Students intending to write a Bachelor or Master thesis are very welcome to contact me (possible topics ). Topics in financial mathematics, probability and mathematical statistics are continuously on offer.

Students from all mathematical programmes (i.e. in particular BSc/MSc Mathematics, Mathematics and Economics, Mathematical Biomety and MSc Finance) are very welcome. Please also do not hesitate to contact me if you are studying BSc/MSc Business Studies and Economics and are interested in working on an econometric topic in your thesis.

Please write an email summarising your interests and in detail the courses taken during your studies, as well as the time when you want to start with your thesis. Moreover, please come a week or two after sending the email with the information to my contact hours.

 

Exemplary Topics of former Master Theses at Ulm University

• Prediction of Multivariate CARMA Processes, September 2015
• Local Variance Gamma in Financial Mathematics, July 2015
• Multivariate Extensions of Value-at-Risk, June 2015
• Simulation methods of multidimensional stochastic volatility models, July 2014
• Life insurance pricing in a Heston market with CIR interests, in cooperation with Gesellschaft für Finanz- und Aktuarwissenschaften mbH, April 2014
• Fitting the implied volatility surface, in cooperation with Landesbank Baden-Württemberg, March 2014
• Timer options in financial market models with jumps, in cooperation with Prof. Dr. Magnus Wiktorsson (University Lund, Sweden), March 2014
• Option pricing in the supOU stochastic volatility model, December 2013
• Locally stationary ARMA models, October 2013
• Option pricing and calibration in Wishart stochastic volatility models, September 2013
• Rate changes in industrial insurance, in cooperation with Munich Re, September 2013
• Systemic risk measures, September 2013
• On some multivariate GARCH processes, July 2013
• Heterogene Einschätzungen von Mean Reversion Paramentern als Ursache von Aktienpreisblasen, March 2013
• Estimating the Ornstein-Uhlenbeck Stochastic Volatility Model using Characteristic Functions, August 2012
• Portfolio Insurance with Jumps, May 2012

Exemplary Topics of former Bachelor Theses at Ulm University

• Returns of Financila Data: Finite or Infinite Variance, July 2015
• Der Leverage-Effekt, July 2015
• Effiziente Approximation des Value at Risks in einem einfaktoriellen Firmenwertmodell durch Importance Sampling, in cooperation with zeb/, November 2014
• Normal inverse Gaussian processes in financial mathematics, January 2014
• Bilateral Gamma Distributions and Processes in Financial Mathematics, September 2012
• Pairs Trading - A Time Series Approach, February 2012

Diploma, Master and Project Theses at TU München:

• Bivariate extreme value analysis for remote sensing data, Master Thesis, September 2011
• Statistical Analysis of supOU processes, Diplomarbeit, June 2011
• On the Spectral Representation of Lévy and Multivariate CARMA Processes and Related Mixing Properties, Diplomarbeit, October 2010
• Parametric and Nonparametric Estimation of Positive Ornstein-Uhlenbeck Type Processes, Diplomarbeit, December 2009
• Option Pricing in Multivariate Stochastic Volatility Models of OU Type, Diplomarbeit, November 2009
  Hauptpreis der Studierendenkonferenz der DMV 2010
  
• Probabilistic Analysis of Multivariate GARCH Models, Projektarbeit, September 2009
• Wishart Processes, Projektarbeit, September 2008
• Simulation of multivariate CARMA processes, Massachusetts Institute of Technology, Research Internship within the  RISE-programme of DAAD, 3.6. - 28.7.2007