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Credit Exposure Netting with Central Clearing Counterparties 
Master Thesis in "Mathematical Finance", Oxford (2011)
Derivative contracts like CDS typically are collateralized. Offsetting positions are netted so only the remaining exposure results in collateral costs. Clearing is done both bilaterally or via a central clearing counterparty. The manner in which netting in a market with many participants is organized influences the total amount of collateral demand. Here, the total collateral demand of a bilateral netting market vs. a combination of bilateral and centralized clearing is analyzed. This is the situation of part of a market moving from OTC to central clearing (e.g. consider the current intention of centralizing CDS clearing). The model predicts that a reduction of total collateral is only achievable if the market share moved to centralized clearing has a minimum size and number of participants. Refining the model, it is found that the exact efficiency threshold strongly depends on the actual exposure distributions and their correlations, indicating that from a purely netting efficiency-driven point of view, the decision of switching from bilateral to centralized netting demands careful further study.

Network models for financial systems
Master Thesis in "Quantitative Finance", Frankfurt School of Finance & Management (2011)

Währungsrisiken in Investitionsvehikeln für Mikrokredite
Master Thesis in "Quantitative Finance", Frankfurt School of Finance & Management (2010)

Efficiency in markets with private information
Master Thesis in "Mathematical Finance", Oxford (2005)

Irrational Exuberance in Grand Canonical Minority Games
Master Thesis in "Mathematical Finance", Oxford (2005)
In this thesis the irrational behavior of nancial agents is studied in Grand Canonical
Minority Games. A basic Grand Canonical Model is analyzed and extended by intro-
ducing asymmetries in valuation of losses and gains. The work is based on ideas of
Prospect Theory in Behavioral Finance introduced by D. Kahneman and A. Tversky.
Numerous simulations show, that inside a certain stability region for the parame-
ter space this Asymmetric Grand Canonical Minority Game exhibits a periodicity in
the time evolution. Observed features like market bubbles and temporarily volatile
regions suggest, that additionally induced irrationality in the perceptions of mar-
ket participants leads to a highly dynamic behavior of the activity level, the excess
demand as well as the price itself.

Life Annuities and the Problem of Longevity
Master Thesis in "Mathematical Finance", Oxford (2005)
This thesis deals with defined benefit pension plans offered by many German companies to their employees. As an increasing life expectancy, decreasing birthrates, a high level of unemployment and other factors cause a large budget deficit, publicly organized pensions will face tremendous changes. This will lead to an increasing motivation for employees as well as for employers to fund second pillar pensions. Life annuity contracts are calculated by means of life tables. As there are different life tables in use, we will begin with a description of the main ideas and the mathematical basis of the most important German life tables. A focal point of this thesis are the trend functions reflecting the future development of mortality. Consequently we will calculate the necessary net reserves to cover the longevity risk. The aspects of taxation of defined benefit plans are also referred to. We consider especially the difference between tax deductible reserves and the substantially higher reserves that are necessary to cover the longevity risk. The demographic development of employees is in contrast to the life table used for the calculation of company pension reserves. Due to this fact the future liabilities of companies will be disproportionately higher than expected today. Therefore we will develop a new life table that includes the future trend and will much better reflect the mortality rate of employees.

Calibrated Model for a Financial Derivative in a Corporate
Master Thesis in "Mathematical Finance", Oxford (2003)
In this work we consider some special topics of an example of using a
derivative in context of corporate finance as an incentive as discussed in my
special project for diploma. A simple "almost deterministic" model for stock
value depending on the turnover of the firm is considered and calibrated to
data from the annual report of a German telecommunication firm. After
placing the calibration into the more general framework of the above
mentioned diploma project work it is shown that after model calibration to the
data from annual report 2001 the shareholders would decide in favour of the
derivative.
Determenistic models for stock and dividends, such as "stock price as the
dicounted present value of the future dividends" or "permanent growth of
dividends" are used to retrieve the model parameters from the data and link
them to each other. Models for both dividend growth and earnings per share
growth are considered. It is shown that under certeain assumption the values
for growth rates should be the same. A one-factor model that ties the current
stock price and the turnover deterministically is deduced and used to
extrapolate the predicted values for 2002. These are compared to the actual
reported values.
The calibration of the two-factor model from the same diploma project is
outlined. It is compared to the "almost deterministic" model. Shortcomings of
both models and the suggested ways of calibration are discussed. Desirable
amendements as well as directions for further research are outlined.

Multi-Trader Market Simulations and Coupled Markets
Master Thesis in "Mathematical Finance", Oxford (2003)
We commence by introducing the basic elements, the types, and the mechanisms of markets. This is followed by a review of  several multi-trader market models and simulations of the Minority Game. Our results are in agreement with the currently documented findings. We, however, extended the analysis and found, the probability density functions of the number of traders choosing a certain option are Gaussian, for history bit-string lengths m exceeding a critical number m_c, but are non-Gaussian, for m < m_c. We relate this result to the crowd-anticrowd theory. Finally, we present an extension of the Minority Game, namely, the Coupled Markets Minority Game (CMMG). In the CMMG, the markets are organized, and are linked through a price coupling mechanism. It is expected, this model contains a rich dynamical behavior, and acts as a model, for studying the influence of changes in market parameters, such as the supply and demand curve.

To buy or not to buy? - A comparison of the relative costs of buying or renting a home
Diploma Thesis in "Mathematical Finance", Oxford (2002)