PD Dr. rer. nat. Aleksey Min
Technical University of Munich
Chair of Mathematical Finance (Prof. Zagst)
Postal address
Postal:
Parkring 11/II
85748 Garching b. München
- Phone: +49 (89) 289 - 17404
- Fax: fax +49 (89) 289 - 17407
- Office hours: Donnerstag, 13:00-14:00 Uhr. Anmeldung per E-Mail ist erforderlich.
- Room: 8101.02.104
- min@tum.de
Short CV
Aleksey Min studied Mathematics at the Tashkent State University (Uzbekistan). In June 2004 he completed his Ph.D. on limit theorems for statistical functionals under supervision of Prof. Denker at the University of Göttingen. Since July 2004 he is a research associate at the Technische Universität München. Aleksey Min first worked at the chair of Mathematical Statistics until March 2010. In April 2010 he changed to the chair of Mathematical Finance and became an academic advisor for students of the M.Sc. program Mathematical Finance and Actuarial Science. In January 2011 he habilitated (From regression to copulas) at the Faculty of Mathematics of the TU München.
Courses
- Applied Capital Markets (WS 2020/21)
- Bachelor Seminar: Data Analytics für Schadenversicherungsmathematik (WS 2020/21)
- Discrete Time Finance (WS 2020/21)
- Stochastik für Lehramt an Beruf. Schulen (SS 2020)
- Continuous Time Finance (SS 2020)
- Advanced Seminar: Univariate and multivariate extreme value theory (WS 2019/20)
- Discrete Time Finance (WS2019/20)
- Advanced Seminar: Quantitative Methods in Finance and Insurance (SS 2019)
- Stochastik für Lehramt an Beruf. Schulen (SS 2019)
- Fixed Income Markets (WS 2018/19)
- Statistics for Business Administration (SS 2018)
- Advanced Seminar: Investment strategies and multivariate rank correlation measures (SS 2018)
- Discrete Time Finance (WS 2017/18)
- Fixed Income Markets (WS 2017/18)
- Advanced Seminar: Empirical copula processes and related statistical tests (WS 2017/18)
- Portfolio Analysis (SS 2017)
- Statistics for Business Administration (SS 2017)
- Applied Capital Markets (WS 2016/17)
- Advanced Seminar Selected topics on investment, option pricing and FAVAR models (WS 2016/2017)
- Discrete Time Finance (WS 2016/17)
- Continuous Time Finance (SS 2016)
- Fixed Income Markets: Vorlesung und Übung (WS 2015/16)
- Quantitative Risk Management: Übung (WS 2015/16)
- Übungen zur Statistik für Betriebswirtschaftslehre (SS 2015)
- Advanced Seminar: Selected topics in quantitative finance (SS 2015)
- Discrete Time Finance (WS 2014/15)
- Advanced Seminar: Selected Topics in Econometrics - Copulas and Forecasting Models (WS 2014/15)
- Discrete Time Finance (WS 2014/15)
- Statistik für Betriebswirtschaftslehre (SS 2014)
- Advanced Seminar: Backward stochastic differential equations with applications to finance (SS 2014)
- Discrete Time Finance (WS 2013/14)
- Advanced Seminar: Selected topics in portfolio analysis and option pricing (WS 2013/14)
- Fixed Income Markets (WS 2013/14) (Tutor)
- Continuous Time Finance (SS 2013)
- Portfolio Analysis (SS 2013)
- Seminar Selected topics in fixed income markets (SS 2013)
- Discrete Time Finance (WS 2012/13)
- Fixed Income Markets (WS 2012/13) (Tutor)
- Hauptseminar Pricing, hedging and optimal investment problems in financial mathematics (WS 2012/13)
- Seminar Methods of financial mathematics for risk management (WS 2012/13)
- Hauptseminar Monte Carlo Methoden in der Finanzmathematik (SS 2012)
- Portfolio Analysis (SS 2012) (Tutor)
- Investment Strategies (WS 2011/12) (Tutor)
- Bachelor-Seminar Finanzmathematik (WS 2011/12)
- Statistics for Financial Markets (SS 2011)
- Fixed Income Markets (SS 2011)
- Hauptseminar: Stichprobenerzeugung von Copulas (SS 2011)
- Hauptseminar Finanzmarktstatistik (WS 2010/11)
Publications in Journals
2021
- Detecting departures from meta-ellipticity for multivariate stationary time series. Dependence Modeling, 2021 more…
- Quantifying Drivers of Forecasted Returns Using Approximate Dynamic Factor Models for Mixed-Frequency Panel Data. Forecasting 3, 2021, 56-90 more…
- Decomposing and Forecasting Credit Spreads using Explainable Artifcial Intelligence (XAI). Working Paper, 2021 more…
- Stock market returns and oil price shocks: A CoVaR analysis based on dynamic vine copula models. Empirical Economics, 2021 more…
2020
- Testing for equality between conditional copulas given discretized conditioning events. 2020, more…
- On tests for symmetry and radial symmetry of bivariate copulas towards testing for ellipticity. Computational Statistics , 2020 more…
- Modeling Recovery Rates of Small- and Medium-Sized Entities in the US. Mathematics 8 (11), 2020 more…
- Stationary vine copula models for multivariate time series. 2020, more…
2019
- Estimation of FAVAR Models for Incomplete Data with a Kalman Filter for Factors with Observable Components. Econometrics , 2019 more…
2017
2014
2012
2011
2010
- Bayesian inference for multivariate copulas using pair-copula constructions. Journal of Financial Econometrics 8 (4), 2010, 511-546 more…
- Testing for zero-modification in count regression models. Statistica Sinica 20 (1), 2010, 323-341 more…
- Model selection strategies for identifying relevant covariates in homescedastic linear models. Computational Statistics and Data Analysis 54 (12), 2010, 3194-3211 more…
- Modelling Longitudinal Data using a Pair-Copula Decomposition of Serial Dependence. Journal of the American Statistical Association 105 (492), 2010, 1467-1479 more…
2008
- A central limit theorem for measurements on the logarithmic scale and its application to dimension estimates. Journal of Multivariate Analysis 99 (4), 2008, 665-683 more…
2007
- Zero-inflated generalized Poisson models with regression effects on the mean, dispersion and zero-inflation level applied to patent outsourcing rates. Statistical Modelling 7 (2), 2007, 125-153 more…
2004
- Almost sure limit theorems for U-statistics. Statistics and Probability Letters 69 (3), 2004, 261-269 more…
Books
2018
- Innovations in Insurance, Risk- and Asset Management – Proceedings of the Innovations in Insurance, Risk- and Asset Management Conference. World Scientific, 2018 more…
Book Contributions and Conference Proceedings
2011
- Analysis of Australian electricity loads using joint Bayesian inference of D-Vines with autoregressive margins. In: Dependence Modeling-Handbook on Vine Copulae. World Scientific, 2011, - more…
- Bayesian Inference for D-vines: Estimation and Model Selection. In: Dependence Modeling-Handbook on Vine Copulae. World Scientific , 2011, - more…
Supervised Master Theses
2021
- Multivariate Student’s t VAR(p) time series models and their relation to S-vines. Master thesis, 2021 more…
2020
- Modeling, Decomposing and Forecasting Credit Spreads using Machine Learning Methodology. Master thesis, 2020 more…
- Modelling of Dependence between Oil Price Shocks and Stock Market Returns using Dynamic Vine Copula Models. Master thesis, 2020 more…
- Statistische Modelle für medizinische Inflation. Master thesis, 2020 more…
- Driving macroeconomic factors of individual recovery rates. Master thesis, 2020 more…
- Copula Transformation Method for Collective Risk Models. Master thesis, 2020 more…
2019
2018
- General Vine Copula Models for Stationary Multivariate Time Series. Master thesis, 2018 more…
- Modeling and forecasting downturn LGD. Master thesis, 2018 more…
- Statistical inference for Blomqvist´s beta. Master thesis, 2018 more…
- Forecasting claim inflation in non-life insurance using macroeconomic factors. Master thesis, 2018 more…
2017
2016
2015
- Modelling of Loan Recovery Rates. Master thesis, 2015 more…
- Copula Based Factor Models for Multivariate Asset Returns. Master thesis, 2015 more…
- Ein Frühwarnsystem zur Beurteilung der Bonität börsennotierter Unternehmen. Master thesis, 2015 more…
- Determining the Number of Factors in Approximate Factor Models. Master thesis, 2015 more…
- FAVAR Modelle: Theorie, Schätzung und Anwendung. Master thesis, 2015 more…
- Consistent Estimation of Factor Models using principal components. Master thesis, 2015 more…
- Dynamic Factor Models : Estimation and Applications. Master thesis, 2015 more…
- Nonlinear Shrinkage estimation of Covariance Matrices for Portfolio Selection. Master thesis, 2015 more…
- A two-step estimator for approximate factor models based on Kalman filtering. Master thesis, 2015 more…
2014
- Markov-Switching Multifraktale Modelle mit Anwendungen. Master thesis, 2014 more…
- Numerische Methoden für rückwärts-stochastische Differentialgleichungen mit Anwendungen in Finanzmathematik. Master thesis, 2014 more…
- Goodness-of-fit tests for elliptical distributions. Master thesis, 2014 more…
- Äquivalante Martingalmaße in unvollständigen Märkten: Eigenschaften und Zusammenhänge. Master thesis, 2014 more…
2013
- Bayesian Vector Autoregressive Models and their Applications. Master thesis, 2013 more…
- Dynamische Portfoliooptimierung mit Hilfe eines Regime-Wechsel Modells. Master thesis, 2013 more…
- Estimating default risk in the banking sector using financial stress indicators and Rregime switching models. Master thesis, 2013 more…
- Pricing Timer Options. Master thesis, 2013 more…
2012
- Simulation von Finanzszenarien mit verschiedenen Ansätzen. Diplom thesis, 2012 more…
2011
- Der Kapitalmarktseismograph - Theorie und Anwendung. Diplom thesis, 2011 more…
Supervised Bachelor Theses
2021
- Kredibilitätstheorie. Bachelor thesis, 2021 more…
- Generalized Linear Models for Non-Life Insurance. Bachelor thesis, 2021 more…
- Verallgemeinerte Additive Modelle in der Schadenversicherungsmathematik. Bachelor thesis, 2021 more…
- Regression- and Classificationtrees. Bachelor thesis, 2021 more…
- Ensemble Learning Methoden in der Schadensversicherungsmathematik. Bachelor thesis, 2021 more…
- Introduction in Non-Life Insurance Pricing. Bachelor thesis, 2021 more…
2014
- Monte Carlo Methoden zur Derivatsbewertung. Bachelor thesis, 2014 more…
2013
- Multivariate Models and Mixture Distributions. Bachelor thesis, 2013 more…
- Testing for Elliptical Symmetry. Bachelor thesis, 2013 more…
- Schwellenwertmodelle im quantitativen Risikomanagement. Bachelor thesis, 2013 more…
- Kalibrierung von Rating-Migrationsmatrizen als zeitstetige, zeithomogene und monotone Markovprozesse. Bachelor thesis, 2013 more…
2012
- Monte Carlo Methoden zur Bewertung von Diskreten Pariser Optionen. Bachelor thesis, 2012 more…
- Bewertung von Lockback Optionen mit diskreter und partieller Beobachtung. Bachelor thesis, 2012 more…
- Monte-Carlo Methode zur Optionsbewertung im NIG-Modell. Bachelor thesis, 2012 more…
- Quasi-Monte-Carlo-Verfahren und ihre Anwendungen in der Finanzmathematik. Bachelor thesis, 2012 more…
- Pricing Basket Options. Bachelor thesis, 2012 more…
- Mathematische Grundlagen der zeitstetigen Finanzmathematik. Bachelor thesis, 2012 more…
- Ein schneller Algorithmus zur Bewertung von asiatischen Optionen. Bachelor thesis, 2012 more…
- Preiskalkulation amerikanischer Wertpapiere durch Simulation. Bachelor thesis, 2012 more…
2011
- Pricing of barrier options in discrete time. Bachelor thesis, 2011 more…
- Testing the Random Walk Hypothesis. Bachelor thesis, 2011 more…
- Characterization of univariate return distributions and tests for normality. Bachelor thesis, 2011 more…
- Schätzmethoden für den Stabilitätsindex alpha: Vergleich und finanzmathematische Anwendung. Bachelor thesis, 2011 more…
- Bewertung asiatischer Optionen mit Hilfe der Monte Carlo Methode. Bachelor thesis, 2011 more…
- Elliptische Verteilungen : Grundlagen und Anwendungen. Bachelor thesis, 2011 more…
- Multivariate Normal- und t Verteilungen und ihre Anwendung in Finanzen. Bachelor thesis, 2011 more…
- Financial Application of Kalman Filter. Bachelor thesis, 2011 more…
- Monte Carlo Methoden und ihre Anwendung auf die Bewertung von Lookback-Optionen. Bachelor thesis, 2011 more…
- Predicting VaR of portfolios based on time series analysis and copulas. Bachelor thesis, 2011 more…
- Predicting Value at Risk of Stock Portfolios using Pair Copula Constructions. Bachelor thesis, 2011 more…