Current and Completed Student Research Projects and Final Theses (since 2008)

Ongoing Theses

Impact of Changes in Option Margin Requirements on the Underlying Liquidity
Cryptocurrency Design and Asset Pricing
The Effects of ETFs on the Volatility of the US Corporate Bond Market
Developing an Index for Energy-Political-Risk in Germany

Completed Bachelor Theses

Measuring Energy Policy Risk with the Help of large Language Models (2024)
Impact of Sample Construction on the Empirical Analysis of Option Returns (2023)
Estimation of Implied Volatilities (2023)
Comparison of Transaction Costs between Centralized and Decentralized Cryptocurrency Markets (2023)
Predicting Price Convergence and Price Spreads in European Electricity Markets (2023)
Gamma Inventory Market Makers (2023)
Factor Models on the Cryptocurrency Market (2023)
Empirical Cryptocurrency Pricing via Machine Learning (2022)
Formation of a Local German Wind Index for Weather-Based Hedging (2022)
Mutual Funds - Investment Decisions based on the Morningstar Rating (2022)
Margin Requirements as Friction – an Event Study (2022)
Time Stability of Capital Market Anomalies (2022)
Mutual Fund Flow Prediction leveraging Machine Learning Methods (2022)
The Big Short Squeeze: The Role of Derivative-Markets within the Meme-Stock-Hype at the Beginning of 2021? (2022)
Order Imbalance Measures as Demand Proxy (2022)
Analysis of Market Coupling in the German and French Electricity Market (2022)
Model-Based Valuation of Cryptocurrencies - An Analysis (2022)
Different Proof-of-Stake Implementations and their Economic Effects (2022)
Delta-hedged Option Returns and Volatility (2021)
Option Market Liquidity (2021)
Tokenization of Assets (2021)
Information Asymmetry in the Crypto-Token Market - Can IEOs enhance investors' trust? (2021)
Sources behind the variance risk premium on German government bond markets (2020)
Variance risk premiums on German government bonds (2020)
Which factors act as value drivers of crypto currencies? (2019)
The implied Volatility Term Structure Shape predicts Option Returns (2019)
Investor sentiment and option returns (2019)
Evaluation of asset pricing models taking into account irrational fund investors (2019)
Predicting the liquidity of the bond market using machine learning approaches (2019)
Cryptocurrencies and Social Media (2019)
Value driving features of crypto currencies: An empirical analysis (2019)
Managing Price Risks in the Petrochemical Value Chain (2019)
Forecasting the U.S. Stock Market Illiquidity using Machine Learning Techniques (2019)

Further completed Bachelor theses

Options trading after the financial crisis: regulation, frictions and market structure (2018)
Liquidity and the economic cycle (2018)
Forecast of transaction costs of shares (2018)
Forecast of bond market liquidity for different time horizons (2018)
What drives Investors' Decisions? A Comparison of Factor Models with the Morningstar Benchmark (2018)
An empirical analysis of the influence of tax expectations on the distribution policy of companies (2018)
Influence of intraday hedging on option yields (2018)
Liquidity of European Exchange Traded Funds (2018)
Wikipedia sentiment and stock returns: Can stock returns be predicted by Wikipedia? (2018)
Demand structure in the US stock options market and its influence on implied volatility (2017)
Volatility-managed portfolios in asset class comparison (2017)
Gambling in the options market (2017)
Liquidity on the options market (2017)
Brexite and its consequences for the financial markets (2017)
Alphas and the Flows of Exchange Traded Equity Fund (2017)
Pair Trading: ordinary vs. preference shares (2017)
Risk premiums in various macroeconomic conditions (2017)
Factor structure of option yields (2017)
Bond liquidity and the economic cycle (2016)
Commonality in Liquidity as a Risk Factor: Theory and Empirical Research (2016)
The impact of Twitter on stock markets (2016)
Measurement of liquidity on the options market (2016)
Investor Sentiment on Twitter and Its Link to the Stock Market (2016)
Economic classification of measures of funding liquidity (2016)
Tail risk in commodity markets (2016)
Measurement of transaction costs on the options market (2016)
Spike risks on the Australian electricity market (2016)
Predictive Power of the New Dividend/Price Ratio for Stock Returns (2016)
Betting against beta: speculation on disagreement? (2016)
Risks of long-term supply contracts in oil markets (2016)
Trading approach with multifractality and hierarchical order (2016)
Construction and Behavior of a Bitcoin Price Index (2016)
Investment decisions in wind power and photovoltaic plants in Germany (2016)
Implementation of an energy price model (2016)
Liquidity and arbitrage in options markets (2015)
Influence of time-variable beta factors on the market risk premium (2015)
Betting against Beta: Shortage of capital or gambling? (2015)
Measurement of liquidity on the interest rate futures market (2015)
Integration of Renewable Energy Sources in Electricity Pricing Models (2015)
Possibilities of manipulating the ISDAfix reference interest rate (2015)
Influence of liquidity on stock returns (2015)
Recovery rates of states (2015)
The price influence of the Amihud measure on the bond market (2015)
Expectations of returns and expected returns (2015)
Spike risks on the Australian electricity market (2015)
The role of banks in restructuring (2015)
Default probabilities of states (2015)
Transaction costs and trading volumes in bonds (2015)
Credit risk and bank margins on structured financial products: An analysis of the German secondary market for discount certificates (2015)
Liquidity - level or risk? (2014)
Hedging of volume risks on commodity markets (2014)
Price influence of transaction costs of different transaction volumes on the bond market (2014)
Valuation of power plant facilities (2014)
Development of the gas storage market in the German gas market (2014)
The influence of CO² certificate prices on the electricity price in various European markets (2014)
Analysis of the Libor-OIS spread (2014)
Empirical analysis of price interactions on the energy market (2014)
Corporate Foreign Exchange Management between Theory and Practice (2014)
Forecast of realised recovery rates using bond data (2014)
The Taylor Rule and its application in phases of high market uncertainty (2014)
The costs of default: voluntary agreement of creditors vs. formal insolvency proceedings (2014)
Methods of parameter identification for financial equilibrium models (2014)
Pre-market trading of company shares (2014)
Possibilities of manipulation in Euribor (2013)
Potential weaknesses of recovery ratings (2013)
Structure and trading of volatility (2013)
Investigation of the factors influencing the spreads of credit default swaps on European government bonds (2013)
Linking of emissions trading systems (2013)
Modeling the Ferm Structure Dynamics of Energy Commodities (2013)
Forward price curves on issue markets (2013)
Two-Factor Models for Commodity-Perise (2013)
Forecast of realised recovery rates using data from the CDS market (2013)
Forecasting ability of recovery ratings (2013)
Order flow and illiquidity premium (2013)
Forecasting ability of recovery ratings (2013)
Non-parametric determination of recovery rates (2013)
Possibilities of manipulation in Libor (2013)
Empirical Comparison of Systemic Risk Measures (2013)
Comparison of factors influencing the probability of default and the recovery rate of credit market products (2013)
Test of the expectation hypothesis for illiquidity premiums (2012)
Cost-of-carry on the CO2 market (2012)
Default risk and liquidity of Eurobonds (2012)
Rollover behaviour on energy future markets (2012)
Impact of a financial transaction tax on financial market volatility (2012)
The impact of the ECB's Covered Bond Purchase Programme (CBPP) on yields and liquidity of these bonds (2012)
Delta-normal Value-at-Risk Analysis Tools for Large Scale Ad-Hoc Calculations (2012)
The information content of model-free implicit volatilities for banks' credit default swap spreads (2012)
Price dispersion in OTC markets (2012)
Parametric determination of recovery rates (2011)
Index Creation in Financial Markets - Composition Criteria and Rollover Optimization (2011)
Option-theoretical investigation of location flexibility for LNG transports by sea (2011)
Empirical analysis of liquidity during the financial crisis (2011)
Hedging strategies for CDOs (2011)
Influence of speculators on the oil price increase from 2007 to 2008 (2011)
Contracts for Difference (2011)
Remuneration of specialness in German Government securities (2010)
Evaluation of an offshore metal mine: Real option approach and traditional methods in comparison (2010)
Quantification of systemic financial market risks (2010)
Counterparty risk in credit default swaps: empirical evidence (2010)
Selected methods for estimating interest rate structures (2010)
Analysis of market price risks for credit default swaps (2010)
Extension of an equilibrium model for emissions trading (2010)

Completed Master Theses

Quantifying The Sentiment of Form 10-Ks and Stock Returns: A Lexicon-based Textual Analysis Approach (2024)
Green Taste and Mutual Funds in Germany (2023)
Improving Option Trade Classification with Machine Learning (2023)
Analysis and Optimization of Margins at Energy Exchanges (2023)
Impact of Margin requirements on Volatility Noise (2023)
The Role of ETFs on the Coporate Bond Market (2023)
The Effect of Market Friction on Stock Anomalies (2022)
Price Leadership in the Bitcoin Market - Which Exchange is leading the Bitcoin Prize? (2022)
Liquidity in the Cryptocurrency Market (2022)
Understanding Biases in Option Returns - A Simulative Approach (2022)
Quarter-End Effects of Balance Sheet Costs on Volatility Noise (2022)
Impact of Retail Traders on Vollatility (2022)
Effect of Tick Size Pilot Program on Option Transaction Costs Conditionally on Demand (2022)
Impact of Liquidity and Fund Flows on Corporate Bond Returns (2021)
Impact of the COVID-19 Pandemic on Pharmaceutical Companies' Stock Returns (2021)
Measuring European CO2 Policy Uncertainty and its Impact on Financial Markets (2021)
Asset Pricing Factors in Cryptocurrency Markets (2021)
Intermediary Asset Pricing with Multiple Intermediaries (2020)
Noise of Index Options (2020)
Stock Returns and the COVID-19 Pandemic (2020)
Methods to Determine the Impact of Liquidity on Bond Returns - Fama-MacBeth vs.GMM (2020)
Securities Lending and its Influence on the Price of the Underlying (2020)
Can shocks to the crypto-currency market identify price-relevant forms of crypto-currencies? (2020)
Forecasting Stock Liquidity with Machine Learning Techniques (2020)
Bitcoin Options - Pricing and Comparison with traditional Equity Option Markets (2020)
Measurement of option liquidity (2020)
Comparison of different methods for calculating option returns in a simulation study (2019)
Impact of the Return Calculation Methodology on Option Price Anomalies (2019)
Pricing of powerplants as option under liquidity constraints (2019)
Capital requirements and option yields (2019)
Measuring liquidity in the bond market - a peer group approach (2019)
Influence of the illiquidity of the underlying on the option price and its bid-ask spread (2019)
Modelling and estimation of implied volatilities (2019)
Development of a model for fraud detection at the time of application (2019)
Valuation Shopping of Structured Product Funds (2019)

Further completed master theses

Using statistical and machine learning techniques to evaluate the impact of macroeconoic factors on SAP's sales forecast (2018)
Corporate Bond Yield Spreads and Liquidity: Taking General Market Conditions into Consideration (2018)
Modelling FX Exposures in Multi-Asset Portfolios (2018)
A comparative empirical analysis of the information content in the trading activity of short selling and options (2018)
Crypto currencies and their influencing factors (2018)
Impact of an Updated Renewable Energy Legislation on the German Electricity Market (2018)
Analysis of the price impact of liquidity in the bond market using different approaches to liquidity forecasting (2018)
Optimal hedging contracts for non-linear dependent price and volume risks: Modelling the dependency structure with Copulae (2017)
Liquidity risk and option yields (2017)
Liquidity Pressure from Mutual Corporate Bond Funds (2017)
Empirical relationships between equity and bond liquidity (2017)
Applying Blockchain to OTC Derivatives Processing (2017)
Default risks in the maturity structure of debt instruments (2017)
Illiquidity premiums in option yields (2017)
New approaches to the simulation of market price risk (2017)
Energy policy uncertainty: A real and financial risk? (2017)
The Term Structure of Illiquidity Premia (2017)
Impact of monetary policy on European equity returns (2016)
Pricing of corporate bond market liquidity across maket phases (2016)
Variance and Kurtosis Risk in Energy Markets: Implications on Risk and Wealth Management (2016)
Effects of a delisting on the share price of a company (2016)
Multifactor models with time-dependent beta factors - a non-parametric estimation method (2016)
The impact of redemption values on the credit spread puzzle (2016)
Wealth re-distribution effects between bondholders in bankruptcies (2016)
Variance and Skewness Risk in Energy Markets: The Impact of Speculators' Positions (2015)
Development of a liquidity measure considering the trade size of bonds (2015)
Filtered historical simulation for portfolios: Model Selection and Calibration (2015)
Survey Evidence on Risk Premia in the Term Structure of Interest Rates (2015)
Valuation of spread instruments (2015)
Analysis of the liquidity component of bond prices (2015)
Risk classification methods based on incomplete data (2015)
Pricing of liquidity risk in the U.S. corporate bond market (2015)
Compensation for deliverability and the cheapest-to-deliver-status of German government bonds (2014)
The On-the-Run Premium and Slow-Moving Capital: An Exploratory Analysis (2014)
Emission Trading in California: An Early Market Analysis (2013)
Estimation of implied default probabilities and recovery rates via the CDS and options market (2013)
Counterparty risk against the background of unfavourable correlation effects (2013)
Empirical investigation of information efficiency on the VIX-/VIX-futures market (2013)
Measuring Liquidity in Bond Markets (2013)
Sovereign credit spreads - calibration of a structural model (2013)
Countercyclical Capital Buffer - Approach for Germany and other countries (2013)

Completed Diploma Theses

Completed diploma theses

Position limits on commodity markets (2013)
The influence of liquidity on the valuation of credit default swaps (2013)
Determination of intensity and recovery parameters from the time structure of credit default swaps (2013)
Estimation of implicit recovery rates using latent factors (2013)
Investigation of causal relationships in the valuation of illiquidity within the framework of a structural equation model (2012)
Generation of realistic spread structures through structural models (2012)
The Recovery Rates of Financial Institutions (2012)
Contingent Convertible Bonds (2012)
Specification and estimation of a multi-factor model for the valuation of illiquidity (2012)
Stochastic insolvency rates - a model comparison (2012)
Measuring liquidity in the bond market (2012)
Calibration of Reduced-Form Processes in Volatile Market Environments (2011)
Regime switching models for the valuation of government bonds (2011)
Model Specification and Risk Premia in Commodity Futures Markets (2011)
Implementation-focussed Real Option Approaches in Technology Companies - An Exemplary Implementation at HP (2011)
Evaluation of power plants (2011)
Empirical analysis of the dependence of traded electricity prices on CO2 certificate prices (2011)
Dynamic dependence structures for portfolio credit derivatives (2011)
A Term Structure Model for Pricing Derivatives in Energy Commodity Markets (2011)
Understanding Crude Oil Variance (2011)
CDO valuation using dynamic Copula models (2011)
Information contributions from CDS and bond markets in times of crisis (2011)
Arbitrage gains in carbon markets - Empirical analysis of phase II of the EU Emission Trading Scheme (2011)
New rating measures for CDOs (2011)
Modelling of counterparty risk for credit default swaps (2011)
2-factor Markov functional models (2010)
Explanation and Analysis of Bid-Ask Spreads for Credit Derivatives (2010)
Hedging strategies for credit derivatives (2010)
Rating of nth-to-default baskets (2010)
Estimation and robustness test of implicitly estimated betas (2010)
Estimate of implicit portfolio default intensity from iTraxx tranches (2010)
Determination of the dynamics of individual debtor default intensity in top-down approaches (2010)
Stochastic Modelling of Energy Price Dynamics (2010)
A numerical method for the valuation of exotic derivatives (2010)
An efficient numerical method for the evaluation of American options based on an analytical approximation approach (2010)
Valuation and hedging of swing options (2010)
Calibration of bottom-up approaches to market data and implications for capital requirements and tranche valuation (2010)
The modelling of natural gas forward price processes using market models and jump-filtered returns (2010)
Modelling and valuation of CDOs using Lévy processes (2009)
Time structure of liquidity spreads of French and German government bonds (2009)
Remuneration for default risks (2009)
Project evaluation in natural gas production using the real option theory (2009)
Time structure of liquidity spreads - Comparison of KfW and Bunds (2009)
Use of Kalman filters for the calibration of top-down approaches (2009)
Valuation of real estate derivatives (2008)
Markov functional models - theory and implementation (2008)
Financing and market potential analysis of biogas operator models (2008)
Valuation of CDO tranches using top-down approaches (2008)
Credit spreads and accounting information (2008)
Modelling of gas price processes and the valuation of gas storage facilities (2008)
The forecasting performance of Nelson-Siegel and Svensson-Sonderlind models in the US, Japan, UK, and Germany (2008)
Technical intermarket approach for generating strategic trading signals in equity markets (2008)
Valuation and capital backing of CDO transactions Determination of implicit dependencies from iTraxx tranches to improve regulatory capital requirements (2008)
Study of the efficiency of out-of-model hedges (2008)
Construction of dilution processes for top-down approaches for the valuation of credit derivatives (2008)

Completed Student Research Projects

Completed student research projects