If you are interested in writing your thesis at our chair, please have a look at the list of topics at open thesis.
Ph.D. Theses
- Shcherbakov, Dmitry (2017):
Projection and nested force-gradient methods for quantum field theories. - Hendricks, Christian (2017):
High-Order Methods for Parabolic Equations in Multiple Space Dimensions for Option Pricing Problems. - Buckova, Zuzana (2017):
Approximative Methods for solving Multifactor Models for pricing of Financial Derivatives, Cotutelle-Thesis with Comenius University, Bratislava, Slovakia. - Deuß, Patrick (2016):
Copulas in Equity and Credit Risk - Default-Dependent Intensity Models and Information-Based Setup. - Heubes, Daniel (2016):
Artificial Boundary Conditions in the Lattice Boltzmann Method. - Teng, Long (2015):
Modelling of Credit Risk and Correlation Risk: Time-Dependent and Stochastic Correlation Models. - Schöps, Sebastian (2011):
Multiscale Modeling and Multirate Time-Integration of Field/Circuit Coupled Problems. - Mohaghegh, Kasra (2010):
Linear and Nonlinear Model Order Reduction for Numerical Simulation of Electric Circuits. - Massimiliano Culpo (2009):
Numerical Algorithms for System Level Electro-Thermal Simulation. - Tappe, Kai (2008):
Ordinary and Levy Copulas in Finance - Models, Methods and Tools for Risk Management and Option Pricing. - Cathrin van Emmerich (2007):
A Square Root Process for Modelling Correlation. - Stephanie Knorr (May 2007):
Wavelet-Based Simulation of Multirate Partial Differential-Algebraic Systems in Radio Frequency Applications. - Christian Kahl (February 2007):
Modelling and Simulation of Stochastic Volatility in Finance. - Michael Striebel (April 2006):
Hierarchical Mixed Multirating for Distributed Integration of DAE Network Equations in Chip Design. - Andreas Bartel (November 2003):
Partial Differential-Algebraic Models in Chip Design - Thermal and Semiconductor Problems. - Roland Pulch (June 2003):
PDAE Methoden zur numerischen Simulation quasiperiodischer Grenzzyklen von Oszillatorschaltungen.
Master Theses (selection)
- Roberta Di Franco(2017):
Forecasting German Electricity Spot Prices using Neural Network, SARIMA Models and Markov Switching Method, ERASMUS joint supervision with University of Verona, Italy. - Jan Kühn (September 2016):
Tellinen's hysteresis model in the magnetic field computation with uncertainties - Alexej Nesmejanow(2015):
Stochastic Correlation in Finance Using Local Gaussian Correlation - Manir Uddin (2015):
Bond Pricing using Short Rate Models and its Numerical Solution - Dominik Gräser (2015):
Perfectly Matched Layers in der Lattice Boltzmannmethode
- Mridul Roy(2014):
Numerical Methods for Gas Storage Valuation - Sabrina Pickartz (September 2014):
Beugungsprobleme höherer Ordnung in Asymptotischen Numerischen Methoden (Diplomarbeit in Kooperation mit Fraunhofer-Institut für Hochfrequenzphysik und Radartechnik Manushanker Balasubramanian)
- Christian Hendricks (April 2013):
Modelling and Numerical Simulation of Clean Spark Spread Options in the German Electricity Market - Konstantinos Sofos( 2013):
Numerical Pricing of Energy Commodity Derivatives - Kai Gausling (2013):
Varianzbasierte Sensitivitätsanalyse stochastischer Modelle von elektrischen Schaltungen - Bernard Beitz (2013):
Polynomiales Chaos bei parabolischen partiellen Differentialgleichungen
- Fuad Göze (Dezember 2012):
Numerische Bewertung von diskreten und stetigen Amerikanischen Installment-Optionen mit Hilfe von Laplace-Inversion
- Timo Hülsmann (Februar 2012):
Nonlinear Material Curve Modeling and Sensitivity Analysis for MQS-Problems
- Germán I. Ramirez Espinoza (September 2011):
An Exponentially Fitted Finite Volume Method for the Numerical Pricing of Options under Jump Diffusion Processes
- Michal Takac (Juni 2011):
Numerical Analysis of Asian Average Rate Options with the Possibility of Early Execution
- Tamara Shmidt (Juni 2011):
Numerical Pricing of Russian Options
- Adam Rehurek (Juni 2011):
Stable Numerical Methods for PDE Models of Asian Options
- Anna Belova (Juni 2011):
Meshfree Methods in Option Pricing
- Elena Bukina (Juni 2011):
Efficient Numerical Solution of PIDEs in Option Pricing
- Micheal Demin (Juni 2011):
Finite Volume Methods for Option Pricing
- Katja Reipen (Mai 2011):
A Neural Network Approach for forecoasting Price Load Curves in Electricity Markets - Cay-Christian Oest (April 2011):
Numerische Bewertung von Amerikanischen Installment-Optionen
- Mai Huong Nguyen (September 2011):
Modeling, Pricing and Risk Management of Power Derivatives in Energy Markets
- Daniel Heubes (September 2010):
Lattice Boltzmann Method in Theory and in Application to Coupled Problems
- Matilda Guo (Juni 2010):
Numerical Methods for Pricing Swing Options in the Electricity Market
- Franziska Bathelt-Tok (Juni 2010):
Bewertung von Lookback-Optionen mithilfe von Barrier-Optionen
- Sylwia Szwaczkiewicz (Juni 2010):
Exponentially fitted schemes, Finite Volume Approaches and Box Methods for Exotic Options
- Dmitry Shcherbakov (Juni 2010):
Novel Integral Transformation Methods for path-dependent Options
- Maria Lapenkova (Juni 2010):
Numerical Methods for Pricing Swing Options in the Electricity Market
- Marek Uhliarik (Juni 2010):
Artificial Boundary Conditions for high-order Splitting Methods to solve nonlinear Black-Scholes equations
- Michele Wandelt (April 2010):
Implicit partitioned Runge-Kutta integrators for simulations of gauge theories
- Maria Beitz (März 2010):
Konzeption und Implementierung von Stresstests für das Portfolio der Investitionsbank Berlin
- Christof Kaufmann (March 2010):
Identification of Electrical Circuits for Realization of Sparsity Preserving Reduced Order Models - Christian Jelenowski (Feburary 2010):
Differential-Algebraic Equations and Mathematical Modelling of Electrical Circuits for Radio Frequency Applications - Frank Wächter (January 2010):
Determination of driving cycle relevant operation points to estimate fcuel consumption - Philipp Werneburg (October 2008):
Determination of the Price-Load Curve Using Smoothing Splines Under Tension. - Daniel Wetterau (May 2008):
Theoretische und numerische Untersuchungen des Heston-Modells erweitert um eine zeitabhängige Langzeitvarianz - Sven Herzberg (March 2008):
Electric-Thermal Modeling in Comson Demonstrator Platform - Sebastian Schöps (January 2008):
Coupling and Simulation of Lumped Electric Circuits Refined by 3-D Magnetoquasistatic Conductor Models Using MNA and FIT. - Katrin General (August 2007):
Eine Untersuchung zur semi-analytischen Berechnung eines europäischen Calls unter dem Variance-Gamma-Modell - Kasra Mohaghegh (December 200):
Numerical solution for consolidation process with FEMLAB. - Massimiliano Culpo (October 2006):
Heterogeneous ODE/PDE Coupling for Charge Transport in Semiconductors.
Italian version (10MB):
Accoppiamento eterogeneo ODE/PDE per il trasporto di carica nei semiconduttori. - Kai Tappe (June 2006):
Optimal Strategies for Hedging Basis Risk in the Weather Market. - Patrick Deuß (May 2006):
Portfolio Optimization. The Martingale Approach. - Julia Greb (April 2006):
Optimale Simulation von frequenzmodulierten Signalen - Tanja Dicke (September 2005):
Bewertung von Bermudan Bond-Optionen. Der Algorithmus von Longstaff und Schwartz im Vergleich zur Binomialbaummethode. - Thomas Voß (July 2005):
Model reduction for nonlinear differential-algebraic equations for circuit simulation - Cathrin van Emmerich (February 2005):
Modelling and Simulating of Rain Derivatives. - Christian Kahl (September 2004):
Positive Numerical Integration of Stochastic Differential Equations. - Stephanie Knorr (October 2002):
Multirate-Verfahren in der Co-Simulation gekoppelter dynamischer Systeme mit Anwendung in der Fahrzeugindustrie. - Michael Striebel (May 2002):
Multirate-Verfahren für Differential-Algebraische Netzwerkgleichungen. - Roland Pulch (December 1999):
Numerische Simulation von PDE-Modellen in der Analyse von RF-Schaltungen.
Bachelor-Theses (selection)
- Anna Clevenhaus (Juli 2015):
Simulation des Kapillareffektes mit der Lattice-Boltzmann-Methode - Sebastian Städing (Juli 2015):
Mathematische Modellierung für Epidemien am Beispiel der Ebola Epidemie 2014/2015 - Niels Neveling (Februar 2015):
Mathematische Modellierung zur optimalen Dosisfindung von Antibiotika (Barmenia-Mathematik-Preis, 2015) - Tanja Deutsch (2014):
Mathematische Modellierung von Radikalisierungsprozessen am Beispiel von rechtsradikalen Gruppierungen in Deutschland (Kooperation mit der Friedrich-Ebert Stiftung) - Sandra Boschert (Juni 2012):
Agenten-basierte Modellierung zur Markteinführung von Fahrzeugen mit alternativen Kraftstoffen
- Ercan Durna (Mai 2012):
Mathematische Modellierung und Numerische Simulation von Epidemien
- Christian Adama (Januar 2012):
Gas Storage Valuation and Optimization: A Real Options Application using a numerical PIDE method
- Carina Geigle (Juni 2011):
Finanzierungsalternative Speichervertrag für Windenergie: EEG-Vergütung vs Einsatz von Pumpspeicherkraftwerken
- Cheng Chen (Mai 2011):
Monte Carlo Methods for pricing Swing Options
- Mengxi Liu (Mai 2011):
Assessment of the Applicability of the Peaks over Threshold (POT) Method for the Implementation of Stress-Testing on the Market Risk in the IBB
- Ünsal Aygül (September 2010):
Universelle Optionsbewertung mithilfe von Quadraturmethoden
- Patrick Dadjeu (2009):
Adaptive Quadratur für Erwartungswerte bezüglich der Normalverteilung
