Thesis topics

The following topics may be used for master's, licentiate's, or doctor's thesis. The work may be oriented either towards theory or applications.

Nonparametric function estimation

• Local averaging: kernel and nearest-neigbor methods
• Empirical risk minimization
• Tree based methods
• Semiparametric methods: Single index methods, partially linear methods
• Aggregation

Visualization

• Visualization of multivariate functions with level set trees and related methods like Reeb graphs

Statistical inverse problems

• Empirical risk minimization in inverse problems

Time series analysis

• Time series prediction with nonparametric function estimation
• Volatility prediction with state space smoothing

Cluster analysis

• Empirical risk minimization in cluster analysis

Classification

• Portfolio selection using classification

Portfolio selection

• Portfolio selection with nonparametric methods
• Portfolio selection using regression function estimation
• Portfolio selection using classification

Risk management

• Quantile function estimation
• Empirical risk minimization in quantile function estimation

Hedge fund analysis

• Hedge fund performance evaluation and prediction
• Clustering of hedge funds

Option pricing

• Option pricing in incomplete models

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