Guide for Master s Thesis Diplomarbeit Lehrstuhl f r Statistik

Guide for Master’s Thesis (Diplomarbeit) ¨ Lehrstuhl f¨r Statistik, Okonometrie und Mathematische Finanzwirtschaft u University of Karlsruhe, Germany ¨ The Lehrstuhl f¨r Statistik, Okonometrie und Mathematische Finanzwirtschaft offers a series of u topics for Master’s Thesis (Diplomarbeit) under the general title “Mathematical and Empirical Finance”. Prof. Dr. Svetlozar Rachev (Institutsleitung) and his research assistants supervise the work on these theses. Topics chosen for the Master’s Thesis will either be on the cutting-edge in academia or highly sought out solutions by the financial industry. A strong mathematical background is recommended but not required to exceed the level of the graduate courses offered by the Lehrstuhl f¨r Statistik, u ¨ Okonometrie und Mathematische Finanzwirtschaft. Computer programming techniques are needed if the prospective applicants are interested in solving empirical problems. 1. The Board of Advisors Prof. Dr. S. Rachev is the principal advisor and the co-advisors are: Prof. Dr. G. Bol, Prof. Dr. W. Heller, Dr. M. H¨chst¨tter, Dr. Y. Kim, Mr. W. Sun, Mr. C. M¨ller, Mr. S. Kring, and Ms. A. o o o Serbinenko. In addition, Prof. Dr. K. Egle and Prof. Dr. K. Vollmer are also on the advisor board. Svetlozar (Zari) Rachev completed a Ph.D. in 1979 from Moscow State (Lomonosov) University, and a Doctor of Science Degree in 1986 from the Steklov Mathematical Institute in Moscow. Currently, he is Chair-Professor in Statistics, Econometrics, and Mathematical Finance at the University of Karlsruhe in the School of Economics and Business Engineering. He is also Professor Emeritus from the University of California, Santa Barbara in the Department of Statistics and Applied Probability. He has published 11 monographs (plus 2 forthcoming), 8 handbooks, and special edited volumes, and over 250 research articles. His research areas include mathematical and empirical finance, econometrics, probability, and statistics. He is Fellow of the Institute of Mathematical Statistics, Elected Member of the International Statistical Institute, Foreign Member of the Russian Academy of Natural Science, and holds an honorary doctorate degree from St. Petersburg Technical University. To date, he has supervised over twenty five doctoral students in the areas of finance, insurance, statistics, probability, and econometrics. He is in the Editorial Board of 7 journals in probability, finance, insurance, data analysis and applied mathematics. His current research interests lie in the areas of mathematical and empirical finance and include: (i) modeling financial time series: asset returns time series models with heavy-tailed innovations, exhibiting clustering of the volatility, and short and long range dependence; (i) pricing and hedging in volatile markets; (ii) portfolio optimization; (iii) risk management (market, credit, and operational risk management) (iv) asset liability management. Professor Rachev is co-founder of Bravo Risk Management Group specializing in financial riskmanagement software. Bravo Group was recently acquired by FinAnalytica for which he currently 1 serves as Chief-Scientist. 2. The Prospective Applicants Prospective applicants for Master’s Thesis (Diplomarbeit) are university students who are currently registered in Fakult¨t f¨r Wirtschaftswissenschaften, Fakult¨t f¨r Mathematik, and Fakult¨t f¨r Informatik a u a u a u at University of Karlsruhe. 3 Literature Reviewing Prospective applicants are required to review the relative studies from research journal before they start writing the Master’s Thesis. The focus should be on recently published periodicals (e.g., three to five years ago). Fifty to seventy research articles must be reviewed. The maximum number of reviewed research articles is one hundred. The preferred journals includes, but not limited to, the following: Econometrica, Journal of Finance, Review of Financial Studies, Journal of Financial Economics, Journal of Empirical Finance, Journal of Financial and Quantitative Analysis, Journal of Financial Intermediation, Journal of Money, Credit and Banking, Journal of Business, Journal of Banking and Finance, Journal of International Money and Finance, Journal of Financial Markets, Journal of Risk and Uncertainty, Journal of Econometrics, Journal of Applied Econometrics, European Finance Review, European Financial Management, European Business Review, etc. After reviewing the relevant research articles, prospective applicants are required to make a list of reviewed articles. The title, author, journal name, and a short summary of the article will be listed. The PDF file of each article will be saved on a CD with a filename indicating the last name of the first author and the year of publishing. The short summary is no more than ten sentences by covering following questions: (1) what was the problem this article intending to solve? (2) how was the problem solved (i.e., method and approach)? (3) what was the final result/conclusion? (4) is the final result/conclusion significant? (5) are there any unsolved questions left by this article? Generally, a simple cutting and pasting of the abstract of a research article does not constitute a complete summary of the article with respect to the questions proposed above. 4 Writing the Thesis The Master’s thesis (Diplomarbeit) must contain: • Title • Abstract • Introduction • Main part of the paper • Empirical study (if needed) 2 • Conclusion • Reference The paper should be double spaced, with wide margins, and printed on one side of the paper only. All pages should be numbered consequently. Titles and subtitles should be brief. References, tables, and figures should be printed on separate pages. Tex version and MS Word version are both acceptable. The prospective applicants are encouraged to write their papers by using Latex. The first page of the paper should contain the following information: (1) the title; (2) the name and institutional affiliation of the author; and (3) an abstract of not more than 150 words. A footnote on the same sheet should give the name, postal and e-mail address, and telephone/fax numbers of the author. Footnotes should be kept to a minimum and numbered consecutively throughout the text with superscript Arabic numerals. Displayed formulae should be numbered consecutively throughout the manuscript as (1), (2), etc. against the right-hand margin of the page. All citations in the text should refer to: (1) Single Author: the Author’s name (without initials, unless there is ambiguity) and the year of publication; (2) Two Authors: both Authors’ names and the year of publication; (3) Three or more Authors: first Author’s name followed by “et al.” and the year of publication. Examples: “as demonstrated in Rachev (1996a, 1996b, 1999) and Rachev and Mittnik (2000)”, “Rachev et al. (2000) have recently shown”. In the references list references should be arranged first alphabetically and then further sorted chronologically, if necessary. More than one reference from the same author(s) in the same year must be identified by the letters “a”, “b”, “c”, etc., placed after the year of publication. The prospective applicants should make sure that there is a strict one-to-one correspondence between the names and years in the text and those on the list. The list of references should appear at the end of the main text (after any appendices, but before tables and legends for figures). References should appear as follows: • For monographs: Rachev, S. and S. Mittnik, 2000, Stable Paretian Models in Finance, John Willy& Sons Ltd, Chichester. • For contributions to collective works: Bradley, B. and M. Taqqu, 2003, Financial risk and heavy tails, in: S. Rachev, (Ed.), Handbook of heavy tailed distributions in finance, Elsevier, Amsterdam, pp. 35-103. • For periodicals: (1) Mittnik, S., M. S. Paolella, and S. Rachev, 2002, Stationarity of stable power-GARCH processes. Journal of Econometrics 106, 97-107. (2) Sun, W., R. Rachev, and F. Fabozzi, 2007, Fractals or I.I.D.: evidence of long-range dependence and heavy tailedness from modeling German equity market returns. Journal of Economics and Business. http://dx.doi.org/10.1016/j.jeconbus.2007.02.001, forthcoming. Note that journal titles should not be abbreviated. Illustrations will be reproduced photographically from originals supplied by the prospective applicants. Care should be taken that lettering and symbols are of a comparable size. The Figures and 3 Tables should be numbered consecutively in the text in Arabic numerals, and can be either inserted in the text or inserted at the end of the paper on separate sheets. ¨ Submission of a Master’s thesis (Diplomarbeit) to the Lehrstuhl f¨r Statistik, Okonometrie und u Mathematische Finanzwirtschaft implies that the manuscript has not been published previously and is not under consideration for publication elsewhere. If accepted, it will NOT be published elsewhere in the same form, in English or in any other language, without the written consent of the Lehrstuhl f¨r u ¨ Statistik, Okonometrie und Mathematische Finanzwirtschaft. 5. Grading Rules Plagiarism is strictly prohibited. The evaluation procedure is described by following function: GF = 0.3 × GP + 0.7 × GW where GF is the final grade, GP is the grade for literature reviewing, and GW is the grade of the paper. Content, originality, significance, relevance, and presentation are the major concerns for grading. ¨ The grades are based on the general rule in the Lehrstuhl f¨r Statistik, Okonometrie und Matheu matische Finanzwirtschaft. The prospective applicants who perform well have priority in application of Ph. D thesis and Prof. Rachev is willing to sign the recommendation letter for them if needed for an employment application. 4. Further Information The guideline references are the books and technical reports listed on the homepage. Please visit the ¨ homepage of the Lehrstuhl f¨r Statistik, Okonometrie und Mathematische Finanzwirtschaft for newly u updated information (www.statistik.uni-karlsruhe.de). Coordinator and Contact Person Mr. W. Sun serves as the coordinator and contact person. For application and further questions, please do not hesitate to contact him: Email: wei.sun@statistik.uni-karlsruhe.de Telephone: (49)721-608-7952 Address for visitor: Neuer Zirkel 3, 20.53, Room 101 4