Portfolio

Optimal Transport in Linear ICA

Master Thesis @ MPI for Intelligent Systems and University of Tübingen

Ongoing Research into applying optimal transport theory to linear Independent Component Analysis (ICA). Git repository access provided on request.

Supervisors: Dr. Simon Buchholz, Prof. Dr. Michel Besserve, Prof. Dr. Joachim Grammig

Structured Product Design (Bonus Certificate)

KU Leuven (Course: Financial Engineering)

Designed, priced, and hedged a Bonus Certificate linked to Costco (COST). Used the Bates Model (stochastic volatility + jumps) with a two-stage calibration and Monte Carlo simulation for path-dependent payoff pricing.

Probabilistic Asset Pricing

Master Seminar @ University of Tübingen

Developed a Bayesian framework for estimating stock risk premia. Integrated the hybrid model of Grammig et al. (2024) with forward-looking measures from Martin & Wagner (2019) using Kalman Filtering and the EM algorithm.

Supervisor: Prof. Dr. Joachim Grammig

A Comparative Study of CBM and UCCAPM

University of Tübingen (Empirical Asset Pricing)

Comparative analysis of Consumption-Based (CBM) and Ultimate Consumption (UCCAPM) models on 25 Fama-French portfolios. Investigated model performance during COVID-19 and the impact of lagged consumption adjustment.

ARMA Process Analysis & Estimation

University of Tübingen (Advanced Time Series Analysis)

Detailed analysis of Conditional Maximum Likelihood (CML) vs Quasi-Maximum Likelihood (QML). Performed simulation studies to test stationarity, efficiency, and robustness of confidence intervals.

Ripple Down Rules Simulation

BITS Pilani (APPCAIR Lab)

Implemented a Python simulation for Ripple Down Rules (RDR), a tree-based incremental learning approach.

Supervisor: Prof. Ashwin Srinivasan