Der Lehrstuhl hat im Sommersemester 2010 Stellen für die Betreuung der Tutorien und des PC-Praktikums zur Vorlesung Statistik I zu besetzen. Bei Interesse bewerben Sie sich bitte bis zum 15.2.2010 mit Ihren Bewerbungsunterlagen (Lebenslauf, aktueller Notenauszug, Kontaktdaten).

Bewerbungen senden Sie bitte per Mail an Dirk Krause.

Prof. Dr. Rachev,(jointly with Dr. Wei Sun and Prof. Fabozzi) is interested in supervising Master's thesis (Diplomarbeit or seminar paper) on following topics:

1. Data Mining for Commercial Banks Regulation.
2. Econometric Analysis of Comovement between Foreign Exchange and Equity Markets.
3. Trading, Clearance, and Settlement of Financial Instruments: Risk Management and Regulation.
4. Liquidity Risk Modeling.
5. Operational Risk Management for Securities Trading.
6. Risk Management for Private Equity.

Prof. Dr. Rachev, jointly with Y. S. Aaron Kim (Ph.D.)  is interested in supervising a Master's thesis (Diplomarbeit) in the general areas of random scaling processes with application to finance.

Exponential Levy models have been popularly used to modeling financial markets. However, the time-homogeneous property of the model does not allow to explain the difference between short term and long term behavior of market. In this project, we will develop a time inhomogeneous model. The model will provide more sophisticate methods to analyze and forecast short term and long term behavior of financial markets.

Im Falle mit 'sehr gut' bestandener Prüfungen bei uns: für Gutachten bitte unter Beifügung eines Notenauszuges an Herrn Prof. Dr. Rachev wenden

Prof. Rachev (jointly with Prof. Fabozzi and Dr. Wei Sun) is interested in supervising the Ph.D thesis in the area of Behavioral Finance. The irrationality of investors' behavior will be quantitatively analyzed based on the market microstructure theory. The applicants are expected to have trading experience with real money and understand the market dynamics.

Quantitative methods and computer programming ( for example, MATLAB) skills are required.

• Anna Serbinenko: Forex models for intraday trading, taking into account fat tails and volatility clustering (PhD Thesis)
  Supervisor: Prof. Dr. Svetlozar (Zari)  Rachev

• Christoph Möller: Portfolio optimization in electricity markets (PhD Thesis)
  Supervisor: Prof. Dr. Svetlozar (Zari)  Rachev

• Ye Chen: Robust Methods and Data Mining for Financial Econometrics (Ph.D Thesis)
  Supervisor: Prof. Dr. S. Rachev

• Michael Stein: Statistical Methods of Strategic Portfolio Management for Fund of Funds (Ph.D Thesis)
  Supervisor:  Prof. Dr. S. Rachev

• Jochen Papenbrock: Dynamic Risk Measure and Asset Liability Management (Ph.D Thesis)
  Supervisor:  Prof. Dr. S. Rachev

• Tobias Grzesik: Risk Analysis and Portfolio Optimization (Ph.D Thesis)
  Supervisor:  Prof. Dr. S. Rachev

• Dirk Krause: General Topics on Portfolio Management in High-Volatility Market (Ph.D Thesis)
  Supervisor:  Prof. Dr. S. Rachev

• Nadia Safronova: The Equity Premium (Ph.D Thesis)
  Supervisor:  Prof. Dr. S. Rachev

• Sinan Aktan: Early warning system for bankruptcy: Bankruptcy prediction (Ph.D Thesis)
  Supervisor:  Prof. Dr. S. Rachev

• Tingting Hu: Regime Switching Models and Structural Breaks in Financial Market (Master Thesis)
  Supervisor:  Prof. Dr. S. Rachev
  Co-supervisor. Dr. W. Sun

• Marcel Biere: Robust Methods in Finance for Volatile Markets (Master Thesis)
  Supervisor:  Prof. Dr. S. Rachev
  Co-supervisor. Dr. W. Sun

• Ying Zhang: Statistical Analysis of Market Crashes and Dependence (Master Thesis)
  Supervisor:  Prof. Dr. S. Rachev
  Co-supervisor. Dr. W. Sun

• Svetlana Goranova: Modern Portfolio Theory and Risk Management (Master Thesis)
  Supervisor:  Prof. Dr. S. Rachev
  Co-supervisor. Dr. W. Sun

• Kamelia Minova: Price process of German day-ahead spot market (Master Thesis)
  Supervisor: Prof. Dr. Svetlozar (Zari)  Rachev
  Co-Supervisor: Christoph Möller

• Yavor Stoev: Standard Normal Tempered Stable GARCH model in options pricing  (Master Thesis)
  Supervisor: Prof. Dr. Svetlozar (Zari)  Rachev
  Co-Supervisor: Young Shin Kim

• Chenjia Yu: The Normal Tempered Stable Processes with Application to Finance (Master Thesis)
  Supervisor: Prof. Dr. Svetlozar (Zari)  Rachev
  Co-Supervisor: Young Shin Kim

• Thomas Reckers: Empirical Analysis of the Relationship between Yield Curve and Macroeconomic Variables using German Data (Diplomarbeit) 
  Supervisor: Prof. Dr. S.T. Rachev 
  Co-Supervisor: Dr. M. Höchstötter 

• Swen Klusmeier: An Empirical Analysis of Trading and Pricing of Weather Derivatives (Diplomarbeit)
  Supervisor: Prof. Dr. S.T. Rachev 
  Co-Supervisor: Dr. M. Höchstötter

• Christian Möhrmann: Performance Attribution of Equity Portfolios (Diplomarbeit)
  Supervisor: Prof. Dr. S.T. Rachev 
  Co-Supervisor: Dr. M. Höchstötter 

• Tobias Wolf: The Pricing of Tranched Credit Products with Multivariate α-stable Sub-Gaussian Distributions (Diplomarbeit)
  Supervisor: Prof. Dr. S.T. Rachev 
  Co-Supervisor: Dr. M. Höchstötter

• Michael Schmitz: CDO Correlation Smile/Skew in a One-Factor Copula Model: An Extension with Smoothly Truncated α-stable Distributions (Diplomarbeit)
  Supervisor: Prof. Dr. S.T. Rachev 
  Co-Supervisor: Dr. M. Höchstötter

• Matthias Gäng: Momentum Trading Strategies: Relevance for the German Market (Diplomarbeit)
  Supervisor: Prof. Dr. S.T. Rachev 
  Co-Supervisor: Dr. M. Höchstötter

• Marinela Nikolova: Bayesian approaches to momentum strategies
  Supervisor: Prof. Dr. Svetlozar (Zari)  Rachev
  Co-Supervisor:  Dr. M. Höchstötter  (in process)

Prof. Dr. Rachev (jointly with Y. S. Kim, University Karlsruhe, and M.L. Bianchi, University of Bergamo, Italy) is interested in supervising Master's theses (Diplomarbeit) and Ph.D theses (Doktorarbeit ) in the general areas of option pricing with tempered stable processes.  

In the last years analytical financial models have seen a rapid growth mostly due to extensive application to finance of stochastic processes, already largely studied from the theoretical point of view. Asset management and pricing models require the proper modeling of the return distribution of financial assets. The Gaussian distributional assumption is in general rejected by numerous empirical studies and it is a well documented fact that asset returns present asymmetry and heavy tails, see for example [9, 12, 2, 8, 7]. The class of tempered stable distribution was formally introduced by Rosinski [10] and its applications to finance have been widely studied in [1, 3, 4, 5, 6].

The importance of tempered stable distributions comes from the fact that they combine both alpha-stable [11] and Gaussian properties. Unlike alpha-stable distributions, tempered ones may have all moments finite, including exponential moments of certain order. Tempered stable tails decay much slower than the Gaussian and faster than alpha-stable tails.

The theoretical and empirical study of some subclass of tempered stable processes and its applications to option pricing will be developed in this thesis.

Keywords: tempered stable distribution, Lévy processes, option pricing.

References

[1] P. Carr, H. Geman, D.B. Madan, and M. Yor. The Fine Structure of Asset Returns: An Empirical Investigation. The Journal of Business, 75(2):305–332, 2002.

[2] R. Cont and P. Tankov. Financial Modelling with Jump Processes. CRC Press, 2004.

[3] R. Kawai. Contributions to Infinite Divisibility for Financial Modeling. PhD thesis, 2004, http://hdl.handle.net/1853/4888.

[4] Y. S. Kim, S. T. Rachev, M. L. Bianchi, and F. J. Fabozzi. Financial market models with Lévy processes and time-varying volatility. Journal of Banking and Finance, to appear.

[5] Y. S. Kim, S. T. Rachev, M. L. Bianchi, and F. J. Fabozzi. A new tempered stable distribution and its application to finance. In Bol G., Rachev S. T., and Wuerth R., editors, Risk Assessment: Decisions in

Banking and Finance, pages 51–84. Physika Verlag, Springer, 2007.

[6] Y.S. Kim and J.H. Lee. The relative entropy in CGMY processes and its applications to finance. Mathematical Methods of Operations Research, 66(2):327–338, 2007.

[7] S.T. Rachev. Handbook of Heavy Tailed Distributions in Finance. Elsevier, 2003.

[8] S.T. Rachev, C. Menn, and F.J. Fabozzi. Fat-tailed and Skewed Asset Return Distributions: Implications for Risk Management, Portfolio Selection, and Option Pricing. John Wiley & Sons, 2005.

[9] S.T. Rachev and S. Mittnik. Stable Paretian Models in Finance. Wiley New York, 2000.

[10] J. Rosinski. Tempering stable processes. Stochastic Processes and Their Applications, 117(6):677–707, 2007.

[11] G. Samorodnitsky and M.S. Taqqu. Stable Non-Gaussian Random Processes: Stochastic Models with Infinite Variance. CRC Press, 1994.

[12] W. Schoutens. Lévy Processes in Finance: Pricing Financial Derivatives. John Wiley and Sons, 2003.

Achtung Änderung:

Die Vorlesung Finanzmärkte und Banken bei Prof. Vollmer findet vierzehntäglich Mi 14:00 – 15:30 (V) Mi 15:45 – 17:00 (Ü) in Geb. 20.14, Raum 103.1 statt.

Bitte entschuldigen Sie die falsche Ankündigung auf unserer Homepage, die auf Grund einer nachträglichen Änderung geschah!

We are searching for a tenure track Assistant Professor at American University. We only recently got approval, so our ads are late going out. Please tell any student/recent grad you know to apply. I am particularly interested in candidates in probability, especially someone who works in stable distributions, heavy tails, extreme value theory, infinite divisibility, computational probability, statistical genetics, etc.

Unfortunately we are not authorized to hire at a tenured level, but strong candidates with some experience will be considered with credit (usually 2 years) toward tenure allowed. More information on the search is available online at math.american.edu, and clicking on the link for faculty positions. Candidates are encouraged to submit applications online at www.mathjobs.org.

Dozent: Rachev
Zeit/Ort:
Mo 9:45 - 11:15 in Geb. 20.12, 002
Mo 11:30 - 13:00 in Geb. 20.12, 002
Beginn: 07.01.2008
Leistungspunkte: 7,5
Erfolgskontrolle: Einzelprüfung am Ende des Semesters

A "fund of funds"(FoF) is an investment fund that uses an investment strategy of holding a portfolio of other investment funds rather than investing directly in shares, bonds, or other securities. This type of investing is often referred to as multi-manager investment. Different types of  "fund of funds" have been established, e.g., mutual fund FoF, hedge fund FoF, private equity FoF, and investment trust FoF. The main research of this Master thesis contains (but not limited to) four alternatives: (1) Finds out the distinctiveness of performance for fund of funds (alpha, persistence, factor decomposition, portfolio optimization); (2) Deals with diversification, selection, allocation and hedge fund indexes where correlations effects are analyzed among different managing styles; (3) Studies statistical properties of fund of funds, such as distributional characteristics, and higher-moment performance characteristics; (4)  Investigates specific items such as monitoring risk, due diligence, and special classes of fund of funds, where one of the main problems is to implement quantitative methodologies to select the underlying funds. This Thesis is planned to provide an edge in applying the more sophisticated statistical methodologies that will be developed for the funds industry.

More references will be provided upon request from prospective students. The supervision will be jointly provided by Prof. S. Rachev and Prof. F. Fabozzi  (Yale University, USA).

Look inside a world-leading engine of growth and innovation and what do you see?

Goldman Sachs Operations Presentation
Place: 60th Floor Auditorium, MesseTurm, Friedrich-Ebert-Anlage 49,
D-60308 Frankfurt am Main
Date and Time: Thursday 25 October 2007, 12:00 to 14:00

Goldman Sachs is one of the world's leading global investment banking, securities and investment management firm. At the heart of its activities is the Operations division.

Operations Division

Operations is a dynamic, multi-faceted division that partners with all parts of the firm to deliver banking, sales and trading and asset management capabilities to clients around the world. Alongside that vital service delivery role, Operations provides essential risk management and control, preserving and enhancing the firm's assets and its reputation. Operational accuracy, timeliness, integrity and innovation are fundamental to our success.

We will be holding an Operations Presentation at the Goldman Sachs Frankfurt office and would like to invite you to attend this event.

Registration:
To register for this event, please follow the directions below:

Visit  http://www.gs.com/careers www.gs.com/careers
On the right hand side of the page click on 'Europe' in the 'Learn about a Region' drop down menu
Click on 'Upcoming Events in Europe'
Select "Operations Division Presentation - Germany"
Registration Deadline: Tuesday 23 October

Application Deadline:
Full Time Analyst application deadline: 19 October 2007
Summer Analyst & Work Placement application deadline: 28 December 2007
Spring Internship application deadline: 31 January 2008
http://www.gs.com/operationscareers Operations All Rights Reserved. Goldman Sachs is an equal opportunity employer.

Literature:
1.The Handbook of Asset/Liability Management: State-of-Art Investment Strategies, Risk Controls and Regulatory Required by Frank J Fabozzi and Atuso Konishi
2. Handbook of Asset and Liability Management: From Models to Optimal Return Strategies (The Wiley Finance Series) by Alexandre Adam
3. Handbook of Asset and Liability Management by Stavros A. Zenios and William T. Ziemba
4. Michael J. Grebeck, Svetlozar T. Rachev, and Frank J. Fabozzi, .Stochastic Programming and Stable Distributions in Asset Liability Management.
5. Grebeck, M. and Rachev , S. Stochastic programming methods in asset-liability management.
6. Tokat Y, Rachev S. and Schwartz E. , Asset Liability Management; A Review and Some New Results in the Presence of Heavy Tails, in Handbook of Heavy Tailed Distributions in Finance, North Holland Handbooks of Finance (Series Editor W. T. Ziemba)
7. Tokat Y., Rachev, S. and E. Schwartz ,The Stable non-Gaussian Asset Allocation: A Comparison with the Classical Gaussian Approach), Journal of Economic Dynamics and Control, 27, 937-969, 2003
8. Rachev S. , Ortobelli, S., Stoyanov S., Fabozzi, F. Desirable Properties of an Ideal Risk Measure in Portfolio Theory, International Journal of Theoretical and Applied Finance

More references will be provided upon request from prospective students.

The supervision will be jointly provided by Prof. S. T. Rachev and Prof. F. Fabozzi ( Yale University).

Basic Literature:

1. Optimization, Econometric and Financial Analysis (Advances in Computational Management Science) by Erricos J. Kontoghiorghes and Cristian Gatu
2. Portfolio Selection and Asset Pricing by Shouyang Wang and Yusen Xia
3. Portfolio Management with Heuristic Optimization (Advances in Computational Management Science) by Dietmar Maringer
4. Fat-Tailed and Skewed Asset Return Distributions : Implications for Risk Management, Portfolio Selection, and Option Pricing by Svetlozar T. Rachev, Frank J. Fabozzi, and Christian Menn
5. Stable Paretian Models in Finance (Financial Economics and Quantitative Analysis Series) by Svetlozar T. Rachev and Stefan, Mittnik

More references will be provided upon request from prospective students.

1. Dynamic Risk Measures ; Statistical Analysis of Maximum Drawdown in Volatile markets

Literature will be provided upon request from students interested in the project.

Prof. Dr. Rachev (jointly with Prof. F. Fabozzi, Yale University, USA and W. Sun, University Karlsruhe) would like to supervise a Master's thesis (Diplomarbeit) on "Financial Models for Day Trading Strategies".

Day trading refers to the market practice of buying and selling financial instruments (for example, stocks , stock options, currencies equity index futures, interest rate futures, and commodity futures) within the same trading day (or within a fixed short-term) such that all positions will be closed (not necessarily) before the market close of that day. Day trading might employ the methods of analyzing intra-daily data (tick-by-tick data). For this topic, the applicant has opportunity to use the real data from financial markets in analyzing, utilizing, and criticizing the existed trading strategies. There is a huge market demand for financial analysts who can utilize successfully day trading strategies.

Prof. Zari Rachev would like to supervise a master-thesis on

Statistical Analysis of Market Crashes

The study will be concentrated on the study of the volatility skew before and after the crash.
Relative papers will be provided upon request.

The topic will be supervised by Prof. Rachev jointly with Prof. Dr. Frank Fabozzi.

For more information please read the preface and frontmatter of the book by Dr. Fabozzi on the topic and the two relevant chapters (Ch.7 and Ch.13) from Rachev, S., Menn C. and Fabozzi F. , "Fat-Tailed and SkewedAsset Return Distributions: Implications for Risk Management, Portfolio selection, and Option Pricing ", JohnWiley, Finance, 2005

Praktikum bei dem Think-Tank "Deutschland Denken"
Position "Junior Analyst Asset Backed Securities" Middle Office (m/w) at DaimlerChrysler Financial Services in Stuttgart