Supervised theses

The following theses have been supervised by PD Dr. Aleksey Min.

Master Theses

2022

Akachukwu, Dabelechukwu : Econometric Test for Predictive Accuracy. Master thesis, 2022 more…
Hau, Jenny: Robust Inference in Predictive Regressions of Stock Returns. Master thesis, 2022 more…
Wang, Yuping : Decomposition of Anomaly Returns – Mispricing or Risk? Master thesis, 2022 more…

2021

Le, Phuong Mai: Gaussian and Student's t multivariate time series models and their relation to vine copulas. Master thesis, 2021 more…
Wenzel, Matthias: Vine-based Stationary Time Series Models for Mixed-Type Data. Master thesis, 2021 more…

2020

Heger, Julia: Modeling, Decomposing and Forecasting Credit Spreads using Machine Learning Methodology. Master thesis, 2020 more…
Li, Jiaqi: Statistische Modelle für medizinische Inflation. Master thesis, 2020 more…
Morgenstern, Amelie: Driving macroeconomic factors of individual recovery rates. Master thesis, 2020 more…
Salama, Hana Sameh Ahmed: Copula Transformation Method for Collective Risk Models. Master thesis, 2020 more…

2019

Brück, Florian: Clarke's Test For Non-Nested Model Comparison. Master thesis, 2019 more…
Perevozchikova, Elena: Modelling Oil Price Shocks and Stock Market Returns using D-Vine Copula Models. Master thesis, 2019 more…
Schischke, Amelie (FIM): Modelling Recovery Rates. Master thesis, 2019 more…

2018

Krüger, Daniel: General Vine Copula Models for Stationary Multivariate Time Series. Master thesis, 2018 more…
Panagiotopoulou, Konstantina: Modeling and forecasting downturn LGD. Master thesis, 2018 more…
Spyridaki, Chloi Zanet: Statistical inference for Blomqvist´s beta. Master thesis, 2018 more…
Wissing, Alexander: Forecasting claim inflation in non-life insurance using macroeconomic factors. Master thesis, 2018 more…

2017

Haas, Alexandra Valérie : Forecasting GDP for the Euro Area using Dynamic Factor Models for Mixed Frequency Data. Master thesis, 2017 more…
Wieczorek, Jakub : Explaining aggregated recovery rates. Master thesis, 2017 more…

2016

Heuke, Jakob: Copula Modelling of Dependence in Multivariate Time Series. Master thesis, 2016 more…
Michel, Daniel: Non-linear statistical models for incomplete data. Master thesis, 2016 more…
Teuma Manekeng, Stephanie : Vine Copula specifications for stationary multivariate time series. Master thesis, 2016 more…

2015

Anzer, Gabriel: Modelling of Loan Recovery Rates. Master thesis, 2015 more…
Ivanov, Ievgen: Copula Based Factor Models for Multivariate Asset Returns. Master thesis, 2015 more…
Jaser, Miriam: Ein Frühwarnsystem zur Beurteilung der Bonität börsennotierter Unternehmen. Master thesis, 2015 more…
Kramlinger , Peter : Determining the Number of Factors in Approximate Factor Models. Master thesis, 2015 more…
Lingauer, Michael: FAVAR Modelle: Theorie, Schätzung und Anwendung. Master thesis, 2015 more…
Mayer, Martin Anton: Consistent Estimation of Factor Models using principal components. Master thesis, 2015 more…
Möbus, Lisa: Dynamic Factor Models : Estimation and Applications. Master thesis, 2015 more…
Welsing, Simon: Nonlinear Shrinkage estimation of Covariance Matrices for Portfolio Selection. Master thesis, 2015 more…
Zawadzki, Emil : A two-step estimator for approximate factor models based on Kalman filtering. Master thesis, 2015 more…

2014

Fuchs, Markus: Markov-Switching Multifraktale Modelle mit Anwendungen. Master thesis, 2014 more…
Hong, Zicheng: Numerische Methoden für rückwärts-stochastische Differentialgleichungen mit Anwendungen in Finanzmathematik. Master thesis, 2014 more…
Morelli, Valerio: Goodness-of-fit tests for elliptical distributions. Master thesis, 2014 more…
Polta, Florian: Äquivalante Martingalmaße in unvollständigen Märkten: Eigenschaften und Zusammenhänge. Master thesis, 2014 more…

2013

Bao, Min: Bayesian Vector Autoregressive Models and their Applications. Master thesis, 2013 more…
Groß, Christina: Dynamische Portfoliooptimierung mit Hilfe eines Regime-Wechsel Modells. Master thesis, 2013 more…
Kraus, Daniel: Estimating default risk in the banking sector using financial stress indicators and Rregime switching models. Master thesis, 2013 more…
Schmidt, Tim: Pricing Timer Options. Master thesis, 2013 more…

2012

Hortig, Christian Andre: Simulation von Finanzszenarien mit verschiedenen Ansätzen. Diplom thesis, 2012 more…

2011

Hoppenkamps, Anja : Der Kapitalmarktseismograph - Theorie und Anwendung. Diplom thesis, 2011 more…

Bachelor Theses

2022

Hausladen, Luis: Comparison of some parametric survival models. Bachelor thesis, 2022 more…
Wallner, Stephan: Modelling mortality rates of the United States of America with examination of trends in time. Bachelor thesis, 2022 more…
Wolf, Joshua : Multi-country comparison of parametric hazard functions for the analysis of human mortality. Bachelor thesis, 2022 more…

2021

Dietz, David: Generalized Linear Models for Non-Life Insurance. Bachelor thesis, 2021 more…
Gubanov, Alexander : Kredibilitätstheorie. Bachelor thesis, 2021 more…
König, Matthias: Regression- and Classificationtrees. Bachelor thesis, 2021 more…
Maier, Markus : Ensemble Learning Methoden in der Schadensversicherungsmathematik. Bachelor thesis, 2021 more…
Papst, Katharina Sophia : Verallgemeinerte Additive Modelle in der Schadenversicherungsmathematik. Bachelor thesis, 2021 more…
Vu, Eileen: Introduction in Non-Life Insurance Pricing. Bachelor thesis, 2021 more…

2014

Bumann, Christian: Monte Carlo Methoden zur Derivatsbewertung. Bachelor thesis, 2014 more…

2013

Bergen, Volker: Multivariate Models and Mixture Distributions. Bachelor thesis, 2013 more…
Gschwendtner, Martina: Testing for Elliptical Symmetry. Bachelor thesis, 2013 more…
Horster, Matthias: Schwellenwertmodelle im quantitativen Risikomanagement. Bachelor thesis, 2013 more…
Kovacs, Solt: Kalibrierung von Rating-Migrationsmatrizen als zeitstetige, zeithomogene und monotone Markovprozesse. Bachelor thesis, 2013 more…

2012

Amrhein, Lisa: Monte Carlo Methoden zur Bewertung von Diskreten Pariser Optionen. Bachelor thesis, 2012 more…
Brandstetter, Johanna: Bewertung von Lockback Optionen mit diskreter und partieller Beobachtung. Bachelor thesis, 2012 more…
Brummer, Ludwig: Monte-Carlo Methode zur Optionsbewertung im NIG-Modell. Bachelor thesis, 2012 more…
Frank, Anna: Quasi-Monte-Carlo-Verfahren und ihre Anwendungen in der Finanzmathematik. Bachelor thesis, 2012 more…
Hager, Robert: Pricing Basket Options. Bachelor thesis, 2012 more…
Jaser, Miriam: Mathematische Grundlagen der zeitstetigen Finanzmathematik. Bachelor thesis, 2012 more…
Mayer, Martin Anton: Ein schneller Algorithmus zur Bewertung von asiatischen Optionen. Bachelor thesis, 2012 more…
Neziraj, Lirike: Preiskalkulation amerikanischer Wertpapiere durch Simulation. Bachelor thesis, 2012 more…

2011

Binder, Florian: Pricing of barrier options in discrete time. Bachelor thesis, 2011 more…
Bonhorst, Leopold von: Testing the Random Walk Hypothesis. Bachelor thesis, 2011 more…
Gu, Jingjing: Characterization of univariate return distributions and tests for normality. Bachelor thesis, 2011 more…
Haferkorn, Hannes: Schätzmethoden für den Stabilitätsindex alpha: Vergleich und finanzmathematische Anwendung. Bachelor thesis, 2011 more…
Hümmer, Michael: Bewertung asiatischer Optionen mit Hilfe der Monte Carlo Methode. Bachelor thesis, 2011 more…
Killiches, Matthias: Elliptische Verteilungen : Grundlagen und Anwendungen. Bachelor thesis, 2011 more…
Kraus, Daniel : Multivariate Normal- und t Verteilungen und ihre Anwendung in Finanzen. Bachelor thesis, 2011 more…
Reichel, Lukas: Financial Application of Kalman Filter. Bachelor thesis, 2011 more…
Thurnes, Hannah: Monte Carlo Methoden und ihre Anwendung auf die Bewertung von Lookback-Optionen. Bachelor thesis, 2011 more…
Trinh, Mailan: Predicting VaR of portfolios based on time series analysis and copulas. Bachelor thesis, 2011 more…
Voldiner, Olga: Predicting Value at Risk of Stock Portfolios using Pair Copula Constructions. Bachelor thesis, 2011 more…

2010

Granzer, Marlit: Financial Time Series: ARMA and GARCH models. Bachelor thesis, 2010 more…
Leonhardt, Daniel: Elliptical Copulas and their Relevance for Risk Management. Bachelor thesis, 2010 more…

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