Dissertations
The preconditions as well as all necessary information about the topic "Dissertation" can be found here.
If you are interested in a dissertation at the Chair of Mathematical Finance, please send your application to sekm13@tum.de!
Sloot, Henrik
Stochastic representations of Marshall–Olkin distributions and upper semilinear copulas
2023
Zeller, Gabriela
Cyber Risk and Insurance: Risk and Dependence Modelling and Optimal Pricing of Cyber Assistance
2023
Kschonnek, Michel
Duality Methods for Dynamic Portfolio Optimization with Constraints
2023
Brück, Florian
Exchangeable Minimum-Infinitely Divisible Sequences: Characterization, Simulation And A Detour To Model Selection
2023
Havrylenko, Yevhen
Risk limitation and risk sharing in investment and insurance
2023
Jaser, Miriam
Goodness-of-fit tests for elliptical copulas
2021
Engel, Janina
Financial Network Models
2020
Lichtenstern, Andreas
Optimal Investment Strategies for Pension Funds
2020
Bienek, Tobias
Hedging and Valuation of Contingent Guarantees
2019
Hüttner, Amelie Angelika
Selected topics in credit risk: Realistic modeling of correlations and new pricing approaches for credit products
2019
Schulz, Thorsten
Stochastic dependencies in derivative pricing: Decoupled BNS-volatility, sequential modeling of jumps, and extremal WWR
2017
Ramsauer, Franz
Estimation of factor models with incomplete data and their applications
2017
Mahlstedt, Mirco
Complexity Reduction for Option Pricing
2017
Gaß, Maximilian
PIDE methods and concepts for parametric option pricing
2016
Neykova, Daniela
Optimal Investment Strategies under Affine Markov-Switching Models: Theory, Examples and Implementation
2016
Schenk, Steffen
Exchangeable exogenous shock models
2016, Gauß-Award of DGVFM, Excellence Award is awarded by the Verein zur Förderung der Versicherungswissenschaft in Hamburg (VFVH)
Selch, Daniela
A multivariate Cox process with simultaneous jump arrivals and its application in insurance modelling
2016, 1. Place SCOR-Preis 2016
Bernhart, German
Advances in financial engineering: Bondesson densities, the construction of MSMVE distributions, and the modeling of discrete cash dividends
2015
Fernandez, Lexuri
Selected Topics in Financial engineering: First-exit times and dependence structures of Marshall-Olkin kind
2015
Krayzler, Mikhail
Analytical Pricing of Variable Annuities
2015, Gauß-Award for the paper "Closed-form solutions for Guaranteed Minimum Accumulation Benefits" resulted of the dissertation
Bannör, Karl Friedrich
Incorporating parameter risk into derivatives prices – bid-ask pricing and calibration
2013
Hieber, Peter
First-exit times and their applications in default risk management
2013, Gauß-Award of DGVFM, Excellence Award is awarded by the Verein zur Förderung der Versicherungswissenschaft in Hamburg (VFVH)
Ilg, Melanie
Defaultable term structure models: macroeconomic impact and valuation of complex credit- and inflation-linked derivatives
2013
Götz, Barbara
Valuation of multi-dimensional derivatives in a stochastic covariance framework
2011
Mai, Jan-Frederik
Extendibility of Marshall-Olkin distributions via Lévy subordinators and an application to portfolio credit risk
2010, Gauß-Award of DGVFM, Excellence Award is awarded by the Verein zur Förderung der Versicherungswissenschaft in Hamburg (VFVH)
Schlösser, Anna
Pricing and Risk Management of Synthetic CDOs
2010, Gauß-Award for the paper "The Crash-NIG copula model: modeling dependence in credit portfolios through the crisis" resulted of the dissertation
Höcht, Stephan
Determination and Valuation of Recovery Risk in Credit-Risk Models
2009
Muhle-Karbe, Johannes
On Utility-Based Investment, Pricing and Hedging in Incomplete Markets
2009, awarded the Förderpreis of the Fachgruppe Stochastik of the German Mathematical Society and the inaugural Nicola Bruti Liberati Prize of the Bachelier Finance Society
Grau, Andreas J.
Applications of Least-Squares Regressions to Pricing and Hedging of Financial Derivatives
2008
Kolbe, Andreas
Valuation of mortgage products with stochastic prepayment-intensity models
2008
Pauwels, Arnd Philipp
Varianz-optimales Hedging in affinen Volatilitätsmodellen
2007
Schöttle, Katrin
Robust Optimization with Application in Asset Management
2007