Completed Master Theses
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Prof. Kurt HORNIK
| Name of Student | Topic |
| 2017 | |
| Christina DRAEGER | Predictability of Stock Market Indices from Twitter Mood States: The Sentiment-Driven Investment Hypothesis |
| Lukas SABLICA | A Theoretical and Computational Framework for the Mixture and Composite Models |
| 2016 | |
| Kalra ASHISH | Pair Trading and Copula |
| Matej BRATH | Risk Aggregation Techniques with Application in the Banking Industry |
| Rainer HIRK | Ordinal Response Mixed Effects Regression Models: Eine Analyse von US Corporate Credit Ratings |
| Bui Thi Mai PHUONG | Comparison of Bossting-Based Methods for Ordinal Classification |
| Simeon STERNMÜLLER | Estimation of unimodal densities via Rényi entropy maximization with applications to finance |
| 2014 | |
| Benjamin HOLZKNECHT | Text Based Industry Classification |
| 2012 | |
| Tea BASTIJAN | Stress Testing in Credit Risk Model. An Empirical Study on Croatian Corporate Portfolio |
| Thomas STEINER | Cloud Computing: Opportunities, Risks and Recommendations for Small and Medium-Sized Business |
| Laura VANA | Exploring the relationship between macroeconomic incicators and firms´ financial ratios. Evidence from U.S. panel data |
| 2011 | |
| Anna Christina AMANN | Modeling market implied ratings: Literature review, data collection and theoretical framework |
| Alexander KUCERA | Tactical Asset Allocation (Co-Supervisor: Dr. Ronald Hochreiter) |
| Guadelupe LANDA ROSAS | Asset Correlation estimation and Simulation of Correlated Default Events |
Dr. Zehra EKSI-ALTAY
| Name of Student | Topic |
| 2017 | |
| Johannes SCHEUPLEIN | Bond Portfolio Optimization in a Multi-Country Setting |
| Nur YESILAY | Understanding the Determinants of Sovereign CDS-Bond Basis |
| 2016 | |
| Kseniia SOROKINA | Strukturmodell des Staatsinsolvenzrisikos |
Prof. Rüdiger FREY
| Name of Student | Topic |
| 2017 | |
| Filip GLETA | Backtesting Value-at-Risk |
| Kevin KURT | Stock Index Options and Sovereign Credit Risk: Theory and Evidence |
| Maria MORA FIGUEROA | Pricing American options: a finite difference approach with a real option application |
| Hannah Larissa SCHWARZINGER | A Tail of Three Indices and their Relationship to Volatility-of-Volatility |
| 2015 | |
| Volha HRUSHEVICH | On the Credit Derivatives Approach for Pricing Contingent Convertible Bonds |
| Leszek JANKOWSKI | Stochastic Implied Volatility Surface |
| 2014 | |
| Andreas PETERSEIL | Pricing of Securities in a Firm Value Model with incomplete Information |
| 2013 | |
| Peter NOWAK | EFSF and ESM, the Eurozone CDOs |
| Christian SAGMEISTER | The Clark-Ocone Formula and Applications in Finance |
| Patrick SIBETZ | Dynamic Valuation of Counterparty Risk for Foreign Exchange Derivates |
Prof. Sylvia FRÜHWIRTH-SCHNATTER
| Name of Student | Topic |
| 2017 | |
| Bernhard PONGRUBER | Vorhersagen von Immobilienpreisen mittels Dynamic Model Averaging |
| Dominik TRUZLA | Ein Ansatz zur Modellierung des Sicherheitenkonzentrationsrisikos von herstellerverbundenen Kredit- und Finanzinstituten |
| 2016 | |
| Hatiboglu Taha YASIN | Investigating the Predictability of Financial Time Series Through Bayesian Variable Selection Methods |
Prof. Michael HAUSER
| Name of Student | Topic |
| 2017 | |
| Erminia DELL´ISOLA | Der Effekt des Ölpreises auf die Norwegische Krone und das Britische Pfund |
| Alex GROSSMANN | Der Globale Schwarztee Markt: Eine Kointegrationsanalyse |
| Chao SUN | Die dynamische Struktur von Aktienindices während der Eurokrise |
| Ervis VRAPI | Empirical Testing Of The Liquidity Adjusted Capital Asset Pricing Model By Employing Three Different Liquidity Measures |
| Dominik WEBER | Spillover-Effekte konventioneller als auch unkonventioneller Geldmarktpolitik der EZB auf Nicht-Euroländer innerhalb der EU-28 |
| Francesca ZACCHIGNA | Finanzblasen auf Weizen-, Gold- und US-Anleihenmärkten von 1995 bis 2016. Ein Migrationstest. |
| 2016 | |
| Mathias DORNER | Detecting Rational Bubbles |
| Manuel MARSCHALL | Die Bewertung von Immobilien in Wiener Nobelbezirken: Ein Vergleich der Jahre 2008 und 2015 mittels ökonometrischer Methoden |
| 2014 | |
| Mostafa ALIZADEH KHIRI | Economic Analysis of Looming Peak Oil |
| Tena KINJEROVAC | World Coffee Prices: A Cointegration Analysis |
| Sebastian KLIMONCZYK | The predictive power of yield curves for economic growth. A cross-country comparison based on two models |
| 2013 | |
| Marko MILOVANOVIC | Modelling of Statistical Arbitrage using Principal Component Analysis |
| Olha NOVIKOVA | The Effect of the Protectionist Policy of the Russian Government on Wheat Prices: Analysis of the Wheat Expert Ban in 2010 |
| David SERES | Clustering of Banks within the European Banking Sector. An Analysis of Business Models and the Effects of Two Major Crises |
| Bernhard TRUNNER | Effectiveness of fiscal measures in Greece and France - An empirical analysis using error correction model |
| 2012 | |
| Roman BENEDETTO | Differences in characteristics of economic crises between selected industrialised and developing countries |
| Jan BRYNIARSKI | Construction and Interpretation of Producer Prices Indices |
| Maximilian JUDTMANN | Service Technician Routing and Scheduling in Electric Utilities |
| Igor KOVACIC | Determinants o Credit Spreads of Euro Denominated Corporate Bonds |
| Dimitri PAUNOV | DSGE MOdeling - Solution, Estimation, Implementation |
| Zak Tim SALMUTTER | Corporate vs. Government Bonds: Analysis, Prediction & Investment Strategies |
| Gregor SIEGEL | Dynamic asset allocation and portfolio insurance strategies |
| Georg STEINER | Inventory management and forecasting in the context of an SME |
| Lucas SÜSSENBACH | Ein Modell für den Finanzialisierungsprozes auf Rohstoffmärkten |
| 2011 | |
| Christoph BAUMGARTNER | Models for Deviations from Purchasing Power Parity, a Forecasting Comparison |
| Tatiana GUEORGUIEVA | Forecasting methods using the example of claims development in the Austrian insurance market |
| Harald MARCHSTEINER | Survey on possible impact factors on fertility indicators in Europe - a comparative study |
| Nikolaus RAB | Spurious serial correlation of non-contemporaneous sampled portfolio returns |
PD Dr. Ronald HOCHREITER
| Name of Student | Topic |
| 2017 | |
| Patrick AUER | Wie können mathematische Definitionen von Alphas einen zweckmäßigen Ertrag für institutionelle Investoren generieren? |
| Markus BÖCKLINGER | Parametrische Portfoliomodelle für Asset Allocation Entscheidungen |
| Thomas HAINDL | Genetic optimization to combine TTR strategies |
| Thomas HUNNA | Active Extension Models - Justified disgrace or undiscovered profits in the European market? |
| 2016 | |
| Mehmet CABADAK | Wie die Auswahl unterschiedlicher DCC-GARCH Modelle Portfolio Perdormance beeinflusst |
| Dragana RODIC | Comparison of the Augmented Black-Litterman Model with the Fama French Factor Model Using Scenario Analysis |
| Holger SONTAG | Periodische datengesteuerte Sicherheit in kleinskalierten Smartphone-bezogenene Ad-Hoc Netzwerken |
| Patrik ZATKO | Performance of Technical Trading Rules in a European Context |
| 2015 | |
| Paul KRALL | Fundamental model for the European natural gas market |
| Zoltan SZEBENYI | A combined signal approach to technical analysis: An empirical study on the foreign exchange markets |
| 2014 | |
| Stefan HARING | Grammatical Swarms in intraday technical trading rule systems |
| 2013 | |
| Stevan RADONJANIN | Portfolio optimization based on Conditional Value-at-Risk |
| 2012 | |
| Michael CHRISTL | Backtesting Optimal Portfolios Based on Forecasting Models - An empirical study on the US equity market |
| Stephan KRANNER | Backtesting Optimal Portfolios Based on Forecasting Models - An empirical study on the US equity market |
Dr. Gregor KASTNER
| Name of Student | Topic |
| 2017 | |
| Darjus HOSSZEJNI | Bayes'sche Schätzung des stochastischen Volatilitätsmodells mit Leverage: Das Beispiel von Deutschland und China |
| Martin KUPEC | Volatility Patterns in Intraday Trading Using GARCH and Stochastic Volatility Models |
| 2016 | |
| Vladimir BALTIC | CCC-GARCH versus DCC-GARCH: Forecast comparison through the GMVP economic framework |
Dr. Patrick MAIR
| Name of Student | Topic |
| 2011 | |
| Christian ESS | Intelligentes Berechtigungs- und Planungssystem in der Private Cloud |
| Emir SINANOVIC | Analysis of Trade Networks using Social Network Analysis |
Prof. Klaus PÖTZELBERGER
| Name of Student | Topic |
| 2017 | |
| Georgy PEREVEDENTSEV | Portfolio selection with uncertainty in parameters |
| Stefan VINCENZ | Eine Delta-Hedging Performance Analyse des mehrdimensionalen Black Scholes und Heston Modell |
| 2015 | |
| Alexander KAHL | American Option Pricing - The Longstaff Schwartz Approach |
| 2012 | |
| Sercan GÜR | Boundary Crossing probabilities: Approximations and Monte Carlo estimation |
| 2011 | |
| Thomas MROZ | Risk Analysis with Copula (CDO) |
Prof. Birgit RUDLOFF
| Name of Student | Topic |
| 2017 | |
| Christian DIEM | Determining Capital Requirements based on a Measure of Systemic Risk in a Multi Period Model with Common Risk Factors of Bank Assets |
| Dominik MORAVCIK | Surplus and Numeraire Invariance of Aggregation Functions in Systemic Risk |
| Liya SITDIKOVA | Systemic Risk in Finanancial Networks with Multiple Maturities |
| Mariya STARKOVA | Systemic risk in insurance-reinsurance networks |
| 2016 | |
| Gabriela KOVACOVA | Dynamic Mean-Risk Portfolio Selection in Vector-Valued Setting |
| Jana MATYASOVSKA | Set-valued measures of systemic risk and central clearing counterparty |
| Bernhard PECHLANER | Systemic Risk in the financial System of the European Union |
Prof. Helmut STRASSER
| Name of Student | Topic |
| 2016 | |
| Martina HARTMANOVA | Risk measurement and classification of regulated structured products |
| Minsun KIM | Bootstrap-Simulation of structured products with time dependent volatility |
| Bogdan-Gabriel URSACHE | Pricing and hedging of barrier options in Heston´s stochastic volatility framework |
| 2013 | |
| Christian BANGERL | Hedging in jump diffusion models |
| Bernhard HIRSCH | Local Volatility Surfaces for Option Pricing |
| Laura-Maria ORTH | Volatility Derivatives |
Dr. Michaela SZÖLGYENYI
| Name of Student | Topic |
| 2017 | |
| Veronika BATORYOVA | Calibration of the Heston Model for the Stocks Listed in the EURO STOXX 50 Index and Implications on Pricing |
| Lenka TRNKOVA | Quasi-Monte Carlo Methoden für die Optionsbewertung |
| 2016 | |
| Martina HLAVATA | Maximization of the survival probability of an insurance company |
| Lukas KURINEC | Dividend maximization of an insurance company |