Picture of Aleksey Min

PD Dr. rer. nat. Aleksey Min

Technical University of Munich

Chair of Mathematical Finance (Prof. Zagst)

Postal address

Postal:
Parkring 11-13
85748 Garching b. München

     

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

         

Publications in Journals

2014

  • Hauptmann, J.; Hoppenkamps, A.; Min, A.; Ramsauer, F.; Zagst, R.: Forecasting market turbulences using regime-switching models. Financial Markets and Portfolio Management 28 (2), 2014, 139-164 more…
  • Min, A.; Czado, C.: SCOMDY models based on pair-copula constructions with application to exchange rates. Computational Statistics and Data Analysis 76, 2014, 523-535 more…

2012

  • Czado, C.; Kastenmeier, R.; Brechmann, E. C.; Min, A.: A mixed copula model for insurance claims and claim sizes. Scandinavian Actuarial Journal 4, 2012, 278-305 more…
  • Czado, C.; Schepsmeier, U.; Min, A.: Maximum likelihood estimation of mixed C-vines with application to exchange rates. Statistical Modelling 12 (3), 2012, 229–255 more…

2011

  • Min, A.; Czado, C.: Bayesian model selection for multivariate copulas using pair-copula constructions. Canadian Journal of Statistics 39(2), 2011, 239-258 more…
  • Zhang, R.; Czado, C.; Min, A.: Efficient maximum likelihood estimation of copula based meta t-distributions. Computational Statistics and Data Analysis 55 (3), 2011, 1196-1214 more…

2010

  • Min, A.; Czado, C.: Bayesian inference for multivariate copulas using pair-copula constructions. Journal of Financial Econometrics 8 (4), 2010, 511-546 more…
  • Min, A.; Czado, C.: Testing for zero-modification in count regression models. Statistica Sinica 20 (1), 2010, 323-341 more…
  • Min, A.; Holzmann, H.; Czado, C.: Model selection strategies for identifying relevant covariates in homescedastic linear models. Computational Statistics and Data Analysis 54 (12), 2010, 3194-3211 more…
  • Smith, M.; Min, A.; Almeida,C.; Czado,C.: Modelling Longitudinal Data using a Pair-Copula Decomposition of Serial Dependence. Journal of the American Statistical Association 105 (492), 2010, 1467-1479 more…

2008

  • Denker, M.; Min, A.: 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

  • Czado, C.; V., Erhardt; A., Min; S., Wagner: 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

  • Holzman, H.; S., Koch; A., Min: Almost sure limit theorems for U-statistics. Statistics and Probability Letters 69 (3), 2004, 261-269 more…

 

 

Book Contributions and Conference Proceedings

2011

  • Czado, C.; Gaertner, F.; Min, A.: Analysis of Australian electricity loads using joint Bayesian inference of D-Vines with autoregressive margins. In: Kurowicka, D.; Joe, H. (Ed.): Dependence Modeling-Handbook on Vine Copulae. World Scientific, 2011, - more…
  • Czado, C.; Min, A.: Bayesian Inference for D-vines: Estimation and Model Selection. In: Dependence Modeling-Handbook on Vine Copulae. World Scientific , 2011, - more…

  

Supervised Master Theses

2016

  • Heuke, Jakob: Copula Modelling of Dependence in Multivariate Time Series. Master thesis, 2016 more…
  • Michel, Daniel: Non-linear statistical models for incomplete data. Master thesis, 2016 more…
  • Teuma Manekeng, Stephanie : Vine Copula specifications for stationary multivariate time series. Master thesis, 2016 more…

2015

  • Anzer, Gabriel: Modelling of Loan Recovery Rates. Master thesis, 2015 more…
  • Ivanov, Ievgen: Copula Based Factor Models for Multivariate Asset Returns. Master thesis, 2015 more…
  • Jaser, Miriam: Ein Frühwarnsystem zur Beurteilung der Bonität börsennotierter Unternehmen. Master thesis, 2015 more…
  • Kramlinger , Peter : Determining the Number of Factors in Approximate Factor Models. Master thesis, 2015 more…
  • Lingauer, Michael: FAVAR Modelle: Theorie, Schätzung und Anwendung. Master thesis, 2015 more…
  • Mayer, Martin Anton: Consistent Estimation of Factor Models using principal components. Master thesis, 2015 more…
  • Möbus, Lisa: Dynamic Factor Models : Estimation and Applications. Master thesis, 2015 more…
  • Welsing, Simon: Nonlinear Shrinkage estimation of Covariance Matrices for Portfolio Selection. Master thesis, 2015 more…
  • Zawadzki, Emil : A two-step estimator for approximate factor models based on Kalman filtering. Master thesis, 2015 more…

2014

  • Fuchs, Markus: Markov-Switching Multifraktale Modelle mit Anwendungen. Master thesis, 2014 more…
  • Hong, Zicheng: Numerische Methoden für rückwärts-stochastische Differentialgleichungen mit Anwendungen in Finanzmathematik. Master thesis, 2014 more…
  • Morelli, Valerio: Goodness-of-fit tests for elliptical distributions. Master thesis, 2014 more…
  • Polta, Florian: Äquivalante Martingalmaße in unvollständigen Märkten: Eigenschaften und Zusammenhänge. Master thesis, 2014 more…

2013

  • Bao, Min: Bayesian Vector Autoregressive Models and their Applications. Master thesis, 2013 more…
  • Groß, Christina: Dynamische Portfoliooptimierung mit Hilfe eines Regime-Wechsel Modells. Master thesis, 2013 more…
  • Kraus, Daniel: Estimating default risk in the banking sector using financial stress indicators and Rregime switching models. Master thesis, 2013 more…
  • Schmidt, Tim: Pricing Timer Options. Master thesis, 2013 more…

2012

  • Hortig, Christian Andre: Simulation von Finanzszenarien mit verschiedenen Ansätzen. Diplom thesis, 2012 more…

2011

  • Hoppenkamps, Anja : Der Kapitalmarktseismograph - Theorie und Anwendung. Diplom thesis, 2011 more…

 

 

Supervised Bachelor Theses

2014

  • Bumann, Christian: Monte Carlo Methoden zur Derivatsbewertung. Bachelor thesis, 2014 more…

2013

  • Bergen, Volker: Multivariate Models and Mixture Distributions. Bachelor thesis, 2013 more…
  • Gschwendtner, Martina: Testing for Elliptical Symmetry. Bachelor thesis, 2013 more…
  • Horster, Matthias: Schwellenwertmodelle im quantitativen Risikomanagement. Bachelor thesis, 2013 more…
  • Kovacs, Solt: Kalibrierung von Rating-Migrationsmatrizen als zeitstetige, zeithomogene und monotone Markovprozesse. Bachelor thesis, 2013 more…

2012

  • Amrhein, Lisa: Monte Carlo Methoden zur Bewertung von Diskreten Pariser Optionen. Bachelor thesis, 2012 more…
  • Brandstetter, Johanna: Bewertung von Lockback Optionen mit diskreter und partieller Beobachtung. Bachelor thesis, 2012 more…
  • Brummer, Ludwig: Monte-Carlo Methode zur Optionsbewertung im NIG-Modell. Bachelor thesis, 2012 more…
  • Frank, Anna: Quasi-Monte-Carlo-Verfahren und ihre Anwendungen in der Finanzmathematik. Bachelor thesis, 2012 more…
  • Hager, Robert: Pricing Basket Options. Bachelor thesis, 2012 more…
  • Jaser, Miriam: Mathematische Grundlagen der zeitstetigen Finanzmathematik. Bachelor thesis, 2012 more…
  • Mayer, Martin Anton: Ein schneller Algorithmus zur Bewertung von asiatischen Optionen. Bachelor thesis, 2012 more…
  • Neziraj, Lirike: Preiskalkulation amerikanischer Wertpapiere durch Simulation. Bachelor thesis, 2012 more…

2011

  • Binder, Florian: Pricing of barrier options in discrete time. Bachelor thesis, 2011 more…
  • Bonhorst, Leopold von: Testing the Random Walk Hypothesis. Bachelor thesis, 2011 more…
  • Gu, Jingjing: Characterization of univariate return distributions and tests for normality. Bachelor thesis, 2011 more…
  • Haferkorn, Hannes: Schätzmethoden für den Stabilitätsindex alpha: Vergleich und finanzmathematische Anwendung. Bachelor thesis, 2011 more…
  • Hümmer, Michael: Bewertung asiatischer Optionen mit Hilfe der Monte Carlo Methode. Bachelor thesis, 2011 more…
  • Killiches, Matthias: Elliptische Verteilungen : Grundlagen und Anwendungen. Bachelor thesis, 2011 more…
  • Kraus, Daniel : Multivariate Normal- und t Verteilungen und ihre Anwendung in Finanzen. Bachelor thesis, 2011 more…
  • Reichel, Lukas: Financial Application of Kalman Filter. Bachelor thesis, 2011 more…
  • Thurnes, Hannah: Monte Carlo Methoden und ihre Anwendung auf die Bewertung von Lookback-Optionen. Bachelor thesis, 2011 more…
  • Trinh, Mailan: Predicting VaR of portfolios based on time series analysis and copulas. Bachelor thesis, 2011 more…
  • Voldiner, Olga: Predicting Value at Risk of Stock Portfolios using Pair Copula Constructions. Bachelor thesis, 2011 more…

2010

  • Granzer, Marlit: Financial Time Series: ARMA and GARCH models. Bachelor thesis, 2010 more…
  • Leonhardt, Daniel: Elliptical Copulas and their Relevance for Risk Management. Bachelor thesis, 2010 more…