master thesis financial mathematics

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• Chair of Mathematical Finance
• TUM School of Computation, Information and Technology
• Technical University of Munich

Information on Diploma and Master Theses

Prerequisites for a master’s or diploma thesis at the Research Group are certificates or passed exams in

• Stochastic Analysis (MA4405) • Continuous Time Finance (MA3702) • Master's seminar at the Research Group Finance and Actuarial Science • 2 further lectures in the area of ​​Financial Mathematics OR • 2 further lectures in the field of Actuarial Mathematics

• Master's seminar at the Research Group Finance and Actuarial Science • Financial Mathematics 1 (MA3407) and Financial Mathematics 2 (MA3408) OR • Insurance Mathematics 1 (MA3405) and Insurance Mathematics 2 (MA3406)

Please send your complete application documents to [email protected] . A decision on your application will be made by the research group according to available supervision capacities and you will be informed.

Information sheet on Master Theses at the Research Group Finance and Actuarial Science

Please note that theses at Department of Mathematics have to be organized according to a specific format. Further information can be obtained from  https://www.cit.tum.de/en/cit/studies/students/thesis-completing-your-studies/mathematics/  

Current and completed master and diploma theses

• Benker, Roman: Optimizing the Drawdown Duration of Financial Portfolios. Master thesis, 2024 more…
• Brunn, Robin: Stock Price Trend Prediction Using a Convolutional Neural Network. Master thesis, 2024 more…
• Böhm, Andreas : On Price Formation in Prediction Markets. Master thesis, 2024 more…
• Donisch, Michael: The Martingale Method for Optimal Investment with Random Endowment. Master thesis, 2024 more…
• Hu, Wenshuang: Mortality heterogeneity and biological age. Master thesis, 2024 more…
• Huerta Tovar, Sergio: Computational Pricing of American Options via Martin Boundary Theory. Master thesis, 2024 more…
• Lausser, Tobias: Closed-form portfolio optimization under generalized GARCH models. Master thesis, 2024 more…
• Lyu, Zhe: Factor Models for Multivariate Asset Returns based on S-vines. , 2024 more…
• Maier, Markus : Parametric cyber insurance and its potential to close the cyber protection gap. Bachelor thesis, 2024 more…
• Niadbaila, Valeria: Versicherungsjahrabhängiges Storno in der privaten Krankenversicherung - Herleitung der Wahrscheinlichkeiten und Einfluss auf die ökonomische Bewertung in der Projektion. Master thesis, 2024 more…
• Reff, Sebastian: Synthetic Data Generators in Reinforcement Learning for Optimal Investment Problems. Master thesis, 2024 more…
• Reimoser, Veronika: Composite Goodness-of-fit Tests with Kernels. Master thesis, 2024 more…
• Reuter, Peter Moritz: Scope and Limitations of Market Generators. Master thesis, 2024 more…
• Schröder, Konstantin : Machine Learning Methods for Financial Data Augmentation. Master thesis, 2024 more…
• Shevchenko, Artem: Statistical Arbitrage with R-vines and S-vines. Master thesis, 2024 more…
• Taberner Ortiz, Marc: Almost sure central limit theorem and its applications. Master thesis, 2024 more…
• Thanos, Alexander: Financial Time Series Forecasting with Transformer-based Models. Master thesis, 2024 more…
• Tyagi, Ishita: A Multi-Curve Approach to Market Consistent Pricing. Master thesis, 2024 more…
• Vandré, Ole: A Deep Hedging Approach to the Construction of Optimal Financial Portfolios. Master thesis, 2024 more…
• Wang, Mingchen: Statistical Estimation of Stochastic Volatility Models in Energy Markets. Master thesis, 2024 more…
• Yao, Yuesheng: Machine Learning / AI in Insurance: The Regulators' View. Master thesis, 2024 more…
• Ahmeti, Diellza : Exploring Dynamic Pricing Strategies with Demand Covariates. Master thesis, 2023 more…
• Ben Ali, Leandro Sami : Robust Portfolio Optimization for Small and Medium Sized Banks. Master thesis, 2023 more…
• Fanta, Arved Niklas : SHAP-Value Analysis: Advantages and Disadvantages with application on insurance demand models. Master thesis, 2023 more…
• Govindarajan, Ramsundar : A Generalized Framework for Applications of DDPG in Portfolio Optimization. Master thesis, 2023 more…
• Herrera, Elvia : Cyber risk as a challenge to classical actuarial methods. Master thesis, 2023 more…
• Hron, Peter: Dynamic Portfolio Optimization for Time-Inconsistent Models. Master thesis, 2023 more…
• Iversen, Emma Kathrine Kokborg: Modeling the severity of the financial consequences of German fire incidents. Master thesis, 2023 more…
• Jiang, Chen: Natural Catastrophe Modelling for Marine insurance. Master thesis, 2023 more…
• König, Matthias: Axiomatic Approaches to Performance Measures and their Applications. Master thesis, 2023 more…
• Li, Zhishan: Multivariate Default Modeling based on Lévy Subordinators and and Marshall–Olkin Copulas. Master thesis, 2023 more…
• Maier, Tim: Combining Deep Learning with Reinforcement Learning for Cryptocurrency Market Making. Master thesis, 2023 more…
• Mazutskii, Iurii: Hedging and optimizing Energy Portfolio, given evolution of risk exposure with energy transition and geographical location. Master thesis, 2023 more…
• Molter, Eric: Portfolio Optimization in an affine GARCH Model Using Derivatives. Master thesis, 2023 more…
• Papazoglou-Hennig, Jonas: Modelling Multivariate Financial Risk through Copula-based Distribution Learning. , 2023 more…
• Pfanzelt, Tobias : A Global Model for Capital Markets: Improvement of Calibration to Account for Stylized Facts. Master thesis, 2023 more…
• Philipp, Paul: Applications of Nonparametric Survival Analysis in Credit Risk. Master thesis, 2023 more…
• Solfronk, Tobias : Maximum Mean Discrepancy for Model Comparisons. Master thesis, 2023 more…
• Speck, Max: Portfolio Optimization with Parameter Uncertainty under a GARCH Model. Master thesis, 2023 more…
• Srivastava, Manya : Modelling Recovery Rates for Real Estate Industry in Europe. Master thesis, 2023 more…
• Taieb, Raphael : A stochastic approach to value Private Equity investments. Master thesis, 2023 more…
• Tremmel, Stefan : Claim Frequency Modeling in Cyber Insurance. Master thesis, 2023 more…
• Yang, Yu Jung (FIM): Multivariate Affine GARCH in portfolio optimization. Master thesis, 2023 more…
• Yatskovskaya, Vlada (FIM): The effect of greenwashing allegations on green bond prices. Master thesis, 2023 more…
• Zhang, Yuanxi: A Study on Portfolio Optimization with ESG Scores. Master thesis, 2023 more…
• Zheng, Yibei: Implementing Constraints into Portfolio Optimization with Clustering. Master thesis, 2023 more…
• Ziegltrum, Maximilian: Flexible regression models for the analysis of competing risks. , 2023 more…
• Akachukwu, Dabelechukwu : Econometric Test for Predictive Accuracy. Master thesis, 2022 more…
• Benčić, Josip : The Signature Transform and Applications. Master thesis, 2022 more…
• Bürgermeister, Janik : Reinforcement Learning for Dynamic Investment Strategies in Continuous Time. Master thesis, 2022 more…
• Dirix, Martin: On the actuarial control of the premiums and benefits in German public pension systems. Master thesis, 2022 more…
• Fuchs, Felix : Option Pricing with Quantum Generative Adversarial Networks. Master thesis, 2022 more…
• Gonzalo, Victor Bastián: Dynamic Portfolio Optimization Based on a Crisis Indicator. Master thesis, 2022 more…
• Hancharyk, Anton : Analysing the relation of expected signatures to laws of stochastic processes. , 2022 more…
• Hau, Jenny: Robust Inference in Predictive Regressions of Stock Returns. Master thesis, 2022 more…
• Hauner, Benedikt : Machine Learning in Empirical Asset Pricing: A global investor perspective. Master thesis, 2022 more…
• Heinrich, Anna: The Impact of the COVID-19 Pandemic on the Mortality of the German Population - A Comparison with four other European Countries. Master thesis, 2022 more…
• Huberty, Cédric : Deep Hedging and Market Generation. Master thesis, 2022 more…
• Lehste, Antonia: Intergenerational Risk Sharing in Collective Defined Contribution Plans. Master thesis, 2022 more…
• Mayer, Korbinian: Term Structure Forecasting using Machine Learning. Master thesis, 2022 more…
• Melling, Teresa : Tweedie’s Compound Poisson Model - Application to Insurance Claims Modelling. Master thesis, 2022 more…
• Reißwich, Maria : Multi-population mortality models: Comparison of the frequentist approach and the Bayesian inference in development of the multi-population mortality models. Master thesis, 2022 more…
• Schmidt, Jakob : Earnings Forecast via Machine Learning and Estimation of the Implied Cost of Capital. Master thesis, 2022 more…
• Schulz, Jakob : Individual Claims Reserving Models in Non-Life Insurance - A Survey. Master thesis, 2022 more…
• Strack, Alexander (TopMath): The Martingale Hypothesis for a First Order Markovian-in-Mean. Master thesis, 2022 more…
• Wang, Yuping : Decomposition of Anomaly Returns – Mispricing or Risk? Master thesis, 2022 more…
• Altheimer, Julia (FIM): Financial Analysis of solar and storage Power Purchase Agreements. Master thesis, 2021 more…
• Belli, Emanuele: The market impact of corporate bond ETFs – An empirical analysis of European bond markets. Master thesis, 2021 more…
• Deubelli, Maximilian: Extreme Value Theory in Practice. Modelling High Water Levels at the Isar. Master thesis, 2021 more…
• Grill, Alexander: Reinforcement Learning for dynamic Investment Strategies. Master thesis, 2021 more…
• Kobler, Stefanie: Vuong Test for Model Selection and its Application to Machine Learning. Master thesis, 2021 more…
• Le, Phuong Mai: Gaussian and Student's t multivariate time series models and their relation to vine copulas. Master thesis, 2021 more…
• Schoder, Kea: Design and Demand of Retirement Products in the Accumulation Phase - An Analysis of the Policyholders' Perspective. Master thesis, 2021 more…
• Spies, Ben : Expected Utility Theory on General Affine GARCH Models. Master thesis, 2021 more…
• Tippeswamy, Kartik: Experience Rating in Competitive Insurance Markets under Asymmetric Information. Master thesis, 2021 more…
• Wenzel, Matthias: Vine-based Stationary Time Series Models for Mixed-Type Data. Master thesis, 2021 more…
• Blagoeva, Aleksandra Yordanova: Computing optimal portfolios of credit-risky assets under Marhall-Olkin distribution. Master thesis, 2020 more…
• Chen, Miaomiao: Bonds and the Cross-section of Stocks: International Evidence. , 2020 more…
• Dokic, Teodora: Green Bonds – Impact of environmental changes on the bond market. Master thesis, 2020 more…
• Elsherif, Kesmat: Vehicle Classification – Using Different Machine Learning Algorithms to create Vehicle Risk Classes. , 2020 more…
• Euthum, Maximilian: Multi-Population Mortality Models - A Comparison via a Socio-Economic Index of Deprivation on Italian Population. Master thesis, 2020 more…
• Fuchsberger, Manuel: Directed Percolation and the Transition to Turbulence: A geo-Statistical Analysis. Master thesis, 2020 more…
• Geck, Uwe: Extracting Short-Term Interest Rates from Derivatives Data – A Comparative Analysis. Master thesis, 2020 more…
• Geske, Flora (FIM): Social-Media based NLP-powered ESG Scoring Methodology. Master thesis, 2020 more…
• Gollart, Maximilian (FIM): Portfolio Optimization with Affine GARCH Models. Master thesis, 2020 more…
• Harmuth, Lukas: State-Space Models with Regime-Switching – an Application to Crude Oil Markets. Master thesis, 2020 more…
• Heger, Julia: Modeling, Decomposing and Forecasting Credit Spreads using Machine Learning Methodology. Master thesis, 2020 more…
• Hinken, Maria: Stackelberg Games in Insurance and Reinsurance. Master thesis, 2020 more…
• Hötzelsperger, Michael: Kalibrierung und Validierung eines 2-Faktor-Hull-White Modellsin einem Economic Scenario Generator unter Solvency II. Master thesis, 2020 more…
• Kielmann, Julia: Modelling of Dependence between Oil Price Shocks and Stock Market Returns using Dynamic Vine Copula Models. Master thesis, 2020 more…
• Kiesl, Josef: Implementation of factor strategies in the financial market. Master thesis, 2020 more…
• Kschonnek, Michel : Portfolio Optimization: Not Necessarily Concave Utility and Constraints on Wealth and Allocation. Master thesis, 2020 more…
• Legat, Markus: Lead-lag effects in the VIX ETPs. 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…
• Ohlwerter, Dennis: Contributing to estimating the distribution of household wealth. Master thesis, 2020 more…
• Rauscher, Marco: A machine learning approach to predict trends of exchange traded products on the VIX. Master thesis, 2020 more…
• Rexho, Nensi: Applications of Extreme Value Theory in Cyber Risk Modelling. Master thesis, 2020 more…
• Salama, Hana Sameh Ahmed: Copula Transformation Method for Collective Risk Models. Master thesis, 2020 more…
• Scharpf, Lea: Betrachtung von Emil J. Gumbel als Lehrperson aus politischer und mathematischer Perspektive mit einer fachdidaktischen Analyse statistischer Lehrinhalte. Master thesis, 2020 more…
• Stein, Noel: Neural Networks for Claims Reserves Estimation in Legal Expenses Insurance. Master thesis, 2020 more…
• Theel, Vanessa (FIM): Inference from Annual ESG-Scores and Social-Media based Sconing Methodology. Master thesis, 2020 more…
• Theilacke, Lorenz: A Neural Network Approach To Optimal Investment Strategies. Master thesis, 2020 more…
• Walther, Jasmin: Stochastic Mortality Modelling - Comparative Model Analysis and Quantification of Longevity Risk under Solvency II. Master thesis, 2020 more…
• Weber, Jan (FIM): Securitization of solar power purchase agreements. Master thesis, 2020 more…
• Wiggenhauser, Rayna Josefina: The Hierarchical Lévy-Frailty Default Model - Application to CDO Pricing. Master thesis, 2020 more…
• Wiyoga, Gusnadi: Combination of Two Approximation Approaches in Insurance Liability Modeling. Master thesis, 2020 more…
• Yao, Limei : Market anomalies using machine learning techniques. Master thesis, 2020 more…
• Abed, Bassant: Customer churn prediction in the insurance industry using machine learning methods (in cooperation with ERGO). Master thesis, 2019 more…
• Antonin, Carina (FIM): Approximation of the Loss Distribution for a Generalized Multi-Period Credit Risk Model. Master thesis, 2019 more…
• Bayerlein, Melanie: Machine Learning in Life Insurance – Searching for patterns in Stochastic projections (in Kooperation mit Swiss Life). Master thesis, 2019 more…
• Beckmann, Martin: Dissecting characteristics via machine learning. Master thesis, 2019 more…
• Brück, Florian: Clarke's Test For Non-Nested Model Comparison. Master thesis, 2019 more…
• Dias Duarte, Ruben : Comparison of Interest Rate Models based on their Sensitivity Profile and Hedge Performance for Multi-Callables. , 2019 more…
• Giss, Viktor: The Idiosyncratic Volatility Puzzle and Average Stock Variance Evidence from Japan. , 2019 more…
• Imeraj, Arben: The BIX-Creating a Bitcoin Volatility Index. Master thesis, 2019 more…
• Keller, Maximilian (FIM): Dynamic Investment Strategies under Minimum Guarantee and Risk Contraints. Master thesis, 2019 more…
• Miao, Xinyue: A comparison of liquidity proxies for the German stock market. , 2019 more…
• Müller, Felix Alexander: Managing Mortality Risk with Pooled Annuity Funds under a stochastic mortality approach. Master thesis, 2019 more…
• Perevozchikova, Elena: Modelling Oil Price Shocks and Stock Market Returns using D-Vine Copula Models. Master thesis, 2019 more…
• Qi, Mingxin: Risk Free Interest Rate Implied from Put-Call Parity Relation for German Market. Master thesis, 2019 more…
• Satzger, Franziska: Model Dependence Analysis between a Risk Model and Churn Model in Non-Life Insurance. Master thesis, 2019 more…
• Schischke, Amelie (FIM): Modelling Recovery Rates. Master thesis, 2019 more…
• Schneider, Zeno: A machine learning approach to estimate analyst forecast errors. , 2019 more…
• Schnell, Alexander: Pricing of Callable Perpetual Contingent Convertible Bonds. Master thesis, 2019 more…
• Seith, Theresa: Optimal Investment Strategies for Participating Contracts. Master thesis, 2019 more…
• Sinani, Ayrton: Analysis of DAX Options and Warrants. Master thesis, 2019 more…
• Tupko, Olha: Machine learning techniques for insurance claims prediction. Master thesis, 2019 more…
• Veit, Benedikt: Machine Learning Applications for Asset Allocation. , 2019 more…
• Walther, Max (FIM): Timing an sizing of residential PV in New South Wales with a real option approach. , 2019 more…
• Winter, Denis: Machine Learning in Insurance in cooperation with ERGO. , 2019 more…
• Xie, Linyi: A Protocol for Factor Identification: Theory and steps to replicate. Master thesis, 2019 more…
• Zilker, Ludwig: The Hüsler-Reiss Copula - Properties, Estimation and Simulation. Master thesis, 2019 more…
• Ausäderer, Patrick: A Comparison of Factor Models for the Japanese Stock Market. Master thesis, 2018 more…
• Burkart, Moritz: Emil J. Gumbel´s Contribution to Multivariate Analysis. Master thesis, 2018 more…
• Bösing, Gerald: Dependencies between Sub-portfolios in Prohabilistic Natural Hazard Models: Analysis and Approximation with Copulas. Master thesis, 2018 more…
• Dobler, Stefan: Pricing of long-term CDO-like Structure in Life Reinsurance. Master thesis, 2018 more…
• Graßl, Sarah: Industry Trade Networks and the Cross-Section of Stock Returns: Evidence from Germany. Master thesis, 2018 more…
• Heck, Daniel: Price Discovery and Efficiency in Bitcoin Markets. Master thesis, 2018 more…
• Helm, Jonathan: Portfolio diversification using the hierarchical clustering approach. Master thesis, 2018 more…
• Hermann, Kirstina: Behavioral Asset Pricing in the Stock Markets of the United States and Great Britain. Master thesis, 2018 more…
• Heyn, Claudia: Contagion in Time Continuous Bank Run models. Master thesis, 2018 more…
• Kammerer, Alexander (FIM): Decomposition of Credit Spreads For Euro Area Government and Corporate Bonds. Master thesis, 2018 more…
• Kopic, Petra: Reconstructing of a financial network – Comparison of the Exponential random graph model and the Fitness model. , 2018 more…
• Krüger, Daniel: General Vine Copula Models for Stationary Multivariate Time Series. Master thesis, 2018 more…
• Le, Francesca (FIM): Large VAR modeling with application to energy data. Master thesis, 2018 more…
• Mattejat, Roman : Reducing the Impact of Estimation Error on Portfolio Optimization. Master thesis, 2018 more…
• Mulgrew, Harry : Pricing Bitcoin Options using Extension of the Black Scholes Model & Determining the Economics of Cryptocurrency Competition. Master thesis, 2018 more…
• Panagiotopoulou, Konstantina: Modeling and forecasting downturn LGD. Master thesis, 2018 more…
• Preissler, Fabian: Model Comparison with Sharpe Ratios – How to Choose Model Factors for Asset Pricing Models? Master thesis, 2018 more…
• Rosenkranz, Fabian: Self-Harming Mergers - A Game Theoretical Analysis. Master thesis, 2018 more…
• Senn, Markus (FIM) : Price of Liquidity in the Reinsurance of Fund Returns – Analytic and Numerical Valuation. , 2018 more…
• Sinani, Ayrton : Overprice Warrants in the EU Market. Master thesis, 2018 more…
• Spyridaki, Chloi Zanet: Statistical inference for Blomqvist´s beta. Master thesis, 2018 more…
• Steffan, Dominik (FIM): An Experimental Comparison of Balanced Scorecard and Fix Remuneration Systems - With Focus on Cultural Differences between Australia and Germany. Master thesis, 2018 more…
• Steinbach, Sarah Andrea: ALM-Optimization using Core-Satellite Decomposition and Robustification. Master thesis, 2018 more…
• Wellbrock, Felix: On the Relation between Implied Cost of Capital and Stock Returns Using Models Including Current Earnings Forecasts. , 2018 more…
• Wissing, Alexander: Forecasting claim inflation in non-life insurance using macroeconomic factors. Master thesis, 2018 more…
• Zeller, Gabriela (FIM): Hawkes Processes in Insurance: Risk Modelling and Optimal Investment. , 2018 more…
• Zheng, Xinyi (FIM): Deep Learning in Index Forecasting and Portfolio Optimization. Master thesis, 2018 more…
• Bednorz, Nico: Spurious regression and cointegration of unit-root time series. Master thesis, 2017 more…
• Dörrie, Philipp (FIM): Stress testing with ROM simulation. Master thesis, 2017 more…
• Fraga Esparza, Pablo Isaac : Rearrangement Algorithm. Master thesis, 2017 more…
• Haas, Alexandra Valérie : Forecasting GDP for the Euro Area using Dynamic Factor Models for Mixed Frequency Data. Master thesis, 2017 more…
• Han, Jae June : Risk Premia in Crude Oil Futures and Option Markets. Master thesis, 2017 more…
• Havrylenko, Yevhen: Optimal fees in hedge funds with first-loss compensation using non-concave utility maximization. Master thesis, 2017 more…
• He, Yiyi : Computational aspects for multivariate shortfall risk allocation. Master thesis, 2017 more…
• Herold, Paul: Interpolation of Implied Volatilities via Chebyshev Interpolation. Master thesis, 2017 more…
• Jürgensen, Kristofer: Modeling Seasonal Stochastic Volatility in Agricultural Futures Markets. Master thesis, 2017 more…
• Klausz, Michael : Efficient Option Pricing by ‘Magic Points’ in one and two Dimensions. Master thesis, 2017 more…
• Kronbauer, Thomas: Pricing and hedging Bermudas Swaptions. Master thesis, 2017 more…
• Liu, Cancan: Optimal Mean-Variance portfolio Selection in Continuous Time via Markov-Modulated Stochastic Optimal Control. Master thesis, 2017 more…
• Lubojanski, Martin (FIM): Diversity in Financial Risk Management – Revisiting the Lehman Sisters Hypothesis. Master thesis, 2017 more…
• Mahler, Johannes: Stress testing of credit portfolio models. Master thesis, 2017 more…
• Prinzbach, Diana (FIM): Hedging of bunker fuel cost with futures or forwards. Master thesis, 2017 more…
• Spiegelberg, Leonhard (FIM): Model-free approaches for evaluation counterparty credit risk. Master thesis, 2017 more…
• Tamburini, Andrea: Dynamic factor copula models and systemic risk in the banking sector. Master thesis, 2017 more…
• Tobert, Dennis: Seasonal Stochastic Volatility in Commodity Markets. Master thesis, 2017 more…
• Wieczorek, Jakub : Explaining aggregated recovery rates. Master thesis, 2017 more…
• Wong, Shu Yeung: Low-rank tensor approximation methods for financial problems. Master thesis, 2017 more…
• Abend, Stephan: Bid-Ask Calibration of Lévy Models – Theory and Implementation. Master thesis, 2016 more…
• Ailer, Elisabeth: Value-at-Risk Decomposition and Sensitivies. Master thesis, 2016 more…
• Amtmann, Stefan: Statistical Tools for Fraud Detection in Hedge Fund Returns. Master thesis, 2016 more…
• Becker, Jonas: Catastrophe Bond Pricing with Application to a left-truncated NatCat linked Loss Index. Master thesis, 2016 more…
• Bergen, Volker (FIM): Robust multivariate portfolio choice with stochastic covariance in presence of ambiguity. Master thesis, 2016 more…
• Bollman, Laslo (FIM): Predicting Influenza-Like Illness in the USA. Master thesis, 2016 more…
• Borowiak, Przemyslaw: Sovency II: Standard formula vs. internal models. Master thesis, 2016 more…
• Börsch, Annika: Multi-asset perspective on private equity. Master thesis, 2016 more…
• Capuano, Annalaura : Overpriced OTC derivatives. Master thesis, 2016 more…
• Cera, Katharina (FIM): General Semi-Markov Model for Limit Order Books: Theory, Implementation and Numerics. Master thesis, 2016 more…
• Ding-Hirschfeld, Mei (FIM): Designing new ventures for serving foreign merkets – the evaluation and choice of sales channel(s) by the example of a Chinese home acceccories venture in Germany. Master thesis, 2016 more…
• Fließbach, Carolin : Economic Scenario Generation – A Statistical Evaluation on the Example of a Stochastic Investment Model. Master thesis, 2016 more…
• Gatzka, Fabian (FIM): Hybrid Methods for Valuing Executive Share Options & Numerical Experiments. Master thesis, 2016 more…
• Glock, Christian: CVaR Portfolio - A Scenario-based Approach Using Copulas. Master thesis, 2016 more…
• Gruber, Oskar: State-dependent Bootstrapping of Investment Strategies. Master thesis, 2016 more…
• Han, Yang (FIM): Statistical and Empirical Properties of Factor Model Quantile Simulation. Master thesis, 2016 more…
• Heuke, Jakob: Copula Modelling of Dependence in Multivariate Time Series. Master thesis, 2016 more…
• Hiller, Maximilian: Optimal Investment Strategies under Illiquid Liabilities. Master thesis, 2016 more…
• Hoffmann, Jannik: Inflation-Protected Investment Strategies. Master thesis, 2016 more…
• Höhn, Vincent (FIM): Fee structures in hedge funds – An equilibrium between manager and investor. Master thesis, 2016 more…
• Ivanova, Maria : Smart Beta: Funds Performance Evaluation. Master thesis, 2016 more…
• Kaufmann, Florian (FIM): The effect of diversification on value for international financial institutions. Master thesis, 2016 more…
• Kriebel, Paul (FIM): Portfolio optimization under regulatory constraints. Master thesis, 2016 more…
• Kunzelmann, Sven: Endpoint Estimation in Extreme Value Theory with application to sport records. Master thesis, 2016 more…
• Lachenmaier, Alexander: Minimum CVaR based portfolio construction – Comparing different strategies for CDS portfolios. Master thesis, 2016 more…
• Lichtenstern, Andreas (FIM): Behavioral Finance Driven Investment Strategies. Master thesis, 2016 more…
• Maslova, Valeriia : Multi-Asset CVaR: Minimizing Downside Risk of Multi-Asset Class Portfolios. Master thesis, 2016 more…
• Michel, Daniel: Non-linear statistical models for incomplete data. Master thesis, 2016 more…
• Mirosnikov, Matvei : Preselection of Financial Instruments for the Portfolio Replication. Master thesis, 2016 more…
• Pötz, Christian: Chebyshev Interpolation for Parametric Option Pricing: Empirical and Theoretical Investigations. Master thesis, 2016 more…
• Scherer,Julia (FIM): Who holds the Carbon Risk bomb? Overview of potential Risk Takers. Master thesis, 2016 more…
• Seifert, Felix (FIM): The Impact of Time Series Models in Coherent Mortality Projection. Master thesis, 2016 more…
• Sloot, Henrik: Exogenous shock models. Master thesis, 2016 more…
• Stolz, Barbara (FIM): An Actuarial Analysis of Australian Retirement Village Contracts. Master thesis, 2016 more…
• Teuma Manekeng, Stephanie : Vine Copula specifications for stationary multivariate time series. Master thesis, 2016 more…
• Altemeyer, Raphael: FEM for 2D Heston’s Pricing PDE. Master thesis, 2015 more…
• Anzer, Gabriel: Modelling of Loan Recovery Rates. Master thesis, 2015 more…
• Arbeiter, Michael: Bilateral CVA under Collateralization, Rehypothecation and Netting. Master thesis, 2015 more…
• Asfaw, Zelalem: Interest Rate Risk Under Solvency II. Master thesis, 2015 more…
• Bienek, Tobias: Constrained Portfolio Optimization. Master thesis, 2015 more…
• Brummer, Ludwig: Liability Driven Investment Strategies. Master thesis, 2015 more…
• Criens, David: Construction of Equivalent Martingale Measures. Master thesis, 2015 more…
• Ebach, Eva Marie : On the Usage if Entropy Distributions to Quantify Investors Sentiment in Capital Markets. Master thesis, 2015 more…
• Engel, Janina (FIM): One-factor Lévy-frailty copulas with inhomogeneous trigger rate parameters. Master thesis, 2015 more…
• Felski, Nassi-Florian: Extracting the implied factor premiums from a FAMA-French three-factor model using implied cost of capital estimates. Master thesis, 2015 more…
• Gschnaidtner, Christoph: Ein multivariates stochastisches Volatilitätsmodell für Anwendungen im Devisenmarkt. Bachelor 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…
• Klotz, Stefan (FIM): Interantional Yield Curve Prediction with Common Functional Principal Component Analysis. 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…
• Lui, Chang: Option Evaluation using Reduced Basis. Master thesis, 2015 more…
• Mayer, Martin Anton: Consistent Estimation of Factor Models using principal components. Master thesis, 2015 more…
• Melnikova, Ksenia : Calibration oft the affine LIBOR model. Master thesis, 2015 more…
• Michel, Daniel: Non-linear statistical models for mixed frequency data. , 2015 more…
• Munkelberg, Dennis: Comparison of estimation procedures for the structure of hierarchical Archimedean copulas. Master thesis, 2015 more…
• Möbus, Lisa: Dynamic Factor Models : Estimation and Applications. Master thesis, 2015 more…
• Neumann, Moritz: Entwicklung eines Optimierungsverfahrens für das Hedging von Optionen im Kundengeschäft. Master thesis, 2015 more…
• Oganian, Maria: FEM for Heston’s and 2D Black-Scholes‘ Pricing PDE. Master thesis, 2015 more…
• Panz, Sven: Pricing multiple barrier derivatives under stochastic volatility and random covariance. Master thesis, 2015 more…
• Probst, Johannes: Analysis of Downturn Effects in the Modeling of Loss Given Default. Master thesis, 2015 more…
• Schneider, Benedikt: Quantifizierung von CVA bei verallgemeinertem Wrong-Way-Risk Credit Value Adjustment with respect to generalized Wrong-way risk. Master thesis, 2015 more…
• Schneller, Marvin: The impact of senior managers´ reputation on internal capital markets: Empirical evidence from the S&P 500. Master thesis, 2015 more…
• Weichenberger, Andreas (FIM): Contingent Convertibles and the Extension Risk. Master thesis, 2015 more…
• Welsing, Simon: Nonlinear Shrinkage estimation of Covariance Matrices for Portfolio Selection. Master thesis, 2015 more…
• Will, Martin: Portfolio Insurance Strategies: Stop-Loss versus CPPI. Master thesis, 2015 more…
• Wurzer, Tobias: The Regime-Switching Multi-Curve LIBOR Model. Master thesis, 2015 more…
• Zawadzki, Emil : A two-step estimator for approximate factor models based on Kalman filtering. Master thesis, 2015 more…
• Zimmermann, Maximilian: The Finite Element Method with Splines for Option Pricing. Master thesis, 2015 more…
• Amrhein, Lisa: Modellierung deutscher Wetterdaten mittels mehrdimensionaler Extremwerttheorie. Master thesis, 2014 more…
• Bi, Monika: Generalized Principal Component Models – Next Generation. Master thesis, 2014 more…
• Cossmann, Eike Alexander: Fortgeschrittene Life Cycle Asset Allocation. Master thesis, 2014 more…
• Denk, Katharina: Optionality Properties in the Return Distribution of Hedge Fund Returns. Master thesis, 2014 more…
• Eden, Markus: Pricing FX Forwards including bilateral counterparty risk and funding costs. Master thesis, 2014 more…
• Fuchs, Markus: Markov-Switching Multifraktale Modelle mit Anwendungen. Master thesis, 2014 more…
• Grobosch, Sonja: Diskrete Nicht-Wahrscheinlichkeits-Markt-Modelle: Transaktionskosten, Arbitrage und Implementierung. Master thesis, 2014 more…
• Gschnaidtner, Christoph: Parameter recovery for the Heston stochastic volatility model. Master thesis, 2014 more…
• Gu, Jingjing: Forecasting Electricity Prices Using Artificial Neural Networks. , 2014 more…
• Gu, Jingjing: Anwendung künstlicher neuronaler Netze zur Strompreisprognose an der EEX. Master thesis, 2014 more…
• Hegenloh, Samuel: Realoptions-Portfolios in Kraftwerkparks: Bewertung und optimale Ausübungsstrategien von gegenseitig abhängigen Optionen. Master thesis, 2014 more…
• Hirt, Marcel: Zinsderivate in Multi-Curve-Modellen. Master thesis, 2014 more…
• Hock, Andreas: Portfolio Loss Distributions for Asset-backed Securities with Moderately Heterogeneous Assets. Master thesis, 2014 more…
• Hong, Zicheng: Numerische Methoden für rückwärts-stochastische Differentialgleichungen mit Anwendungen in Finanzmathematik. Master thesis, 2014 more…
• Hüttner, Amelie: Bewertung und optimale Kapitalstruktur in einem strukturellen Kreditrisikomodell basierend auf einem Springprozess. Master thesis, 2014 more…
• Ickenroth, Tim: Dynamic Investment Strategies under Behavioral Aspects. Master thesis, 2014 more…
• Killiches, Matthias: Refinanzierungsrisiken. Master thesis, 2014 more…
• Krieg, Korbinian: Variational Solution of the Pricing PDE for European Options in the CEV Model – Analysis and Finite Element Implementation. Master thesis, 2014 more…
• Lorenz, Christian: Power Plant Valuation with Switching Options. Master thesis, 2014 more…
• Morelli, Valerio: Goodness-of-fit tests for elliptical distributions. Master thesis, 2014 more…
• Neginsky, Dmitry: Pricing and Hedging of VIX Options. Master thesis, 2014 more…
• Polta, Florian: Äquivalante Martingalmaße in unvollständigen Märkten: Eigenschaften und Zusammenhänge. Master thesis, 2014 more…
• Ruppert, Melchior (FIM): Factor Model Quantile Simulation of Stock Returns. Master thesis, 2014 more…
• Schuberth, Steffen (FIM): Real Options in Strategic Management. Master thesis, 2014 more…
• Sigle, Patrick: Hedging of structured products. Master thesis, 2014 more…
• Stark, Tina: Development and Evaluation of a Robust Portfolio Modeling Approach with Budgeted Robustness. Master thesis, 2014 more…
• Storhas, Dominik (FIM): Multiscale Causalities and Dependencies in Oil and Refined Product Markets – A Wavelet Coherence and Symbolic Wavelet Transfer Entropy Approach. Master thesis, 2014 more…
• Su, Yue: The Herd Behavior Index – Implementation based on DAX index data. Master thesis, 2014 more…
• Sun, Xiao: Mengenwettbewerb mit allgemeinen zeitlichen Entscheidungsstrukturen. Master thesis, 2014 more…
• Walter, Sebastian: Credit Valuation Adjustments und Wrong-Way Risk – Eine umfassende Fallstudie zum Thema Risikomanagement von Gegenpartei-Risiko. Master thesis, 2014 more…
• Wiersch, Claudia: Reduced basis method for option pricing in the CEV-model - Analysis and Numerical Implementation. Master thesis, 2014 more…
• Zhang, Wenqian: Abhängigkeitsmodellierung mithilfe von Kopulas für Versicherungsrisiken. Master thesis, 2014 more…
• von Bonhorst, Leopold: Empirische Identifikation heterogener Risikopräferenzen. Master thesis, 2014 more…
• Bao, Min: Bayesian Vector Autoregressive Models and their Applications. Master thesis, 2013 more…
• Gauß, Annika: Wind Speed Simulation and Insurance Products for Wind Farm Investors. Master thesis, 2013 more…
• Gengler, Christian: Non-Linear Filtering for Mean Reversion Processes with Heston Volatility. Master thesis, 2013 more…
• Groß, Christina: Dynamische Portfoliooptimierung mit Hilfe eines Regime-Wechsel Modells. Master thesis, 2013 more…
• Hiller, Martin: Option Pricing in a Black-76 Framework with Semi-Markov-Modulated Volatility. Master thesis, 2013 more…
• Hümmer, Michael: Herdenverhalten auf experimentellen Finanzmärkten: Eine empirische Überprüfung theoretischer Erklärungen. Master thesis, 2013 more…
• Kant, Benjamin: Saddlepoint approximation in portfolio default models with conditionally independent and identically distributed (CIID) default times. 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…
• Krause, Daniel (FIM): Stochastic Covariance and Dimension Reduction in the Pricing of Basket Options. Master thesis, 2013 more…
• Leonhardt, Daniel: Modeling Commodity Futures Using a Cointegrated Extended Geometric Model. Master thesis, 2013 more…
• Ramsauer, Franz (FIM): Pricing of Variable Annuities - Incorporation of Policyholder Behavior. Master thesis, 2013 more…
• Rudolph, Benedikt (FIM): Estimation of continuous time stochastic covariance models. Master thesis, 2013 more…
• Schmidt, Tim: Pricing Timer Options. Master thesis, 2013 more…
• Stosch, Maximilian: Copulas: Statistical estimation and goodness-of-fit tests. Master thesis, 2013 more…
• Zhou, Bianca Wenyü: Einkommensverteilung und intergenerationale Mobilität: Die Rolle von öffentlichen Bildungsausgaben. Master thesis, 2013 more…
• Abe, Christine : Valuation of Convertible Bonds using the Jump to Default Extended CEV Model. Master thesis, 2012 more…
• Angerer, Christian von: Construction of arbitrage-free volatility surfaces - An empirical examination based on different market scenarios. Diplom thesis, 2012 more…
• Beying, Christopher: Konzeption und Aufbau eines dynamischen Planungs- und Kontrollinstruments für das Startup miBaby. Diplom thesis, 2012 more…
• Blum, Mathias: Asymptotic expansions for compound distributions in Operational Risk. Master thesis, 2012 more…
• Bohner, Christian: Agent staffing in an Allianz customer service center subject to service level constraints. Diplom thesis, 2012 more…
• Bredl, Thomas: The Economics of Orders, Decorations and Medals: Modelling and Testing Political Awarding Cycles. Diplom thesis, 2012 more…
• Diewald, Laszlo (FIM): Seasonal patterns in commodity returns: MCMC estimation of time-dependent jumps. Master thesis, 2012 more…
• Gaß, Maximilian: Laplace inversion pricing methodologies for portfolio default models. Master thesis, 2012 more…
• Geldner, Daniel: Weather Derivatives and Electricity Demand Modeling. Master thesis, 2012 more…
• Hannecker, Sebastian: Intraday-Spotpreismodellierung an Elektrizitätsmärkten. Diplom thesis, 2012 more…
• Hasselmann, Gunnar: Entwicklung eines Optimierungsverfahrens zur Bestimmung der Eigen- und Fremdkapitalquote in der Finanzplanung eines Gaskraftwerks. Diplom thesis, 2012 more…
• Hauptmann, Johannes (FIM): A Fast and Accurate Estimation of Risk Measurements for Large Mark-to-Market Credit Portfolios with Random Recovery and Correlation. Master thesis, 2012 more…
• Hortig, Christian Andre: Simulation von Finanzszenarien mit verschiedenen Ansätzen. Diplom thesis, 2012 more…
• Hörhammer, Stefan: Modellierung und Strukturierung von Assetportfolios - ein Markov Switching Ansatz -. Diplom thesis, 2012 more…
• Jansen, Sebastian: Volatility as an asset class. Master thesis, 2012 more…
• Kallert, Lisa: Tail Risk Hedging Strategies. Diplom thesis, 2012 more…
• Kampert, Nils: Weather derivatives – Risk management of a portfolio. Master thesis, 2012 more…
• Kishkurno, Dimitri: CPPI under Liquidity Risk. Diplom thesis, 2012 more…
• Kostoposlos, Dimitrios: Investor Sentiment and the cross-section of Stock returns. Diplom thesis, 2012 more…
• Kunze, Matthias : Implied Recovery Models - Application of three different Implied Recovery Models to pre-default CDS Spreads of distressed Companies. Master thesis, 2012 more…
• Kutzmutz, Monika: Genetische Information und private Versicherungen. Diplom thesis, 2012 more…
• Leidner, Jan: Energy commodity price models and their implementation with the Kalman filter. Diplom thesis, 2012 more…
• Link, Thomas: Central Banks as Lenders of Last Resort. Diplom thesis, 2012 more…
• Lu, Sien: Variance Reduction Methods for Value-at-Risk Calculation. Master thesis, 2012 more…
• Mahlstedt, Mirco (FIM): Pricing of multivariate derivatives with two barriers. Master thesis, 2012 more…
• Matzeder, Michael (FIM): Data Snooping Tests on Technical Rules and Nearest Neighbor Algorithms. Master thesis, 2012 more…
• Mitterreiter, Michael: Market crises and the 1/N Asset-Allocation Strategy. Master thesis, 2012 more…
• Müller-Rensing, Sven-Lars: Coherence of production technologies and hedging activity of power supplyers. Diplom thesis, 2012 more…
• Natolski, Jan: Simulation of jump diffusion processes and applications in pricing defautable securities. Master thesis, 2012 more…
• Niedermeier, Melanie: Modeling Local Volatility Using Implied Trees. Master thesis, 2012 more…
• Peintinger, Sebastian: Evaluating the Implied Cost of Capital from a Nonlinear Perspective. Master thesis, 2012 more…
• Roemer, Nikolas: Modellrisikoanalyse des Common Background Vector Modells für Kreditrisiko. Diplom thesis, 2012 more…
• Rupaner, Julia: Der Rearrangement Algorithmus. Master thesis, 2012 more…
• Steinrücke, Lea: The LIBOR market model – a stochastic volatility extension of the LOG-normal model. Diplom thesis, 2012 more…
• Sörgel, Nina: Variance reduction schemes for Monte Carlo methods in portfolio credit risk. Diplom thesis, 2012 more…
• Vilensky, Aleksey: Zur Übertragbarkeit von Alterungsrückstellung in der privaten Krankenversicherung. Diplom thesis, 2012 more…
• Weese, Martin: Modeling the Price Dynamics of CO2 Emission Allowances for Multiple Trading Periods. Master thesis, 2012 more…
• Zhao, Wenting: Performance-Maße und deren Anwendungen. Diplom thesis, 2012 more…
• Zheng, Lecong: Integrated scorecard rating model with macroeconomic forecast. Master thesis, 2012 more…
• Baureis, Thomas: Dynamic Efficient Frontiers. Diplom thesis, 2011 more…
• Bernhart, German: Default Models Based On Scale Mixtures Of Marshall-Olkin Copulas: Properties And Applications. Master thesis, 2011 more…
• Braun, Alexander: Credit Portfolio Modeling - Credit Risk vs. One-Factor Copula models. Diplom thesis, 2011 more…
• Cheng, Yi: Liability Hedging. Master thesis, 2011 more…
• Czembor, Piotr: Portfolio Optimization under Asset Pricing Anomalies. Diplom thesis, 2011 more…
• Dietrich, Eva-Maria: Counterpartyrisk under IFRS. Diplom thesis, 2011 more…
• Einig, Kolja: Pricing certificates under issuer risk in a stochastic volatility model. Diplom thesis, 2011 more…
• Frielingsdorf, Tobias: Impact of factor models on portfolio risk measures. A structural approach. Master thesis, 2011 more…
• Hoppenkamps, Anja : Der Kapitalmarktseismograph - Theorie und Anwendung. Diplom thesis, 2011 more…
• Jäger, Christoph: Interest Rate Models for Scenario Generation. Diplom thesis, 2011 more…
• Kemmler, Bastian: Portfolio Management und Performance Analyse - Strategisches Asset Management in einer simulierten Handelsumgebung. Diplom thesis, 2011 more…
• Knöferl, Harald: Calibration of a real world economic scenario generator. Diplom thesis, 2011 more…
• Krause, Daniel (FIM): Stochastic Covariance and Dimension Reduction in the Pricing of Basket Options. Master thesis, 2011 more…
• Landgraf, Jan: Option Pricing with Generalized Autoregressive Conditional Heteroscedastic Volatility Models. Diplom thesis, 2011 more…
• Lazarovici, Remy Alexander: The impact of ownership concentration on voluntary IFRS adoption: An empirical analysis of European companies. Diplom thesis, 2011 more…
• Ma, Shihe: Valuation of Options with Dividends using Monte Carlo Methods. Master thesis, 2011 more…
• Machatschek, Pascal: Personnel scheduling at check-in counters subject to stochastic demand. Diplom thesis, 2011 more…
• Maier, Duongmani: Stochastic Optimal Consumption Models. Master thesis, 2011 more…
• Meier, Lorenz: Loss Aversion and Skill Heterogeneity in a Tullock Contest. Diplom thesis, 2011 more…
• Neumann, Maximilian Alexander (FIM): The Determinants of Jump and Variance Risk Premia. Master thesis, 2011 more…
• Neumann, Michael: The Dynamics of Risk-Neutral Higher Moments: Evidence from the S&P 500 Options. Master thesis, 2011 more…
• Neykova, Daniela: Derivates Pricing under Stochastic Covariance with a Fast and a Slow Mean-reverting Component. Diplom thesis, 2011 more…
• Reuß, Andreas: The alpha-stable regime switching model and its applications in Finance. Master thesis, 2011 more…
• Schenk, Steffen: CIID models: A new multivariate default model based on CGMY-type processes. Master thesis, 2011 more…
• Schmid, Ludwig: A new portfolio credit default model based on a CIID construction with shot-noise processes. Master thesis, 2011 more…
• Schulz, Thorsten: A conditionally independence model for credit portfolios based on dependent intensities with incomplete information. Diplom thesis, 2011 more…
• Schuster, Andreas: A Nonparametric Approach to Evaluate Switching-Options. Diplom thesis, 2011 more…
• Schwaiger, Christoph: Modeling and valuing wind power plants using option theory. Diplom thesis, 2011 more…
• Spitaler, Patrick: Pricing and hedging of CDO tranches using CIID models. Diplom thesis, 2011 more…
• Syryca, Janik: The Implied Cost of Capital, a new approach with panel regression. Diplom thesis, 2011 more…
• Ta Dinh, Khoa: Pooling - Gleichgewichte auf privaten Versicherungsmärkten. Diplom thesis, 2011 more…
• Vicedom, Sebastian: Discrete option delta replication with proportional transaction costs. Master thesis, 2011 more…
• Werner, Simon: Longstaff-Schwartz and LIBOR Market Model. Diplom thesis, 2011 more…
• Wobst, Michael: Realized Covariance Modeling with Adaptive Approach. Diplom thesis, 2011 more…
• Zhao, Jie: Credit CPPI – Constant Proportion Portfolio Insurance in Fixed Income Markets. Master thesis, 2011 more…
• Artinger, Helmut: Longevity Risk in the Pension Context. Diplom thesis, 2010 more…
• Comparative studies of discrete-time limit order book models: CPPI strategies in a Markov switching framework. Diplom thesis, 2010 more…
• Gross , Michael: Abnormale Ankündigungsrenditen bei Unternehmensübernahmen. Diplom thesis, 2010 more…
• Hieber, Peter: Incorporating default risk in an equity portfolio optimization. Master thesis, 2010 more…
• Hroß, Sven: Die Theorie der großen Abweichungen zur Schätzung von VaR und CVaR für Kreditportfolios. Master thesis, 2010 more…
• Kraus, Carolin: Quantifizierung und Analyse von Liquiditätsrisiken. Diplom thesis, 2010 more…
• Krimm, Theresa: Asset Allocation und Nachhaltigkeit in turbulenten Marktphasen. Master thesis, 2010 more…
• Kroker, Matthias: Private equity investors in Europe - stock picking specialists or governance champions? Master thesis, 2010 more…
• Leonhardt, Daniel (FIM): Modeling Commodity Futures Using a Cointegrated Extended Geometric Model. Master thesis, 2010 more…
• Liebhart, Valentin: The Market Risk of Listed Private Equity: An Empirical Analysis. Master thesis, 2010 more…
• Linezki, Denis: Structural Credit-Risk Models. Diplom thesis, 2010 more…
• Marchionini, Robert: Entscheidungstheorie und rationales Herdenverhalten in der Gesundheitsökonomie. Diplom thesis, 2010 more…
• Mayer, Klaus: Kraftwerksbewertung mit Switching Optionen. Diplom thesis, 2010 more…
• Müller, Stephan: Asset Management Simulation. Master thesis, 2010 more…
• Niklas, Michael: Organallokation in den USA, Spanien und Deutschland - Vergleich der Allokationsalgorithmen und empirischer Aspekte. Diplom thesis, 2010 more…
• Pankratov, Pavlo: Estimation of equity premia from credit risk premia and calibration and implementation of an approach based on credit agencies ratings. Diplom thesis, 2010 more…
• Pleie, Frans-Mathis: Private Equity Investments and Managerial Incentives - An analysis of European companies. Diplom thesis, 2010 more…
• Rauch, Johannes: Pricing of Commodity Derivatives and Derivatives on Commodity Indices. Master thesis, 2010 more…
• Rubinov, Alexander: Delta Hedging With Regime Switching Implied Volatilities. Master thesis, 2010 more…
• Schembera, Alexander: Messung von idiosynkratischen Risiken bei Leveraged Buy-out-Transaktionen. Diplom thesis, 2010 more…
• Seibert, Annelene: Hedging von Variable Annuities mit Guaranteed Minimum Death Benefits. Diplom thesis, 2010 more…
• Selch, Daniela: Libor Market Model with SABR-style Stochastic Volatility. Diplom thesis, 2010 more…
• Stamm, Sebastian: Forecasting Commodity Spot Prices - An Empirical Analysis of Time Series and Futures-based Models. Master thesis, 2010 more…
• Stibli, Martin: Realoptionen bei Investitionen in Humankapital - Eine bildungsökonomische Betrachtung in diskreter und stetiger Zeit. Diplom thesis, 2010 more…
• Vogt, Christofer: A Fund of Hedge Funds under Regime Switching. Master thesis, 2010 more…
• Yang, Y.: American Options in the Heston Model. Diplom thesis, 2010 more…
• Banholzer, Dirk: Intensity-Based Credit Risk Models. Diplom thesis, 2009 more…
• Beyschlag, Georg: Do investment-cash flow sensitivities really exist for German firms? Evidence from the impact of Working Capital management, the influence of banks and the ownership structure. Master thesis, 2009 more…
• Denkl, Stephan: On the Black-Scholes Strategy in Exponential Lévy Models. Diplom thesis, 2009 more…
• El Moufatich, Fayssal: Economic Scenario Generators: Calibration, Simulation and Comparison from an ALM Perspective. Diplom thesis, 2009 more…
• Ernst, Cornelia: The most reliable approach to measure Value at Risk adjusted for market liquidity. Master thesis, 2009 more…
• Friederich, Tim: Credit Modeling of Hedge Funds. Master thesis, 2009 more…
• Grossmann, Martin: M&A Activity of German Family Firms. Diplom thesis, 2009 more…
• Grottenthaler, Cordula: Untersuchungen zu oberen und unteren Schranken von Basket-Optionen. Diplom thesis, 2009 more…
• Gürses, Ertan: Empirische Untersuchung des Stromhandels - Ein europaweiter Vergleich von Strombörsen. Diplom thesis, 2009 more…
• Hanke, Christian: Portfolio Optimization under Partial Information. Diplom thesis, 2009 more…
• Hauck, Matthias: Wettbewerb im Non-Profit-Sektor - Eine theoretische Analyse. Diplom thesis, 2009 more…
• Hippe, Yvonne: Das Heston LIBOR Market Model mit und ohne Shift-Parameter. Diplom thesis, 2009 more…
• Kalepky, Markus: Implied Densities, Volatility Dynamics and Application to Delta-Hedging. Master thesis, 2009 more…
• Kienlein, Georg: Produktqualität in vertikalen Monopolstrukturen. Diplom thesis, 2009 more…
• Krayzler, Mikhail: An Empirical Analysis of Risk Factors for Calibration of a Credit Portfolio Model. Master thesis, 2009 more…
• Kuate, Christel Merlin Kamga: A portfolio credit risk model driven by a time-change Lévy process. Diplom thesis, 2009 more…
• Lahno, Amrei Marie: Bewertung von Early Exercise Produkten. Diplom thesis, 2009 more…
• Leibner, Bernhard: Intensity-based credit risk models with stochastic recovery rates. Diplom thesis, 2009 more…
• Lê, Minh: Variable Annuities mit GMWB Option. Diplom thesis, 2009 more…
• Martinus, Thomas: Calibration of Stochastic Volatility Models. Diplom thesis, 2009 more…
• Nehfischer, Thomas: Cheating in Contests. Diplom thesis, 2009 more…
• Nenova, Mila: Das Markov Functional Model für die Bewertung von Zinsderivaten. Diplom thesis, 2009 more…
• Olie, Andreas: Hedging von Express Zertifikaten. Diplom thesis, 2009 more…
• Putzer, Magdalena: CDO Sensitivitäten gegenüber Modellannahmen. Diplom thesis, 2009 more…
• Schlosser, Andreas: Falluntersuchungen von großen Verlustfällen in Finanzinstitutionen ? Eine Betrachtung aus der Perspektive des Risikomanagements. Master thesis, 2009 more…
• Schwanecke, Fritz: Praxis der Vorstandsvergütung in Europa im Spannungsfeld von Vorstands- und Unternehmensinteressen. Diplom thesis, 2009 more…
• Shenkman, Natalia: On discrete variance-optimal hedging in affine stochastic volatility models of the Ornstein-Uhlenbeck type. Diplom thesis, 2009 more…
• Sossau, Florian: Semi-Analytical Models for Counterparty Exposure. Diplom thesis, 2009 more…
• Tong, Siwen: Spread Option Valuation with Fourier Transform. Diplom thesis, 2009 more…
• Voß, Moritz: On pricing derivatives on quadratic variations in time change levy models. Diplom thesis, 2009 more…
• Wagner, Wolfgang: Berechnung arbitragefreier Volatilitätsflächen für Aktienoptionen. Diplom thesis, 2009 more…
• Xu, Yanlan: Time-inhomogeneous portfolio liquidation. Diplom thesis, 2009 more…
• Zhang, Qionghui: Numerische Bewertung amerikanischer Put-Optionen im Black-Scholes-Modell. Diplom thesis, 2009 more…
• Zong, Yuhang: CPPI in Discrete Time. Diplom thesis, 2009 more…
• Baeva, Natalia: Kreditrisikomodellierung in Emerging Markets: Thorie und Anwendungen. Diplom thesis, 2008 more…
• Balan, Ana-Maria: Stochastic Modelling of Private Equity - An Empirical Approach. Master thesis, 2008 more…
• Benk, Janos: Calibration of the Das, Foresi, Balduzzi and Sundaram three-factor short rate model. Diplom thesis, 2008 more…
• Biere, Andre: Robust CDS Pricing Routines in a Structural Default Model with Jumps. Diplom thesis, 2008 more…
• Gong, Xi: Style Investing in Emerging Markets. Master thesis, 2008 more…
• Gärtner, Andreas: Simulationsbasierte Verfahren zur Bestimmung varianzoptimaler Hedgingstrategien. Diplom thesis, 2008 more…
• Hu, Wenjing: Bewertung exotischer Zertifikate in Modellen mit stochastischer Volatilität. Diplom thesis, 2008 more…
• Huber, Michael: Zertifikateportfolios für Privatanleger. Master thesis, 2008 more…
• Kobinger, André: Konstruktion von Private-Equity-Indizes. Diplom thesis, 2008 more…
• Kroneberg, Ada: Empirische Untersuchung von Ausfall- und Recoveryrisiken in hybriden Modellen. Diplom thesis, 2008 more…
• Löhner, Fabian: Structural mortgage models with additional borrowing and variable interest rates. Master thesis, 2008 more…
• Muhr, Gerald: Empirische Untersuchung von Risikofaktoren zur Kalibrierung eines Kreditrisikomodells auf Portfolioebene. Diplom thesis, 2008 more…
• Obernberger, Stefan: The Impact of the Sarbanes-Oxley Act on the Costs of Going Public - An Empirical Analysis. Master thesis, 2008 more…
• Petram, Michael: Empirische Studien zum synergetischen Kapitalmarktmodell. Diplom thesis, 2008 more…
• Riegler-Rittner, Sebastian: Performance of 130/30 Strategies. Master thesis, 2008 more…
• Seegerer, Philip: Pricing Correlation Sensitive Cross-Asset Portfolio Derivatives. Diplom thesis, 2008 more…
• Sprißler, Sabrina: Bildungsfinanzierung und Neue Politische Ökonomie - Eine Analyse des bildungspolitischen Entscheidungsprozessesin einer Demokratie. Diplom thesis, 2008 more…
• Wang, Xiaogang: Modeling Financial Scenarios. Diplom thesis, 2008 more…
• Bartl, Melanie: Implied Dividends: High Frequency Data Analysis. Diplom thesis, 2007 more…
• Bernhardt, Elena: Adjustable-Rate Mortgage-Backed Securities: Bewertung und optimale Beimischung in Zinsportfolios. Diplom thesis, 2007 more…
• Böger, Christian: Optimal Stopping in Presence of Jumps. Diplom thesis, 2007 more…
• Dimitrova, Cvetelina: Approximationsmethoden für konvexe semi-infinite Optimierungsprobleme. Diplom thesis, 2007 more…
• Dost, Benjamin: Ansätze zur Monte-Carlo Simulation von Griechen. Diplom thesis, 2007 more…
• Feng, Xiaolei: Parameter-Kalibrierung und Bewertung exotischer Optionen im Heston Modell. Diplom thesis, 2007 more…
• Goy, Martina: Vergleich der Black Scholes-Strategie mit der varianz-optimalen Hedgingstrategie in exponentiellen Lévy-Modellen. Diplom thesis, 2007 more…
• Grill, Michael: Schätzung von Risikomaßen mit Extremwerttheorie und Copulas. Diplom thesis, 2007 more…
• Götz, Barbara: Stochastic Correlation - Pricing Spread Options and CDOs. Master thesis, 2007 more…
• He, Yong: Credit Derivatives. Diplom thesis, 2007 more…
• Hoffmann, Alwin: Realisierung einer modularen Plattform für den simulierten Handel auf Finanzmärkten. Master thesis, 2007 more…
• Huber, Florian: Bildung, Fortschritt und ökonomische Ungleichheit. Diplom thesis, 2007 more…
• Kandler, Stefanie: Correlation-Robust Replication of Volatility Swaps. Diplom thesis, 2007 more…
• Kiechle, Andreas: CPPI Options. Master thesis, 2007 more…
• Kuboth, Heiko: Bewertung von hochdimensionalen Derivaten mit Monte-Carlo-Simulation. Diplom thesis, 2007 more…
• Mai, Jan-Frederik: Modellierung von Finanzmärkten mit Markov Switching Modellen. Diplom thesis, 2007 more…
• Mayer, Barbara: Credit as an Asset Class. Master thesis, 2007 more…
• Merz, Christina: Empirical Analysis of Credit Default Swaps. Diplom thesis, 2007 more…
• Middelkamp, Christoph: Investigation of a procedure of robust portfolio optimization under elliptical distribution assumptions. Diplom thesis, 2007 more…
• Milz, Klara Sofie: Bewertung von inflationsabhängigen Derivaten. Diplom thesis, 2007 more…
• Nguyen, Khoa: Nichtparametrische Kalibrierung exponentieller Lévy-Modelle. Diplom thesis, 2007 more…
• Oberdorfer, Katrin: Simulation von Lévy Prozessen und Testen des Momentenschätzers im BNS Modell (Projekt). Diplom thesis, 2007 more…
• Rösch, Christoph: Asset Liability Management in Financial Planning. Master thesis, 2007 more…
• Saffaf, Tarek: Bildungsfonds in Deutschland. Diplom thesis, 2007 more…
• Schröder, Christina: Statisches Hedgen von Single Barrier Optionen. Diplom thesis, 2007 more…
• Wagner, Maria: FFT-Methoden für Optionspreisbewertung in Lévy-Modellen. Diplom thesis, 2007 more…
• Wallenhorst, Felix: CDOs und Intensitätsmodelle: Kreditportfoliosimulation durch bei der Kalibrierung implizite Korrelation. Diplom thesis, 2007 more…
• Wiesent, Julia: Risk Management of Asian Hedge Funds - Comparison of different Models. Master thesis, 2007 more…
• Wolf, Jürgen: Optimal asset allocation with Asian hedge funds and Asian REITs. Master thesis, 2007 more…
• Zhang, Hailin: The LIBOR Market Model: LFM und LSM. Diplom thesis, 2007 more…
• Zheng, Yiying: Liability Driven Investment Optimization. Diplom thesis, 2007 more…
• Blum, Benedikt: Deterministische Bewertung von Optionen in Lévy-Modellen. Diplom thesis, 2006 more…
• Bundscherer, Jörg: Vergleich von LIBOR-Modellen und Zinsmodellen. Diplom thesis, 2006 more…
• Fang, Bei: Different Methods Comparison for Portfolio Optimization. Diplom thesis, 2006 more…
• Fang, Lei: Coherent Risk Measures in a Dynamic Setting. Diplom thesis, 2006 more…
• Graf, Andreas: Optimierung von mehrperiodigen Asset-Modellen über quadratische Nutzenfunktionen. Diplom thesis, 2006 more…
• Heiden, Maria: Commodities as an Asset Class. Diplom thesis, 2006 more…
• Hermann, Elena: Die empirische Untersuchung des Unsicherheitsfaktors im Schmid-Zagst-Modell. Diplom thesis, 2006 more…
• Höcht, Stephan: Comparing Default Probability Models. Diplom thesis, 2006 more…
• Kessinger, Nikola: Bewertung und Analyse der statistischen Qualitätskennzahlen und ihrer Wirkungszusammenhänge am Beispiel eines Finanzdienstleistungsunternehmens. Diplom thesis, 2006 more…
• Kraus, Julia: Option Pricing using the Sparse Grid Combination Technique. Master thesis, 2006 more…
• Krivoborodov, Alexey: Visualisierung von Monte-Carlo-Methoden zur Portfolio-Optimierung mit Asynchronous JavaScript und XML (AJAX) (Projekt). Diplom thesis, 2006 more…
• Muhle-Karbe, Johannes: Portfoliooptimierung in Modellen mit stochastischer Volatilität. Diplom thesis, 2006 more…
• Nowak, Anabell: Öffentliche versus private Bildungsfinanzierung. Diplom thesis, 2006 more…
• Reifinger, Kathrin: Bildung und Einkommensverteilung. Diplom thesis, 2006 more…
• Rieder, Johannes-Martin: Berechnung des besonderen Zinsrisikos auf Basis der iTraxx Indexfamilie. Diplom thesis, 2006 more…
• Sieslack, Frank: Ein Affines Modell zur Bestimmung von Kreditwürdigkeitsänderungen und Kredit Spreads. Diplom thesis, 2006 more…
• Spangler, Manuela: Bewertung von nicht-handelbaren Krediten. Diplom thesis, 2006 more…
• Stangl, Christian: Bewertung von Fixed-Rate Mortgage-Backed Securities mit ökonometrischen Prepaymentmodellen. Diplom thesis, 2006 more…
• Stäbler, Dirk: Optionspreise in stochastischen Volatilitätsmodellen mit Sprüngen. Diplom thesis, 2006 more…
• Torres Luna, Yolanda: Risk based Capital Allocation for a Specialty Insurance Company. Diplom thesis, 2006 more…
• Ulbrich, Andreas: Integrated Asset Liability Management. Diplom thesis, 2006 more…
• Utikal, Verena: Staatsverschuldung und Vermögensverteilung ? eine politökonomische Klammer. Diplom thesis, 2006 more…
• Wimmer, Hannes: LIBOR Markt Modelle und Inflationsderivate. Diplom thesis, 2006 more…
• Wintermantel, Thomas: Hedging in Illiquid Markets. Diplom thesis, 2006 more…
• Ahner, Thomas: Validierung des Modells von Lardy, Finkelstein, Yang und Khuong-Huu zur Berechnung eines eintägigen Credit-Value-at-Risk über Aktienäquivalenzpositionen. Diplom thesis, 2005 more…
• Bauer, Iris: Risikotheoretische Betrachtungen zur Überschussgestaltung deutscher Lebensversicherungsunternehmen. Diplom thesis, 2005 more…
• Borowski, Boris: Hedgingverfahren für Foreign-Exchange-Barrieroptionen. Diplom thesis, 2005 more…
• Ferenczi, Isabella: Globale Optimierung unter Nebenbedingungen mit dünnen Gittern. Diplom thesis, 2005 more…
• Fuhurer, Mohammed: Pricing of Embedded Options in German Life Insurance Contracts. Diplom thesis, 2005 more…
• Hagedorn, Hendrik: Inflation-Linked Bonds. Diplom thesis, 2005 more…
• Heller, Cornelia: Parameter estimation in affine stochastic volatility models. Diplom thesis, 2005 more…
• Hirmer, Manuela: Style Classification of Hedge-Funds by Cluster Analysis. Diplom thesis, 2005 more…
• Husar, Tobias: Investmentstrategien: Überblick und Performancevergleich. Diplom thesis, 2005 more…
• Jakob, Thomas: Numerical valuation of the mean variance hedge in affine stochastic volatility models. Diplom thesis, 2005 more…
• Liu, Li: Option Pricing Using Monte Carlo Simulation. Diplom thesis, 2005 more…
• Lutz, Michael: Independent Component Analysis in Multifactor Models. Diplom thesis, 2005 more…
• Meyer, Thomas: Integrierte Modellierung von Zins- und Aktienmärkten. Diplom thesis, 2005 more…
• Mohm, Carolin: Asset-Backed Securities: Einfluss von Kreditzyklen auf die Bewertung von CDOs. Diplom thesis, 2005 more…
• Reder, Ruth: Auto Trigger Securities: Closed-form Solutions and Applications. Diplom thesis, 2005 more…
• Schmidtchen, Marc-Oliver: The Libor Market Model with Stochastic Volatility. Diplom thesis, 2005 more…
• Stewart, Tobias: Numerische Verfahren zur Bewertung exotischer Optionen. Diplom thesis, 2005 more…
• Tarkhanova, Olga: Long Term Measures. Diplom thesis, 2005 more…
• Tempes, Michaela: Implementierung einer Copula-Toolbox unter Matlab. Diplom thesis, 2005 more…
• Weiß, Tobias: Konsistente Modellierung von Asset Klassen. Diplom thesis, 2005 more…
• Amann, Carolin: Realoptionen in der Unternehmensbewertung. Diplom thesis, 2004 more…
• Antes, Stefan: Empirische Validierung von hybriden defaultable Bond Modellen. Diplom thesis, 2004 more…
• Dunkel, Veronika: Implementierung und Testen von verschiedenen Erweiterungen der klassischem Mean-Variance Optimierung. Diplom thesis, 2004 more…
• Hampel, Kristina: Ermittlung und Integration von Marktprognosen in die Portfolio Optimierung. Diplom thesis, 2004 more…
• Jesse, Arnold: Algorithmen zur vektorwertigen Portfoliooptimierung. Diplom thesis, 2004 more…
• Klimm, Mathias: Vorstandsvergütung und finanzielle Performance in Deutschland. Diplom thesis, 2004 more…
• Roth, Jeanette: Empirische Validierung intensitätsbasierter und hybrider defaultable Bond Modelle. Diplom thesis, 2004 more…
• Scharschunski, Irene: Hierarchische Bayes-Modelle zur Analyse heterogener Präferenzen. Diplom thesis, 2004 more…
• Schäffler, Alexander: Implementierung und Vergleich von Portfolio-Optimierungsproblemen mit unterschiedlichen Risikomaßen. Diplom thesis, 2004 more…
• Stemmer, Bernhard: Der Einfluss von Wirtschaftsmedien auf das Entscheidungsverhalten von Investoren. Diplom thesis, 2004 more…
• Bauer, Christina: Schätzung von GARCH-Modellen mit Hilfe von Markov Chain Monte Carlo Methoden. Diplom thesis, 2003 more…
• Brunner, Philipp: Strategische Assetallokation: Portfoliowahl für Langzeitinvestoren. Diplom thesis, 2003 more…
• Drexler, Daniela: Entscheidungsfindung bei F&E-Projekten - Projektbewertung in Forschung und Entwicklung. Diplom thesis, 2003 more…
• Fischer, Anja: Stochastic Volatility Modelling. Diplom thesis, 2003 more…
• Fritzsche, Susanne: Ausgewählte Optionspreismodelle auf der Grundlage von Lévy-Prozessen. Diplom thesis, 2003 more…
• Garschhammer, Claudia: Ein stochastisches Modell zur Ertragsoptimierung eines Sachversicherers. Diplom thesis, 2003 more…
• Hüntemann, Aloys: Bewertung von Kreditderivaten mit dem Modell von Jarrow, Lando und Turnbull. Diplom thesis, 2003 more…
• Kupka, Constantin: Bubbles and Crashes. Diplom thesis, 2003 more…
• Schröder, Jasmin: Risikoaggregation als mehrdimensionale Faltung - Untersuchung mehrerer Ansätze. Diplom thesis, 2003 more…
• Seybold, Stefanie: Bewertung modularer Produktionsstrukturen mittels der Realoptionspreistheorie. Diplom thesis, 2003 more…
• Wenderoth, Stefan: Modellierung extremer Finanzmarktveränderungen mit Hilfe von Copulafunktionen. Diplom thesis, 2003 more…

I offer students a wide-ranging array of theses in financial and actuarial mathematics, as well as quantitative risk management, having personally supervised almost 50 student theses (over 30 M.Sc., the rest B.Sc.) during my academic career. Here is a selection of past topics (written and/or spoken language for thesis supervision is [by student choice] either English or German).

• Measures of Risk and the Fair Allocation of Risk Capital
• Ökonomischer Kapitalbedarf für Marktrisiko: Berechnung des Value-at-Risk für extreme Quantile und Zeithorizonte
• Zur Eindeutigkeitsproblematik bei der Bewertung mit Finanzverflechtungen
• Hebelwirkungen von Finanzverflechtungen – eine Analyse unter risikoneutraler Bewertung
• Vasicek- und CIR-Modell in einer Niedrigzinsumgebung
• Höchstrechnungszinsänderungen aus Sicht der marktbasierten Bewertung von Lebensversicherungsverträgen
• Annuity Drawdown: A Simulation Study
• Market value of a cross-currency swap: 3M-CZK-PRIBOR vs. 3M-GBP-LIBOR
• Bewertung eines Zinssatzswaps am Beispiel 3M-EUR-EURIBOR vs. EUR-Festsatz
• Bootstrapping von Swapkurven am Beispiel des Budapest Interest Rate Swap
• Unternehmensbewertung in Finanznetzwerken am Beispiel des Suzuki-Modells
• Nichtabnahme- und Vorfälligkeitsentschädigungen bei Hypothekendarlehen
• Turbo Bulls als Barriere-Optionen: Eine Untersuchung im CRR-Modell
• Amerikanischer Put: Bewertung im Binomialmodell
• Retrospektive Beitragsabschätzung für eine Risikolebensversicherung

Students typically receive a fairly detailed description of the topic and of the expected results. For instance, the student with the last Bachelor topic from the list above received this descriptor for the topic, and this descriptor for the general layout of the thesis.

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The number of Bachelor's and Master's Theses supervised at the Institute for Finance & Banking (IFB) is due to capacity.

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Information for mathematics students, application deadlines, formal requirements, theses archive.

Mathematics and Business Mathematics students can apply any time to be supervised in writing their Bachelor or Master Thesis by IFB via mail to IFB-Theses . Please enclose your CV and latest transcript of records.

Prerequisites

• Successful participation in an advanced seminar qualifies for the acceptance of a Bachelor thesis (6 ECTS).
• Students who have taken an advanced seminar in the field of finance (chairs of Elsas/Glaser/Richter/Riordan) will be accepted preferentially.
• The requirements of the respective examination regulations apply.

Application

• a letter of motivation in which you briefly, but as precisely as possible, outline your areas of interest. Please refrain from general statements as "I don't know any special field of interest". You can orientate yourself on the contents of your studies (lectures or advanced seminar) or be inspired by the theses already completed .
• an exposé with a short outline (a few sentences) of your own proposed topic. Therein, address the question(s) to be investigated, the methods (data) and the relevant literature. This also applies to theses written in cooperation with a company.
• Please send your complete application by email to the IFB: Theses .
• We will inform you regarding acceptance or rejection of your application no later than 2 weeks after receipt of your application. In case of acceptance we will assign you a topic and a supervisor.
• The thesis at the IFB can generally be started any time though the registration of theses usually starts at the beginning of the month. Please note the application deadlines .
• The deadline is determined by the corresponding completion time (8 weeks for Bachelor's theses and 22 weeks for Master's theses).
• Before the thesis is registered at the ISC, each student prepares an exposé (max. 2 pages). This is generally done after agreement on a topic. The exposé must be handed in to the respective supervisor at the latest one week after agreement on the topic. In consultation with the supervisor the draft is then revised and extended if necessary.
• Upon agreement on the final topic, the thesis is registered at the examination office.
• Theses can be written in English or German (English is preferred).
• Please follow our formal requirements - if you have any questions, please consult your supervisor.
• A thesis colloquium is held on the first Wednesday of each month. The colloquium takes place after about half of the processing time. Students present the status of their work for a maximum of 30 minutes, the presentation is held in English or German. During the colloquium, structure of the work and methodological approach are explained in particular. The subsequent discussion helps to identify problems in dealing with the topic and possible alternative solutions. The colloquium is rounded off by a short insight into the current state of work and possible open questions. Aim of the colloquium is to give constructive feedback - it is attended by the scientific staff and head of the institute.
• Thesis submission is effected according to the ISC guidelines. Please inform your supervisor about the planned submission date.
• For theses with a programming component, the student is required to submit data and codes to generate the results. The student is also responsible for ensuring that results can be replicated and reproduced by the supervisor.
• Your supervisor will inform you as soon as the thesis has been evaluated.

Compliance with these guidelines (PDF, 136 KB) is generally mandatory and is intended to provide you with the necessary guidance to write a formally correct paper.

• The Impact of Private Equity Ownership on Post-IPO Performance, Master Thesis
• The impact of CSR on M&A uncertainty and premiums, Master Thesis
• Are returns to value strategies predictable by their respective value spreads, Master Thesis
• Can Twitter help predict firm-level earnings and stock returns, Master Thesis
• On the pricing of European Dual Class Stocks, Master Thesis
• The effect of corporate hybrid bonds issuance announcements on stock prices, Master Thesis
• Performance of S&P 500 Index Additions, Bachelor Thesis
• Hedge funds and their performance during the COVID-19 pandemic, Bachelor Thesis
• Cryptocurrency price prediction using an LSTM and an ARMA model, Master Thesis
• A literature review on bitcoin futures, Bachelor Thesis
• The Effect of European Short Position Disclosure Requirement on Market Efficiency, Master Thesis
• Earnings Forecasts by Analysts - Accuracy and Timing, Master Thesis
• Text mining of corporate disclosures for stock index forecasting, Master Thesis
• An empirical study of S&P 500 short term options, Bachelor Thesis
• Examining Deterministic Volatility Functions on Short-Term Options, Master Thesis
• Deep Learning and Option Pricing, Bachelor Thesis
• An empirical analysis of financial advisors and M&A returns, Master Thesis
• International Diversification and Market Capitalization, Bachelor Thesis
• Identifying Financial Distress in Company Filings, Master Thesis
• Investigating Capital Market Reactions to Corporate Events Using Machine Learning, Master Thesis
• An Analysis of the Relationship between Short Interest and Stock Performance, Bachelor Thesis
• Predicting Hourly Price Movements Of Bitcoin Based On Reddit Sentiment And Price Information Using Machine Learning Algorithms, Bachelor Thesis
• An Empirical Analysis of Corporate Social Responsibility and Access to Finance, Bachelor Thesis
• The Impact of Activist Short Sellers on the Returns of Target Companies, Bachelor Thesis
• Analysis of the influence of Covid-19 on the Ad Hoc Publicity, Master Thesis
• Was the retail investement portion significant in the initialization of the short squeeze of GameStop?, Bachelor Thesis
• Estimating market betas for Germany, Master Thesis
• Text analysis of Reddit WallStreetBets posts, Bachelor Thesis
• An empirical analysis of options and implied volatility, Bachelor Thesis
• The Impact of M&A Announcements on Short Interest in the German Market - An Event Analysis Approach, Bachelor Thesis
• Anomaly Detection in Finance, Master Thesis
• A Machine Learning Approach to Risk Factors Applying the Fama-French-Carhart Model: A Case Study on the German Stock Market, Master Thesis
• The Heston-Nandi GARCH option valuation model for the DAX30 index options market, Master Thesis
• The Effect of Rumors on the Stock Price of potential Target Companies, Bachelor Thesis
• Analyse von Investorenreaktionen auf themenübergreifende Finanzpublikationen mittels Anwendung der latenten Dirichlet-Allokation, Master Thesis
• News-based Volatility Forecasting using Machine Learning, Master Thesis
• Static- and Delta Hedging of Options, Master Thesis
• Topics in Ad-Hoc-News, Bachelor Thesis
• An Empirical Analysis of OTC Stocks, Master Thesis
• Employee satisfaction and equity returnsunder alternative statistical tests, Master Thesis
• Idiosyncratic Risk Innovations and the Idiosyncratic Risk-Return Relation in the German Equity Market, Master Thesis
• Financial and Legal Advisors and the Performance of M&A Transactions, Bachelor Thesis
• Media Coverage of German Listed Companies, Bachelor Thesis
• The effects of regulatory uncertainty on merger and acqusition activity, Bachelor Thesis
• The Effect of Finntech M&A on Acquirer Stock Performance in the Financial Sector, Bachelor Thesis
• Bank Risk Dynamics and Distance to Default, a Simulation based Analysis, Bachelor Thesis
• Pricing VSTOXX Futures, Master Thesis
• An empirical analysis of temperature shocks and the cost of equity capital, Bachelor Thesis
• The Usage of Factor Models to Explain Cross-Sectional Stock Returns, Bachelor Thesis
• An empirical analysis of the effects of corporate takeovers on the abnormal return to acquirer competitors, Bachelor Thesis
• The release of the subsidiaries into independence: The choice between Sin-offs and Carve-outs, Bachelor Thesis
• Value Drivers and Deal Characteristics in Private Equity Transaction Versus Strategic Acquisitions, Master Thesis
• The Influence of Ad-hoc Disclosures on Stock Returns, Master Thesis
• Isolating the disaster risk premium with equity options in the German market, Bachelor Thesis
• Insider-forecasted operating synergies' impact on M&A performance, Bachelor Thesis
• An Empirical Analysis of Callable Contingent Convertibles, Master Thesis
• Static Replication of Window Double Barrier Options, Bachelor Thesis
• The informativeness of textual tone in M&A conference calls and its effect on stock returns, Master Thesis
• Comparison of Earnings Surprise Measures, Master Thesis
• Intangible Assets and Mergers and Acquisitions, Master Thesis
• The Effects of Expected Volatility on Stock Returns in European Equity Markets, Master Thesis
• The Success of Acquiring vs. Developing Innovation in Research Intensive Industries, Master Thesis
• Robustness of the Distance-to-Default Measure - A Simulation-based Analysis, Bachelor Thesis
• Corporate default risk: predictive power of rule-based classifier models compared to traditional bankruptcy prediction models, Bachelor Thesis
• Analyzing the bid-ask quotes for a FX broker in responds to volatility, Master Thesis
• What are the Most Important Topics for Buy- and Sell-side Analysts? An Investigation of M&A Conference Calls Using Textual Analysis, Bachelor Thesis
• Relationship between Exchange Rate Risk and Stock Prices, Bachelor Thesis
• Hedging Performance of Volatility Products under Different Stochastic Volatility Models, Master Thesis
• Empirical stylized facts of the intra-daily foreign exchange markets, Bachelor Thesis
• Similarity between Firms in Domestic vs. Cross-border M&A Activities: A Text-based Approach, Master Thesis
• Impact of Migration on Cross-border Merger & Acqusition Activities, Master Thesis
• Stock Returns and the Impact of Anaylst Recommendations, Bachelor Thesis
• Portfolio Optimization with Simulation and Backtesting of the Value-at-Risk measure, Bachelor Thesis
• How Does Language in Corporate Public Disclosures Reflect Actual Firm Performance and Influence Stock Market Reactions?, Master Thesis
• Investor Attention and the Cross-section of Stock Return, Master Thesis
• Can Ex-Ante Observable Signals for Investor Sentiment or Company Quality Predict the Long-Term Performance of Initial Public Offerings?
• An Empirical Study of the US Market for New Equity Issues, Master Thesis
• Sentimental Distress: The Analysis of the Tone of 8-K Reports in a Financial Distress Context, Master Thesis
• Expected Option Returns for DAX 30 Options, Bachelor Thesis
• Delta-Hedged Gains and the Market Volatility Risk Premium: Evidence from the German Market, Master Thesis
• The Announcement Effect of Mergers & Acquisitions on Markets and Model-Implied Credit Default Swaps, Master Thesis
• Selecting Characteristics for Parametric Portfolio Selection, Master Thesis
• Relationships Between Implied Volatility Indexes and Stock Index Returns, Bachelor Thesis
• The Information Content of Implied Volatility based on DAX 30 Options, Bachelor Thesis
• Merger and Acquisition Announcement Returns and Synergy Expectations, Master Thesis
• Does competition between investment banks matter for their clients' M&A performance?, Master Thesis
• Monte Carlo Methods for Pricing Asian Options, Bachelor Thesis
• Deterministic Implied Volatility Functions: Empirical Tests for Dax Index Options, Bachelor Thesis
• Modeling Term Structure Using Macroeconomics Factors, Master Thesis
• Estimating the Link Between Default Risk and Stock Returns Using the Implied Cost of Capital, Master Thesis
• Problems of Inference in Single-Firm Event Studies, Bachelor Thesis
• Competition: Theoretical Concepts, Measurement Methods and their Application in the Banking Sector, Bachelor Thesis
• Factor-Model-Based Priors for the Black-Litterman Model
• Portfolio Optimization under a VAR Model of Return, Bachelor Thesis
• An empirical investigation of valuation premia in IPOs versus acquisitions, Bachelor Thesis
• Entry in the Banking Industry: An Empirical Analysis of the Effect of Mergers and Acquisitions, Bachelor Thesis
• Banking competition, venture capitalists and their influence on entrepreneurial activity, Master Thesis
• The effect of institutional ownership on antitakeover defense and the success of hostile takeover bids, Bachelor Thesis
• M&A Transactions and the Role of Related CEO Characteristics, Bachelor Thesis
• Determinants of recovery rates implied by CDS spreads, Master Thesis
• The influence of the source of capital on corporate financing and investment behavior during the financial crisis 2007-2009, Master Thesis
• Der Einfluss von Wettbewerb und Innovationsgrad von Industrien auf die Höhe von Fusionsprämien, Bachelor Thesis
• About the Role of Credit Default Swaps in the Emergence of the 2008 Financial Crisis, Bachelor Thesis
• Assessing Credit Risk Using Option-Implied Information, Master Thesis
• Pricing of Callable Bonds, Bachelor Thesis
• Can Michaud resampling techniques improve mean-variance portfolio optimization?, Bachelor Thesis
• Porfolio Optimization and Ambiguity Aversion, Master Thesis
• Portfolio Optimization Using Implied Covariance Matrix Estimates, Bachelor Thesis
• Institutional cross-holdings and their effect on acquisiton decisions, Bachelor Thesis
• The Limits of Arbitrage: A Literature Review, Bachelor Thesis
• The Role of Correlation Between Market and Credit Risk for Certificate Pricing, Bachelor Thesis
• The Role of Credit Default Swaps in the Emergence of the 2008 Financial Crisis, Bachelor Thesis
• Peer influence on corporate financial policy: An application to cash flow sensitivities, Master Thesis
• Implications of recent changes in banks' market risk framework: empirical examination of different methods for calculation of Value-at-Risk and Expected Shortfall, Master Thesis
• The relationship between Corporate Governance and Credit Risk - A Literature Review, Bachelor Thesis,
• Optimal Delta Hedging: Evidence from DAX Index Options, Bachelor Thesis
• A literature review on institutional investors and competition, Bachelor Thesis
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MSc in Mathematical and Computational Finance

• Entry requirements
• Funding and costs

College preference

• How to apply

About the course

The MSc in Mathematical and Computational Finance provides you with a strong mathematical background and the skills necessary to apply your expertise to the solution of problems.

You will develop skills to formulate mathematical problems that are based on the needs of the financial industry. You will carry out relevant mathematical and financial analysis, develop and implement appropriate tools to present and interpret model results.

The course lays the foundation for further research in academia or for a career as a quantitative analyst in a financial or other institution.

Structure and content

You will take four introductory courses in the first week. The introductory courses cover partial differential equations, probability and statistics, financial markets and instruments, and Python.

The first term will then focus on compulsory core material, offering 64 hours of lectures and 24 hours of classes, plus one compulsory computing course offering 16 hours of lectures. 

Core courses

• Stochastic Calculus (16 lectures, and 4 classes of 1.5 hours each)
• Financial Derivatives (16 lectures, and 4 classes of 1.5 hours each)
• Numerical Methods (16 lectures, and 4 classes of 1.5 hours each)
• Statistics and Financial Data Analysis (16 lectures, and 4 classes of 1.5 hours each)

Computing course

• Financial computing with C++ I (16 hours of lectures, plus 4 classes of 2 hours each over weeks 1-9)

The second term will be a combination of core material, offering 48 hours of lectures (18 hours of classes) and 48 hours of electives.

• Deep Learning (16 lectures, and 4 classes of 1.5 hours each)
• Quantitative Risk Management (8 lectures, and 2 classes of 1.5 hours each)
• Stochastic Control (8 lectures, and 2 classes of 1.5 hours each)
• Fixed Income (16 lectures, and 4 classes of 1.5 hours each)

Elective courses

A number of elective courses will be offered, of which you will choose four options. Courses usually offered include: 

• Advanced Volatility Modelling (8 lectures, and 2 classes of 1.5 hours each)
• Advanced Monte Carlo Methods (8 lectures, and 2 classes of 1.5 hours each)
• Advanced Topics in Computational Finance (8 lectures, and 2 classes of 1.5 hours each)
• Asset Pricing (8 lectures, and 2 classes of 1.5 hours each)
• Market Microstructure and Algorithmic Trading (8 lectures, and 2 classes of 1.5 hours each)
• Decentralised Finance (8 lectures, and 2 classes of 1.5 hours each)
• Financial computing with C++ II (24 hours of lectures and classes)

The third term is mainly dedicated to a dissertation project which is to be written on a topic chosen in consultation with your supervisor. This may be prepared in conjunction with an industry internship.

The course is full-time and requires attendance in Oxford. Full-time students are subject to the University's Residence requirements.

Resources to support your study

As a graduate student, you will have access to the University's wide range of world-class resources including libraries, museums, galleries, digital resources and IT services.

The Bodleian Libraries is the largest library system in the UK. It includes the main Bodleian Library and libraries across Oxford, including major research libraries and faculty, department and institute libraries. Together, the Libraries hold more than 13 million printed items, provide access to e-journals, and contain outstanding special collections including rare books and manuscripts, classical papyri, maps, music, art and printed ephemera.

The University's IT Services is available to all students to support with core university IT systems and tools, as well as many other services and facilities. IT Services also offers a range of IT learning courses for students, to support with learning and research.

The Mathematical Institute's home is the purpose-built Andrew Wiles Building, opened in 2013. This provides ample teaching facilities for lectures, classes and seminars. The Mathematical Institute provides IT support, and students can use the department's Whitehead Library, with an extensive range of books and journals. In addition to the common room, where graduate students regularly gather for coffee and other social occasions, there is also a café in the Andrew Wiles Building.

Supervision

The allocation of graduate supervision for this course is the responsibility of the Mathematical Institute and it is not always possible to accommodate the preferences of incoming graduate students to work with a particular member of staff. Under exceptional circumstances a supervisor may be found outside the Mathematical Institute.

You will be assigned an initial supervisor on arrival in Oxford whose role is to act as an academic advisor during the first two terms of the course. In the third term, your supervisor will usually change when you start work on your dissertation.

The examination will consist of the following elements:

• Three written examinations assessing the core material in the first and second terms
• One written examination assessing elective material in the second term
• Two projects assessing one of the core courses in the first term and one of the core courses in the second term
• Two practical examinations assessing two courses in financial computing with C++
• One dissertation in the third term.

Graduate destinations

MSc graduates have been recruited by prominent investment banks and hedge funds. Many past students have also progressed to PhD-level studies at leading universities in Europe and elsewhere.

Changes to this course and your supervision

The University will seek to deliver this course in accordance with the description set out in this course page. However, there may be situations in which it is desirable or necessary for the University to make changes in course provision, either before or after registration. The safety of students, staff and visitors is paramount and major changes to delivery or services may have to be made if a pandemic, epidemic or local health emergency occurs. In addition, in certain circumstances, for example due to visa difficulties or because the health needs of students cannot be met, it may be necessary to make adjustments to course requirements for international study.

Where possible your academic supervisor will not change for the duration of your course. However, it may be necessary to assign a new academic supervisor during the course of study or before registration for reasons which might include illness, sabbatical leave, parental leave or change in employment.

For further information please see our page on changes to courses and the provisions of the student contract regarding changes to courses.

Entry requirements for entry in 2025-26

Proven and potential academic excellence.

The requirements described below are specific to this course and apply only in the year of entry that is shown. You can use our interactive tool to help you  evaluate whether your application is likely to be competitive .

We know that factors such as socio-economic circumstances and school performance can make it difficult for students to demonstrate their full potential. This course is taking part in an initiative to use contextual data to help us to better understand your achievements in the context of your individual background. For further details, please refer to the information about improving access to graduate study in the How to apply section of this page.

Please be aware that any studentships that are linked to this course may have different or additional requirements and you should read any studentship information carefully before applying. Contextual data may also be used in the assessment of studentships. 

Degree-level qualifications

As a minimum, applicants should hold or be predicted to achieve the following UK qualifications or their equivalent:

• a first-class or strong upper second-class undergraduate degree with honours in mathematics or a related discipline. 

Applicants should have a background in probability, statistics, ordinary and partial differential equations, linear algebra and analysis. They must demonstrate their aptitude for, and knowledge of, mathematics, particularly in the area of real analysis, through their application. Applicants with undergraduate degrees that are not purely mathematical will still be expected to demonstrate they have sufficient knowledge to perform well on the course.

For applicants with a degree from the USA, the minimum overall GPA that is normally required to meet the undergraduate-level requirement is 3.6 out of 4.0.

If your degree is not from the UK or another country specified above, visit our International Qualifications page for guidance on the qualifications and grades that would usually be considered to meet the University’s minimum entry requirements.

GRE General Test scores

No Graduate Record Examination (GRE) or GMAT scores are sought.

Other qualifications, evidence of excellence and relevant experience

Publications are not expected.

English language proficiency

This course requires proficiency in English at the University's  higher level . If your first language is not English, you may need to provide evidence that you meet this requirement. The minimum scores required to meet the University's higher level are detailed in the table below.

*Previously known as the Cambridge Certificate of Advanced English or Cambridge English: Advanced (CAE) † Previously known as the Cambridge Certificate of Proficiency in English or Cambridge English: Proficiency (CPE)

Your test must have been taken no more than two years before the start date of your course. Our Application Guide provides  further information about the English language test requirement .

Declaring extenuating circumstances

If your ability to meet the entry requirements has been affected by the COVID-19 pandemic (eg you were awarded an unclassified/ungraded degree) or any other exceptional personal circumstance (eg other illness or bereavement), please refer to the guidance on extenuating circumstances in the Application Guide for information about how to declare this so that your application can be considered appropriately.

You will need to register three referees who can give an informed view of your academic ability and suitability for the course. The  How to apply  section of this page provides details of the types of reference that are required in support of your application for this course and how these will be assessed.

Supporting documents

You will be required to supply supporting documents with your application. The  How to apply  section of this page provides details of the supporting documents that are required as part of your application for this course and how these will be assessed.

Performance at interview

Interviews are not normally held for this course. 

Offer conditions for successful applications

If you receive an offer of a place at Oxford, your offer will outline any conditions that you need to satisfy and any actions you need to take, together with any associated deadlines. These may include academic conditions, such as achieving a specific final grade in your current degree course. These conditions will usually depend on your individual academic circumstances and may vary between applicants. Our ' After you apply ' pages provide more information about offers and conditions . 

In addition to any academic conditions which are set, you will also be required to meet the following requirements:

Financial Declaration

If you are offered a place, you will be required to complete a  Financial Declaration  in order to meet your financial condition of admission.

Disclosure of criminal convictions

In accordance with the University’s obligations towards students and staff, we will ask you to declare any  relevant, unspent criminal convictions  before you can take up a place at Oxford.

Other factors governing whether places can be offered

The following factors will also govern whether candidates can be offered places:

• the ability of the University to provide the appropriate supervision for your studies, as outlined under the 'Supervision' heading in the About section of this page;
• the ability of the University to provide appropriate support for your studies (eg through the provision of facilities, resources, teaching and/or research opportunities); and
• minimum and maximum limits to the numbers of students who may be admitted to the University's taught and research programmes.

Mathematics

Mathematics has been studied in Oxford since the University was first established in the 12th century. The Mathematical Institute aims to preserve and expand mathematical culture through excellence in teaching and research.

The Mathematical Institute offers a wide range of graduate courses, including both taught master’s courses and research degrees. Research and teaching cover the spectrum of pure and applied mathematics with researchers working in fields including:

• number theory
• combinatorics
• mathematical physics
• mathematical finance
• mathematical modelling
• mathematical biology networks
• numerical analysis.

The Mathematical Institute is proud to have received an Athena SWAN silver award renewal in 2021, reflecting its commitment to promoting diversity and to creating a working environment in which students and staff alike can achieve their full potential.

Graduate students are an integral part of the department, interacting with each other and with academic staff as part of a vibrant community that strives to further mathematical study. As a graduate student at Oxford you will benefit from excellent resources, extensive training opportunities and supportive guidance from your supervisor or course director.

The Mathematical Institute has strong ties with other University departments including Computer Science, Statistics and Physics, teaching several courses jointly. Strong links with industrial and other partners are also central to the department.

The institute’s home is the purpose-built Andrew Wiles Building, opened in 2013. This provides ample teaching facilities for lectures, classes and seminars. The Mathematical Institute provides six lecture theatres and six classrooms.

Graduate students have access to the department common room, where members of the department regularly gather for coffee and other social occasions, and the mezzanine level of the Andrew Wiles Building houses a café and teaching spaces.

View all courses   View taught courses View research courses

For entry in the 2025-26 academic year, the collegiate University expects to offer over 1,000 full or partial graduate scholarships across a wide range of graduate courses.

If you apply by the January deadline shown on this page and receive a course offer, your application will then be considered for Oxford scholarships. For the majority of Oxford scholarships, your application will automatically be assessed against the eligibility criteria, without needing to make a separate application. There are further Oxford scholarships available which have additional eligibility criteria and where you are required to submit a separate application. Most scholarships are awarded on the basis of academic merit and/or potential.

To ensure that you are considered for Oxford scholarships that require a separate application, for which you may be eligible,  use our fees, funding and scholarship search tool  to identify these opportunities and find out how to apply. Alongside Oxford scholarships, you should also consider other opportunities for which you may be eligible including  a range of external funding ,  loan schemes for postgraduate study  and any other scholarships which may also still be available after the January deadline as listed on  our fees, funding and scholarship search tool .

Details of college-specific funding opportunities can also be found on individual college websites:

Select from the list:

Please refer to the College preference section of this page to identify which of the colleges listed above accept students for this course.

For the majority of college scholarships, it doesn’t matter which college, if any, you state a preference for in your application. If another college is able to offer you a scholarship, your application can be moved to that college if you accept the scholarship. Some college scholarships may require you to state a preference for that college when you apply, so check the eligibility requirements carefully.

Further information about funding opportunities for this course can be found on the department's website.

Annual fees for entry in 2025-26

Information about course fees.

Course fees are payable each year, for the duration of your fee liability (your fee liability is the length of time for which you are required to pay course fees). For courses lasting longer than one year, please be aware that fees will usually increase annually. For details, please see our guidance on changes to fees and charges .

Course fees cover your teaching as well as other academic services and facilities provided to support your studies. Unless specified in the additional information section below, course fees do not cover your accommodation, residential costs or other living costs. They also don’t cover any additional costs and charges that are outlined in the additional information below.

If your application is successful, you will be asked to pay a deposit against your course fees at the application stage as a condition of your offer. The deposit amount and date by which payment must be made are shown below.

The department's website provides  further information about deposits for this course .

Where can I find further information about fees?

The Fees and Funding  section of this website provides further information about course fees , including information about fee status and eligibility  and your length of fee liability .

Additional information

There are no compulsory elements of this course that entail additional costs beyond fees and living costs. However, as part of your course requirements, you may need to choose a dissertation, a project or a thesis topic. Please note that, depending on your choice of topic and the research required to complete it, you may incur additional expenses, such as travel expenses, research expenses, and field trips. You will need to meet these additional costs, although you may be able to apply for small grants from your department and/or college to help you cover some of these expenses.

Living costs

In addition to your course fees and any additional course-specific costs, you will need to ensure that you have adequate funds to support your living costs for the duration of your course.

Living costs for full-time study

For the 2025-26 academic year, the range of likely living costs for a single, full-time student is between £1,425 and £2,035 for each month spent in Oxford. We provide the cost per month so you can multiply up by the number of months you expect to live in Oxford. Depending on your circumstances, you may also need to budget for the  costs of a student visa and immigration health surcharge and/or living costs for family members or other dependants that you plan to bring with you to Oxford (assuming that dependant visa eligibility criteria are met).

Further information about living costs

The current economic climate and high national rate of inflation make it very hard to estimate potential changes to the cost of living over the next few years. For study in Oxford beyond the 2025-26 academic year, it is suggested that you budget for potential increases in living expenses of around 4% each year – although this rate may vary depending on the national economic situation. For further information, please consult our more detailed information about living costs , which includes a breakdown of likely living costs in Oxford for items such as food, accommodation and study costs.

Students enrolled on this course will belong to both a department/faculty and a college. Please note that ‘college’ and ‘colleges’ refers to all 43 of the University’s colleges, including those designated as societies and permanent private halls (PPHs). 

If you apply for a place on this course you will have the option to express a preference for one of the colleges listed below, or you can ask us to find a college for you. Before deciding, we suggest that you read our brief  introduction to the college system at Oxford  and our  advice about expressing a college preference . 

If you are a current Oxford student and you would like to remain at your current Oxford college, you should check whether it is listed below. If it is, you should indicate this preference when you apply. If not, you should contact your college office to ask whether they would be willing to make an exception. Further information about staying at your current college can be found in our Application Guide. 

The following colleges accept students on the MSc in Mathematical and Computational Finance:

• Christ Church
• Exeter College
• Kellogg College
• Lady Margaret Hall
• Linacre College
• Lincoln College
• Magdalen College
• Mansfield College
• New College
• Oriel College
• Pembroke College
• Reuben College
• St Anne's College
• St Catherine's College
• St Cross College
• St Edmund Hall

Mathematics

• Financial Mathematics Project

MSc Financial Mathematics Project

Ucl fm msc project math0059.

The list of available FM MSc project topics is published on the Moodle page of MATH0059 module in February each year.  The students are required to agree the topic of their MSc thesis with their supervisor by the end of the second term. The projects must be completed and submitted by mid-September. The precise submission date for the FM MSc theses will be communicated to the MSc students in due course.

MSc Project Guidelines and Information

The FM MSc project MATH0059 contributes for 1/3 to the overall MSc mark, with the 8 taught components adding up to the remaining 2/3. All students are required to email an electronic version of the thesis in PDF, along with any other files containing software code created for the MSc project/thesis, to the MSc administrator ( [email protected] ).

General Project Guidelines

The MSc project can range from an extensive survey and critique of existing research to the development of a new model or an extension of an existing one. Each project will be assessed taking into account where the main focus of effort lies. A component of original research is not a requirement of the project, but will be given due credit if present. A student should discuss these details with their supervisor. Whatever the student decides with their supervisor, there are some parts that all projects should include:

• An introduction outlining the project and giving a clear statement of the objectives of the project.
• Details of mathematical calculations that can be checked. Where it makes the text more readable, an appendix could be used for some of the calculations.
• Clear referencing of all material sourced, whether from books, published journals, the internet, personal communication, etc. Essentially, if it is not the student's idea or work, it needs to be referenced. Failure to reference material may be construed as plagiarism. The college takes a firm stance on plagiarism . If in doubt the student should ask the advice of their supervisor.
• Conclusions, including a summary of the project findings, and, where new research was carried out, a discussion of the strengths and weaknesses of the model/method, and possible improvements.

Style and Presentation

It is expected that the MSc thesis be written with the free LaTex typesetting software. Some marks will be awarded for the quality of the written work, including its readability, clarity of argument and overall presentation. There is no word limit for the dissertation.

Supervision

It is expected that the students work independently. The supervisor is available for guidance and research advice.

Students are strongly encouraged to leave ample time for writing-up the project. Penalties will be incurred on projects that are submitted after the deadline.  

• Course Modules

Find out about the available modules for the MSc in Financial Mathematics.

Read the information about the content of the individual modules:

• Module information

Programme Aims and Structure

• MSc in Financial Mathematics programme aims and structure

Website navigation

Mathematics and finance msc.

• Postgraduate taught

Mathematics and Finance

Broaden your knowledge of mathematics and quantitative finance for a career in the financial services sector.

Develop skills for a career in the finance and beyond

Become familiar with latest industry practice, trends and research

Enhance your financial expertise on a project carried out with departmental experts or on an external industry placement

Course key facts

Qualification, 1 year, 2 years, september 2025, full-time, part-time, £43,400 home, £43,400 overseas, delivered by, department of mathematics, south kensington, minimum entry standard, 2:1 in mathematics, applied mathematics, statistics or physics, course overview.

Prepare for a wide range of careers in quantitative finance on this varied Master's course.

This course will deepen your understanding of major aspects of mathematical finance. You'll explore latest industry practice and research, with regular insights from leading practitioners.

The varied programme covers key mathematical foundations, finance principles and tools, and implementation and data analysis.

You'll receive training in a range of mathematical, statistical and programming tools required to pursue or advance a career within financial services.

You'll also apply your knowledge from the course on a research project. This will be carried out internally or on a placement with a bank, hedge fund or similar financial institution.

This page is updated regularly to reflect the latest version of the curriculum. However, this information is subject to change.

Find out more about potential course changes .

Please note:  it may not always be possible to take specific combinations of modules due to timetabling conflicts. For confirmation, please check with the relevant department.

Core modules

Optional modules.

• Research project

You’ll take all of these core modules.

Fundamental of Option Pricing

Become familiar with option pricing theory and its mathematical and conceptual underpinnings

Statistical Methods for Finance

Understand the new regulations imposed on banks to require more statistical knowledge and assess the current needs of the financial sector.

Stochastic Processes

Explore probability theory, measure theory and the basic tools from stochastic analysis that provide the mathematical foundations for option pricing theory.

Quantitative Risk Management

Learn why proper risk management is of utmost importance for the solvency of financial institutions and stability of the entire financial system.

Interest Rate Models

Understand the theory and practice of term structure of interest rates in relation to credit risk, funding liquidity costs, collateral modelling and multiple curves.

Computing for Finance

Become familiar with programming in C++ and in Python for quantitative finance problems.

Simulation Methods for Finance

Evaluate derivatives used in today’s financial markets and examine simulation methods used in finance and probabilistic numerical methods for PDEs.

You’ll choose five optional modules.

Convex Optimisation

Discover how to solve several classes of convex optimisation problems, including linear, quadratic, stochastic, conic, and robust programming.

Deep Learning

Learn the structure and components of multi-layer neural nets and develop deep neural networks to solve computational and statistical problems in finance.

Data Science for Fintech Regtech and Suptech: Methodological Foundations and Key Applications

Overview the evolution of data science in the context of Fintech, RegTech and Suptech, and apply new analytical techniques to real world challenges.

Portfolio Management

Understand the principles of quantitative portfolio management and apply and implement widely-used approaches such as factor models and momentum strategies.

Quantum Computing in Finance

Discover how quantum computing technology and algorithms can be used to solve financial problems, including portfolio optimisation and data generation.

Advances in Machine Learning

Develop your understanding of data analysis and ‘machine learning’ techniques, illustrated by applications in finance.

Rough Paths and Signatures in Machine Learning

Learn to understanding complex, multimodal, high dimensional streams of data using rough path theory (RPT) to design new algorithms for learning with time series data. 

Quantitative Trading and Price Impact

Study specificities of automated trading and develop the mathematical tools required to construct trading algorithms in a high-frequency framework.

Numerical Methods in Finance

Explore the main numerical tools required to work in a quantitative field, including the mathematical techniques underlying Finite difference schemes, Fourier transforms, and quadrature and linear programming.

Market Microstructure

Develop a thorough understanding of how trades occur in financial markets and learn how to measure liquidity and recognise the recent increase in liquidity fragmentation and hidden, “dark” liquidity.

Stochastic Control in Finance

Apply the main concepts and techniques from dynamics stochastic optimisation and stochastic control theory to the realm of quantitative finance.

Topics in Derivatives Pricing

Advance your knowledge of derivatives pricing and asset allocation and build familiarity with the stochastic volatility model and jump diffusion model.

Selected Topics in Quantitative Finance

Complement your existing financial knowledge by building an appreciation of the specificities of foreign exchange and fixed income markets.

Between May and September, you'll complete an external placement with a finance-related company. You'll develop a deeper understanding of some advanced mathematical methods to solve problems of practical importance in the financial industry.

Teaching and assessment

Balance of teaching and learning.

• Lectures, tutorials and practicals
• 84% Lectures, tutorials and practicals
• 16% Research project

Teaching and learning methods

Assessment methods, entry requirements.

We consider all applicants on an individual basis, welcoming students from all over the world.

• Minimum academic requirement
• English language requirement
• International qualifications

2:1  in mathematics, applied mathematics, statistics or physics.

All candidates must demonstrate a minimum level of English language proficiency for admission to Imperial.

For admission to this course, you must achieve the  higher university requirement  in the appropriate English language qualification. For details of the minimum grades required to achieve this requirement, please see the  English language requirements .

We also accept a wide variety of international qualifications.

The academic requirement above is for applicants who hold or who are working towards a UK qualification.

For guidance see our accepted qualifications  though please note that the standards listed are the  minimum for entry to Imperial , and  not specifically this Department .

If you have any questions about admissions and the standard required for the qualification you hold or are currently studying then please contact the relevant admissions team .

How to apply

Apply online.

You can submit one application form per year of entry. You can choose up to two courses.

Application deadlines – Round 1 closes on Thursday 16 January 2025

Application rounds

We operate a staged admissions process with several application rounds throughout the year.

Apply by 23.59 (UK time) on the closing date of an application round, to ensure you receive a response on your application by the relevant decision date.

• Apply by Thursday 16 January 2025
• Decision by Thursday 6 March 2025
• Apply by Thursday 27 March 2025
• Decision by Thursday 1 May 2025
• Apply by Thursday 15 May 2025
• Decision by Thursday 17 July 2025

Learn more about application rounds for Master's courses .

ATAS certificate

An ATAS certificate  is not  required for students applying for this course.

You may be invited to attend an interview with our staff as part of your application.

Details of this will be sent to you following your application.

Application fee

There is no application fee for MRes courses, Postgraduate Certificates, Postgraduate Diplomas, or courses such as PhDs and EngDs.

If you are applying for a taught Master’s course, you will need to pay an application fee before submitting your application.

The fee applies per application and not per course.

• £80 for all taught Master's applications, excluding those to the Imperial College Business School.
• £100 for all MSc applications to the Imperial College Business School.
• £150 for all MBA applications to the Imperial College Business School.

If you are facing financial hardship and are unable to pay the application fee, we encourage you to apply for our application fee waiver.

Read full details about the application fee and waiver

Application process

Find out more about  how to apply for a Master's course , including references and personal statements.

Tuition fees

Overseas fee, £21,700 per year, inflationary increases.

You should expect and budget for your fees to increase each year.

Your fee is based on the year you enter the university, not your year of study. This means that if you repeat a year or resume your studies after an interruption, your fees will only increase by the amount linked to inflation.

Find out more about our  tuition fees payment terms , including how inflationary increases are applied to your tuition fees in subsequent years of study.

Which fee you pay

Whether you pay the Home or Overseas fee depends on your fee status. This is assessed based on UK Government legislation and includes things like where you live and your nationality or residency status. Find out  how we assess your fee status .

Postgraduate Master's Loan

If you're a UK national, or EU national with settled or pre-settled status under the EU Settlement Scheme, you may be able to apply for a  Postgraduate Master’s Loan  from the UK government, if you meet certain criteria.

For courses starting on or after 1 August 2024, the maximum amount is £12,471. The loan is not means-tested and you can choose whether to put it towards your tuition fees or living costs. 

The loan is not means-tested and you can choose whether to put it towards your tuition fees or living costs.

How will studying at Imperial help my career?

Acquire a number of highly transferable skills, including active research, data analysis and problem-solving skills.

Graduates are highly sought after in a range of fields, including quantitative finance, trading and risk management.

With specialised knowledge, you'll be highly sought after in a range of careers.

These include Financial Analysts, Quantitative Analysts and Risk Management Analysts.

Further links

Contact the department.

• Email:  [email protected]

Course Directors:  Dr Jack Jacquier and  Dr Eyal Neuman

Visit the  Department of Mathematics website.

Request info

Find out more about studying at Imperial. Receive updates about life in our community, including event invites and download our latest Study guide.

Events, tasters and talks

Meet us and find out more about studying at Imperial.

Terms and conditions

There are some important pieces of information you should be aware of when applying to Imperial. These include key information about your tuition fees, funding, visas, accommodation and more.

Read our terms and conditions

You can find further information about your course, including degree classifications, regulations, progression and awards in the programme specification for your course.