Master’s thesis

Master’s thesis

Application for permission to begin

The application for permission to begin the Master’s thesis must be made via Moodle. After you have discussed the topic with your first supervisor and asked the second examiner, please go to Moodle, moodle.htw-berlin.de/enrol/index.php, where you can then submit the application electronically.

Suggested topics

Prof. Dr. Becker

  • Simulation of interest rate models
  • Least Square Monte Carlo
  • Quasi Monte Carlo methods
  • Fitting copula models

 

Prof. Dr. Bergter

  • Territorial risk classification for spatial dependency
  • Individual claims reservation
  • Bayesian mortality models
  • Simulation of development patterns
  • Vine copulas and application in the financial market
  • Quantification of the model risk

 

Prof. Dr. Hillebrand 

  • Value at risk-based asset allocation
  • Are stock market returns predictable – an empirical analysis
  • Event studies using the example of spin-offs
  • Multi-factor models to explain stock returns
  • Smart rebalancing

  

Prof. Dr Erlwein-Sayer

  • Statistical Learning in Finance – portfolio optimisation and asset allocation
  • Factor investing und Sentiment Analysis
  • Sustainable Finance
  • Modellierung von Strompreisen 
  • Zeitreihenanalyse und Regime shifts
  • Fuzzy clustering

 

Prof. Dr. Jäger-Ambrozewicz

I have given a basic source (=BS) for each topic:

  • Market Price of Risk in Interest Rate Models – Fundamentals and Case Study (BS: Ahmad, Wilmott: The Market Price of Interest-rate Risk: Measuring and Modelling Fear and Greed in the Fixed-income Markets, Veronesi, Fixed Income Securities)(field: mathematical finance, interest) 
  • The Gauss+ Model of the Interest Rate Structure -– Fundamentals and Case Study (BS: Bruce Tuckman, Fixed Income Securities, Ch. 11, Veronesi, Fixed Income Securities, 15, 17 and 18)(field: mathematical finance, interest) 
  • Quadratic Interest Rate Structure Models – Fundamentals and Application (BS: Constantinides, A Theory of the Nominal Term Structure of Interest Rates, Review of Financial Studies; Ahn, Dittmar, Gallant, Quadratic Term Structure Models: Theory and Evidence, Review of Financial Studies)(field: mathematical finance, interest) 
  • Affine Gaussian term structure models (BS: Hamilton, Wu: Identification and estimation of Gaussian affine term structure models; Ang, Piazessi: A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables)

Important information

 

  • Content of the Master’s thesis: freely chosen topic from the field of mathematical finance, actuarial science or risk management, in cooperation with a company as applicable Topic proposals must be countersigned by the supervisors. The examination board of the Master’s programme in Mathematical Finance, Actuarial Science and Risk Management confirms the chosen topic by the signature of the chairperson. If no suggestions are made for the topic of the Master’s thesis or for the supervisors, or if the corresponding signatures are missing, both will be assigned by the degree programme’s examination board.
  • Supervision: Only current professors at HTW Berlin can be nominated as first supervisors. Second supervisors must have a comparable or higher academic degree. The preparation of the Master’s thesis is accompanied by a seminar.
  •  Registration: Registration is possible every semester; applications must be made by the end of the lecture period at the latest via the following Moodle page moodle.htw-berlin.de/enrol/index.php
  • Writing period: 18 weeks, usually starting on the 1st of April in the summer semester and on the 1st of October in the winter semester.
  • The Master’s thesis can be written as a collaborative thesis by two students. The contributions of each student must be definable and subject to individual assessment.