Ph.D. thesis (engl.)

Fields of Interest:
  • Causes for stock market crashes 
  • Precursors to stock market crashes 
  • Predictability of stock market crashes 
  • Crashes seen as phase transitions resp. critical phenomena 
  • Log-periodic oscillations 
  • Discrete scale invariance 
  • Historic examples of stock market crashes


Diploma (M.Sc.) Thesis:
Analytic Methods for Pricing Double Barrier Options in the Presence of Stochastic Volatility University of Kaiserslautern, July 2002, supervised by Prof. Ralf Korn 
Abstract: While there exist closed-form solutions for vanilla options in the presence of stochastic volatility for nearly a decade [Heston, 1993], practitioners still depend on numerical methods - in particular the Finite Difference and Monte Carlo methods - in the case of double barrier options. It was only recently that Lipton [2001] proposed (semi-)analytical solutions for this special class of path-dependent options.
Although he presents two different approaches to derive these solutions, he restricts himself in both cases to a less general model, namely one where the correlation and the interest rate differential are assumed to be zero. Naturally the question arises, if these methods are still applicable for the general stochastic volatility model without these restrictions.
In this paper we show that such a generalization fails for both methods. We will explain why this is the case and discuss the consequences of our results.
Keywords: Stochastic volatility, Heston model, method of images, eigenfunction expansion, double barrier options, digital options, power options, option pricing 
Available files:

 Ph.D. Thesis:
 In progress


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