Projects
Fraunhofer ITWM
Overall Projects
Credit Risk and Statistics
- Implementation of Basle II
- Credit rating models
- Pricing of Basket Default Swaps
- Multi-dimensional Statistical Classification (DASMOD)
- Development of Excel sheets and C++- or C#-libraries
- CDS and CDO valuation methods in Matlab with Excel interface
- Calculation of credit spreads for emerging markets
- Regime-switching models for hedge funds
- Risk analysis of hedge funds
- Robust risk quantification in GPD models
- Performance measurement for Private Equity and Real Estate
- Parameter estimation in stochastic correlation models
Option-Pricing
- Pricing of Executive Stock Options (MEF)
- Development of Heston-Framework
- Option pricing with stochastic volatility models
- Option pricing with the GARCH model of Heston and Nandi
- Numerical algorithms for pricing exotic derivatives
- Composable Derivative Contracts (DASMOD)
- New models to model Stockprices (Cambridge-Cooperation)
Portfolio-Optimization
- Time continuous Portfolio Optimization (Cambridge-Cooperation)
- Building up a software library for portfolio optimization
- Arbitrage in Finance Markets
- Economical Systems (DASMOD)
- Implementation of modern techniques of portfolio optimization in practice
- Risk Management of Alternative Investments
- Analysis and Evaluation of Alternative Investments
Actuarial Mathematics
- Asset-Liability-Management for Pension Funds
- ALMSim - a Tool for Asset-Liability-Management
- Asset-Liability-Management (Cambridge-Cooperation)
- Developing a model for longevity
- Consulting during the creation of Solvency II directives in Sweden
- New methods of risk management (Cambridge-Cooperation)