Marcel is a Professor of Finance at Leibniz University Hannover and Visiting Professor of Finance at the ICMA Centre, Henley Business School.
He holds a PhD in Finance from the University of Mannheim, Germany and previously graduated from the University of Karlsruhe, Germany with a MSc in Business Engineering. He is a CFA charterholder and holder of the Professional Risk Manager (PRM) designation. Marcel’s main research interests are commodity markets, derivatives, and risk management.
The memory of stock return volatility: asset pricing implicationsProfessor Marcel Prokopczuk, Duc Binh Benno Nguyen, Philipp Sibbertsen
Predicting the equity market with option-implied variablesProfessor Marcel Prokopczuk, Fabian Hollstein, Björn Tharann
Historical antisemitism, ethnic specialization, and financial developmentProfessor Marcel Prokopczuk, Francesco D'Acunto, Michael Weber
Prediction of extreme price occurrences in the German day-ahead electricity marketProfessor Marcel Prokopczuk, Sjur Westgaard, Lars Ivar Hagfors, Hilde Horthe Kamperud, Florentina Paraschiv, Alma Sator, Sjur Westgaard
Seasonal stochastic volatility: implications for the pricing of commodity optionsProfessor Marcel Prokopczuk, Juan C. Arismendi, Janis Back, Raphael Paschke, Markus Rudolf
Electricity derivatives pricing with forward-looking informationProfessor Marcel Prokopczuk, Roland Füss, Steffen Mahringer
Seasonality and the valuation of commodity optionsProfessor Marcel Prokopczuk, Janis Back, Markus Rudolf
The (de)merits of minimum-variance hedging: application to the crack spreadProfessor Marcel Prokopczuk, Carol Alexander, Anannit Sumawong
Quantifying risk in the electricity business: a RAROC-based approachProfessor Marcel Prokopczuk, Svetlozar T. Rachev, Gero Schindlmayr, Stefan Trück
This module aims to provide students with an understanding of financial decision making in the context of the energy industry. The course will combine theoretical models with practical applications. It...
Advanced Finance Theory with Empirical Applications
This module is designed for advanced Master’s students and doctoral students. It has a very high technical content. It aims to equip the students with the foundations of theoretical asset...