"version-history":[{"count":156,"href":"http:\/\/christoph-hambel.de\/index.php?rest_route=\/wp\/v2\/pages\/21\/revisions"}],"predecessor-version":[{"id":1490,"href":"http:\/\/christoph-hambel.de\/index.php?rest_route=\/wp\/v2\/pages\/21\/revisions\/1490"}],"wp:attachment":[{"href":"http:\/\/christoph-hambel.de\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=21"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}