Thesis Presentations

Students of the MSc UZH ETH in QF have to make a 30 minutes presentation of their thesis within 4 weeks after the submission of the Master's thesis. This presentation is open to the public and is officially announced.

Go down to the year of graduation:
[2017] [2016] [2015] [2014] [2013] [2012] [2011]

 

2017

Name Thesis Title Time Place
Alex de Haas
(Supervisor: Prof. Dr. Karl Schmedders)
Portfolio Optimization with Market Impact Costs Tue,
28.11.2017
10.00 h
UZH,
MOO-E-06
Rasia Naidoo
(Supervisor: Prof. Dr. Thorsten Hens)
Emerging Market Monetary Policy and the Carry Trade Tue,
14.11.2017
19.00 h
UZH,
KOL-G-203
Daniel Grosshans
(Supervisor: Prof. Dr. Thorsten Hens)
Non-Parametric Estimation of State Price Densities Thu,
02.11.2017
13.00 h
UZH,
KOL-G-210-EV
Florian Rainer Grünewald
(Supervisor: Prof. Dr. Walter Farkas)
Point-in-Time Loss Given Default modelling for Banking products Fri,
27.10.2017
16.00 h
UZH,
KOL-F-103
Manuel Känzig
(Supervisor: Prof. Dr. Karl Schmedders)
Does portfolio allocation using skewness and kurtosis create value for asset managers? - An empirical analysis Tue,
26.09.2017
11.00 h
UZH,
MOO-E-006
Gianluca De Nard
(Supervisor: Prof. Dr. Michael Wolf)
Linear and Nonlinear Shrinkage Estimation of the Covariance Matrix: Portfolio Optimization for Benchmarked Managers Mon,
18.09.2017
15.15 h
UZH,
KOL-N-1 EV
Stefan Altmann
(Supervisor: Prof. Dr. Karl Schmedders)
Estimation of high-dimensional covariance matrices Thu,
14.09.2017
11.00 h
UZH,
MOO-E-006
Tobias Enders
(Supervisor: Prof. Dr. Pablo Koch)
Risk Measures and Tail Risk Tue,
29.08.2017
09.00 h
UZH,
AND-2.48
Othmane Hifdi
(Supervisor: Prof. Dr. Josef Teichmann)
Path Signatures in Regression Analysis Tue,
15.08.2017
09.00 h
ETH,
HG-G-19.1
Sophie Carolina Kolberg
(Supervisor: Prof. Dr. Karl Schmedders)
Portfolios from Sorts - Bayesian Methods for Portfolio Optimization Fri,
28.07.2017
11.00 h
UZH,
MOO-E-006
Alexander Wehrli
(Supervisor: Prof. Dr. Didier Sornette)
Market Impact in a Multivariate Hawkes Process Model Thu,
20.07.2017
10.00 h
SEC E3,
SE Kasernenstrasse 11
Elena Mateva
(Supervisor: Prof. Dr. Jean-Charles Rochet)
Bank Capital and Monetary Policy Transmission Thu,
15.06.2017
12.00 h
UZH,
PLD-E-04
Jonathan Koh
(Supervisor: Prof. Dr. Paul Embrechts)
An Extreme Value Theory Based Model for some Proxies of Hail Tue,
30.05.2017
10.00 h
ETH,
HG-F-33.1
Simon Wasle
(Supervisor: Prof. Dr. Karl Schmedders)
Multi-objective Optimization of Reinsurance Treaties Fri,
05.05.2017
14.00 h
UZH,
MOO-E-06
Rebecca Westphal
(Supervisor: Prof. Dr. Martin Larsson)
Empirical Analysis of High-Frequency Financial Data under the Rough Fractional Stochastic Volatility Model Wed,
03.05.2017
14.15 h
ETH,
HG-G-19.1
Fabian S. F. Thut
(Supervisor: Prof. Dr. Mete Halil Soner)
Portfolio Tracking with Market Impact Tue,
18.04.2017
14.00 h
ETH,
HG-G-19.1
Filip Moric
(Supervisor: Prof. Dr. Markus Leippold)
Machine Learning Methods applied in Credit Risk Wed,
12.04.2017
08.00 h
UZH,
PLD-E-04
Tomas Kvasnicka
(Supervisor: Prof. Dr. Marc Paolella)
Filtering of Jumps Using Wavelet Decomposition: Application to Portfolio Selection Mon,
10.04.2017
10.30 h
UZH,
PLD-E-04
Lukas Münstermann
(Supervisor: Prof. Dr. Marc Chesney)
Impact Investing - What's Behind the Name Tue,
04.04.2017
17.00 h
UZH,
RAA-E-02
Urban Ulrych
(Supervisor: Prof. Dr. Walter Farkas)
Optimal Hedging of FX Exposure for International Asset Allocation Fri,
10.03.2017
14.30 h
UZH,
PLD-E-04
Ivana Primorac
(Supervisor: Prof. Dr. Markus Leippold)
Higher Moment Swaps Mon,
23.01.2017
10.15 h
UZH,
PLD-E-04

 

2016

Name Thesis Title Time Place
Filip Vojnic-Zelic
(Supervisor: Prof. Dr. Marc Paolella)
Prediction of Multivariate Asset Returns with Copulas Mon,
19.12.2016
14.00 h
UZH,
PLD-E-06
Martin Stefanik
(Supervisor: Prof. Dr. Paul Embrechts)
Modifications of the Rearrangement Algorithm Thu,
15.12.2016
14.15 h
ETH,
HG-F-26.1
Alexandra Egg
(Supervisor: Prof. Dr. Marc Chesney)
Robustness of Sustainable Investments Wed,
23.11.2016
10.00 h
UZH,
PLD-E-06
Ming Deng
(Supervisor: Prof. Dr. Walter Farkas)
Forecasting Financial Time Series Based On Sentiment Analysis Thu,
17.11.2016
10.00 h
UZH,
PLD-E-06
Simon Skok
(Supervisor: Prof. Dr. Walter Farkas)
Counterparty Risk Management for Central Counterparties after the Global Financial Crisis Tue,
15.11.2016
10.30 h
UZH,
PLD-E-06
Milan Cvetkovic
(Supervisor: Prof. Dr. Walter Farkas)
Alternative Investments in Portfolio Optimization Fri,
07.10.2016
09.00 h
UZH,
PLD-E-06
Oliver Blum
(Supervisor: Prof. Dr. Alexander F. Wagner)
Refining Value Strategies Fri,
09.09.2016
14.00 h
UZH,
PLD-E-06
Alexander Smirnow
(Supervisor: Prof. Dr. Walter Farkas)
Risk measures: recent developments and new ideas Thu,
01.09.2016
10.00 h
UZH,
PLD-E-06
Kevin Smith
(Supervisor: Prof. Dr. Marc Paolella)
Improving the PRS trading strategy by use of Artificial Neural Networks Tue,
30.08.2016
10.00 h
UZH,
PLD-E-06
Zhongheng Chen
(Supervisor: Prof. Dr. Paul Embrechts)
An Extreme Value Theory-Based Hurricane Model with Application to CAT Bonds Wed,
24.08.2016
10.00 h
ETH,
HG-G-26.3
Nina Troha
(Supervisor: Prof. Dr. Markus Leippold)
Optimal investing in marketplace loans Fri,
12.08.2016
11.15 h
UZH,
PLD-E-06
Xian Chen
(Supervisor: Prof. Dr. Paul Embrechts)
Modeling Operational Risk Depending on Covariates: An Empirical Investigation Tue,
28.06.2016
10.00 h
UZH,
PLD-E-06
Jan Tepina
(Supervisor: Prof. Dr. Markus Leippold)
Option Implied Asset Allocation Mon,
27.06.2016
12.30 h
UZH,
PLD-E-06
Michal Svaton
(Supervisor: Prof. Dr. Markus Leippold)
VIX derivatives pricing: The role of multifactor structure and long memory Wed,
22.06.2016
08.15 h
UZH,
PLD-E-06
Kevin Klein
(Supervisor: Prof. Dr. Josef Teichmann)
Order book models and price formation Fri,
17.06.2016
10.15 h
ETH,
HG-G-19.2
Ueli Hofstetter
(Supervisor: Prof. Dr. Thorsten Hens)
Timing Models for Factor Investing Thu,
09.06.2016
19.00 h
UZH,
PLD-E-06
Hasan Karahan
(Supervisor: Prof. Dr. Thorsten Hens)
Cross Section of Stock Returns: on the Empirical Comparison of Investor Sentiment Indexes Thu,
02.06.2016
11.00 h
UZH,
PLD-E-06
Jin Sun
(Supervisor: Prof. Dr. Markus Leippold)
Real-world Pricing and Hedging of Currency Derivatives based on Estimations from Underlying Data under the Benchmark Approach Wed,
01.06.2016
14.00 h
UZH,
PLD-E-06
Joris van der Aa
(Supervisor: Prof. Dr. Marc Paolella)
Application of Non-Gaussian Non-Elliptic GARCH Modeling to Large-Dimensional High-Frequency Financial Assets Thu,
12.05.2016
18.15 h
UZH,
PLD-E-06
Florian Sutter
(Supervisor: Prof. Dr. Thorsten Hens)
The Pricing of VIX Derivatives: Theory and Empirical Performance Tue,
10.05.2016
12.15 h
UZH,
PLD-E-06
Erika Jansson
(Supervisor: Prof. Dr. Walter Farkas)
Volatility Models Applied in Energy Commodity Markets Thu,
21.04.2016
16.00 h
UZH,
PLD-E-06
Antonello Cirulli
(Supervisor: Prof. Dr. Karl Schmedders)
Diversification Benefits Fri,
08.04.2016
15.00 h
UZH,
PLD-E-06
Tom Noppe
(Supervisor: Prof. Dr. Marc Paolella)
Determining the Predictability of Signals Using Kernel Methods Mon,
14.03.2016
10.15 h
UZH,
PLD-E-06
Iosif Faskiotis
(Supervisor: Prof. Dr. Marc Chesney)
Eurozone debt crisis - the case of Greece: an analysis of imbalances, weak banks and sovereigns and spillover effects Tue,
23.02.2016
08.30 h
UZH,
PLD-E-06
Jovan Samardzic
(Supervisor: Prof. Dr. Michel Habib)
Liquidity of Syndicated Loans Wed,
17.02.2016
13.00 h
UZH,
PLD-E-06
Meng Chen
(Supervisor: Prof. Dr. Markus Leippold)
Hedging of Multi-Asset Equity Options Wed,
10.02.2016
14.15 h
UZH,
PLD-E-06
Tatyana Soldatova
(Supervisor: Prof. Dr. Walter Farkas)
Market Implied Dependence Between Life and Market Risks Tue,
26.01.2016
14.00 h
UZH,
PLD-E-06
Jeta Limani
(Supervisor: Prof. Dr. Paul Embrechts)
On dependence modeling and risk diversification Thu,
14.01.2016
10.00 h
ETH,
HG-E-33.5

 

2015

Name Thesis Title Time Place
Gereon M. Sommer
(Supervisor: Prof. Dr. Marc Paolella)
Review of data-snooping methods Thu,
17.12.2015
17.00 h
UZH,
PLD-E-06
Serge Birri
(Supervisor: Prof. Dr. Markus Leippold)
Ross' Recovery Theorem and its critics Mon,
14.12.2015
09.00 h
UZH,
PLD-E-06
Devin Heer
(Supervisor: Prof. Dr. Markus Leippold)
Variance reduction through multilevel Monte Carlo simulation Thu,
22.10.2015
14.00 h
UZH,
PLD-E-06
Deyu Ming
(Supervisor: Prof. Dr. Paul Embrechts)
Designing Catastrophe Bonds for Earthquakes in Yunnan Province of China Wed,
14.10.2015
15.00 h
ETH,
ML-E-13
Stephan Krushev
(Supervisor: Prof. Dr. Walter Farkas)
Conversion and default of contingent bonds - a structural approach Tue,
15.09.2015
14.00 h
UZH,
PLD-E-06
Xiao Ye Zhan
(Supervisor: Prof. Dr. Marloes Maathuis)
Modelling Operational Loss Event Frequencies Wed,
26.08.2015
09.00 h
UZH,
PLD-E-06
Birgit Mairhuber
(Supervisor: Prof. Dr. Marc Chesney)
Payment Adjustments and Permanence Implications for REDD (+) Mon,
24.08.2015
15.00 h
UZH,
PLD-E-06
Marco Laube
(Supervisor: Prof. Dr. Markus Leippold)
Trading strategies based on implied volatility: Theory and Implementation Wed,
19.08.2015
14.00 h
UZH,
PLD-E-06
Yitian Yang
(Supervisor: Prof. Dr. Markus Leippold)
Numerical Methods for the Pricing of American and Exotic Options under Affine Jump-diffusions and Time Changed Levy Processes Wed,
19.08.2015
11.00 h
UZH,
PLD-E-06
Laurent Oberholzer
(Supervisor: Prof. Dr. Karl Schmedders)
Accelerating economics: how GPUs can save you time and money Fri,
10.07.2015
11.00 h
UZH,
MOO-E-006
Rafaela Guberovic
(Supervisor: Prof. Dr. Walter Farkas)
A study of financial constraints in a model for systemic risk Wed,
08.07.2015
17.00 h
UZH,
PLD-E-06
Alfiya Shamisheva
(Supervisor: Prof. Dr. Markus Leippold)
Market Risk in Private Equity Portfolios Mon,
06.07.2015
15.00 h
UZH,
PLD-E-06
Patrick S. Walker
(Supervisor: Prof. Dr. Marc Paolella)
Multivariate Asset Return Modeling Fri,
19.06.2015
13.00 h
UZH,
PLD-E-06
Zeynep Boyali
(Supervisor: Prof. Dr. Jean-Charles Rochet)
Measuring Banks' Liquidity: An Empirical Comparison of Liquidity Mismatch Index (LMI) and Liquidity Creation Measure (LCM) Wed,
10.06.2015
11.30 h
UZH,
PLD-E-06
Johanna Christina Schreier
(Supervisor: Prof. Dr. Markus Leippold)
Linearity-Generating Processes - Theory and Application Wed,
03.06.2015
09.00 h
UZH,
KOL-G-220
Svea Ludwig
(Supervisor: Prof. Dr. Thorsten Hens)
Presentation Forms and Risk-Taking Behaviour of Investors Wed,
20.05.2015
14.00 h
UZH,
PLD-E-06
Hanlin Yang
(Supervisor: Prof. Dr. Martin Schweizer)
On Quadratic BSDEs with Final Condition in L^2 Wed,
13.05.2015
14.00 h
ETH,
HG-G-19.1
Cédric Lang
(Supervisor: Prof. Dr. Alexander F. Wagner)
Corporate spin-offs: abnormal stock returns and operating performance improvements Wed,
13.05.2015
14.00 h
UZH,
PLD-E-06
Markus Regez
(Supervisor: Prof. Dr. Walter Farkas)
Unilateral CVA/DVA pricing with wrong way risk in the energy market Tue,
12.05.2015
13.00 h
UZH,
PLD-E-06
Mateusz Wròblewski
(Supervisor: Prof. Dr. Thorsten Hens)
Explaining co-movement with co-mentions in financial media Wed,
06.05.2015
11.00 h
UZH,
KOL-G-210
Christian Fiegl
(Supervisor: Prof. Dr. Marc Paolella)
Perfect Timing: Dynamic Asset Allocation with Online Change Point Detection Tue,
07.04.2015
09.30 h
UZH,
PLD-E-06
Eleni Verteouri
(Supervisor: Prof. Dr. Markus Leippold)
Forecasting Volatility: Causality of Index and Constituents Wed,
25.03.2015
09.00 h
UZH,
PLD-E-06
David S. Volkmann
(Supervisor: Prof. Dr. Walter Farkas)
Multivariate ARMA-FIGARCH-MNTS model for portfolio VaR/CVaR prediction Fri,
06.03.2015
15.00 h
UZH,
PLD-E-06
Antoine Lyson
(Supervisor: Prof. Dr. Walter Farkas)
Law-Invariant Risk Measures Fri,
27.02.2015
14.00 h
UZH,
PLD-E-06
Gianluca Marcoli
(Supervisor: Prof. Dr. Markus Leippold)
Comparison of market code-books for S&P 500 options Thu,
12.02.2015
14.00 h
UZH,
KOL-F-103
Louis Tisseau des Escotais
(Supervisor: Prof. Dr. Marc Chesney)
Impact of subsidies on a solar energy investment project Fri,
06.02.2015
09.15 h
UZH,
PLD-E-6
Michel Gba
(Supervisor: Prof. Dr. Karl Schmedders)
Optimal Dynamic Currency Hedging Tue,
27.01.2015
11.00 h
UZH,
KOL-F-103

 

2014

Name Thesis Title Time Place
Tim Marahrens
(Supervisor: Prof. Dr. Markus Leippold)
Sequential Calibration of Option Pricing Models Using Non-Linear Filtering Methods Thu,
11.12.2014
14.00 h
UZH,
KOL-E-13
Thomas Weber
(Supervisor: Prof. Dr. Markus Leippold)
Scenario generation for risk management - implied volatility dynamics modeling Mon,
08.12.2014
14.00 h
UZH,
KOL-N-1
Stefan Roggo
(Supervisor: Prof. Dr. Paul Embrechts)
Operational risk modeling: analysis of SIX financial and availability losses Mon,
15.09.2014
15.00 h
ETH,
HG-G-19.1
Pawel Obara
(Supervisor: Prof. Dr. Walter Farkas)
Pricing and Hedging Contingent Convertible Bonds Wed,
10.09.2014
10.00 h
ETH,
HG-G-19.1
Alessandro Zucconi
(Supervisor: Prof. Dr. Marc Chesney)
Analysis of Sustainability Stock Indexes: The Case of the Dow Jones Sustainability Index Mon,
08.09.2014
14.00 h
UZH,
PLD-E-04
Wladimir Weinbender
(Supervisor: Prof. Dr. Markus Leippold)
Multi-asset option pricing with copulas Mon,
07.07.2014
16.00 h
UZH,
PLD-E-04
Wail El Allali
(Supervisor: Prof. Dr. Arnulf Jentzen)
Extreme statistics for a collection of correlated random variables using Renormalization Group methods Wed,
02.07.2014
15.00 h
ETH,
HG-G-19.2
Jarred Foster
(Supervisor: Prof. Dr. Karl Schmedders)
Structural estimation using global optimization techniques Mon,
12.05.2014
10.00 h
UZH,
PLM-103/104
Ferdinand Langnickel
(Supervisor: Prof. Dr. Thorsten Hens)
Price Predictability in an Evolutionary Finance Model Mon,
31.03.2014
12.15 h
UZH,
KO2-F-172
Ryan Kurniawan
(Supervisor: Prof. Dr. Arnulf Jentzen)
Numerical approximations of stochastic partial differential equations with non-globally Lipschitz continuous nonlinearities Mon,
31.03.2014
10.00 h
ETH,
HG-G-19.1
Steven Schärer
(Supervisor: Prof. Dr. Markus Leippold)
Option pricing in illiquid markets Mon,
17.02.2014
14.00 h
UZH,
PLD-E-04
Martin Andersson
(Supervisor: Prof. Dr. Josef Teichmann)
Models for the Dynamics of Implied Volatility Surfaces Wed,
29.01.2014
08.30 h
ETH,
HG-G-19.1
Felix Stang
(Supervisor: Prof. Dr. Mete Soner)
Robust Hedging Considering Transaction Costs Mon,
27.01.2014
17.00 h
ETH,
HG-G-19.1
Sarah Jucker
(Supervisor: Prof. Dr. Markus Leippold)
Pricing S&P 500 Options under Stochastic Local Volatility Model Thu,
23.01.2014
10.00 h
UZH,
PLD-E-04
Pascal Caversaccio
(Supervisor: Prof. Dr. Markus Leippold)
Pricing VIX Options with Wishart Matrix Affine Jump Diffusions while Preserving Consistency with SPX Options Mon,
13.01.2014
10.00 h
UZH,
PLD-E-04

 

2013

Name Thesis Title Time Place
Annina Nef
(Supervisor: Prof. Dr. Paul Embrechts)
Detecting Causality in Multivariate Time Series Tue,
10.12.2013
15.00 h
ETH,
HG-G-19.2
Benjamin Groth
(Supervisor: Prof. Dr. Walter Farkas)
Trade-Level CVA Allocation Tue,
05.11.2013
09.00 h
ETH,
HG-G-19.2
Anna-Lena Hashagen
(Supervisor: Prof. Dr. Johannes Muhle-Karbe)
The Flesaker-Hughston Model for the Term-Structure of Interest Rates Wed,
23.10.2013
09.00 h
ETH,
HG-G-19.1
Michele di Lascio
(Supervisor: Prof. Dr. Marc Paolella)
Factor Correlation Models: Application to the Capped Volatility Fund Wed,
25.09.2013
11.00 h
UZH,
SOE-E-08
Warrick Poklewski-Koziell
(Supervisor: Prof. Dr. Markus Leippold)
Inflation Modelling: Risk Premia and Derivative Pricing Tue,
24.09.2013
10.15 h
ETH,
HG-G-19.2
Anna Stepasova
(Supervisor: Prof. Dr. Jean-Charles Rochet)
A violation of the law of one price: The Case of Heineken and Heineken Holding Mon,
23.09.2013
15.30 h
UZH,
PLD-E-06
Pavel Riabouchkine
(Supervisor: Prof. Dr. Christoph Schwab)
Computation of Greeks for Calibration and Validation of Financial Market Models Mon,
23.09.2013
09.00 h
ETH,
HG-G-19.2
Peter Gracar
(Supervisor: Prof. Dr. Martin Schweizer)
Aspects of Convex Risk Optimisation Tue,
17.09.2013
14.15 h
ETH,
HG-G-19.1
Jurij-Andrei Reichenecker
(Supervisor: Prof. Dr. Alexander F. Wagner)
Pricing of IPOs Mon,
05.08.2013
11.00 h
UZH,
PLD-E-04
Mario Dal Col
(Supervisor: Prof. Dr. Marc Chesney)
Environmental, Social and Governance (ESG) Measures and Stock Returns Mon,
08.07.2013
10.45 h
UZH,
RAI-F-041
Luca Trovato
(Supervisor: Prof. Dr. Walter Farkas)
Risk measures on probabilities Tue,
18.06.2013
14.00 h
UZH,
PLD-E-04
Mathis Mörke
(Supervisor: Prof. Dr. Marc Chesney)
Stochastic Convenience Yield Models and Pricing Commodities: An Empirical Comparison Tue,
04.06.2013
09.00 h
UZH,
PLD-E-04
Patrick Wyss
(Supervisor: Prof. Dr. Markus Leippold)
A GARCH Option Pricing Model with Johnson-Su Innovations Mon,
27.05.2013
16.00 h
UZH,
SOE-E-04
Fatima Manaa
(Supervisor: Prof. Dr. Markus Leippold)
Application of Filtering Methods in Finance Mon,
13.05.2013
10.00 h
UZH,
FRE-D-14
Martin Pleischl
(Supervisor: Prof. Dr. Walter Farkas)
Detection of financial bubbles with the FTS-GARCH model and extensions Tue,
07.05.2013
14.00 h
UZH,
GLT-A-03
Thomas Cayé
(Supervisor: Prof. Dr. Paul Embrechts)
Single liability claims: stochastic modelling and applications Tue,
30.04.2013
14.00 h
ETH,
HG-G-19.1
Thomas Eichenberger
(Supervisor: Prof. Dr. Markus Leippold)
Alternative Risk Transfer of Life Risks - An Investment Opportunity for Swiss Pension Funds? Mon,
29.04.2013
14.00 h
UZH,
HAH-E-10
Gabriel Doyon
(Supervisor: Prof. Dr. Paul Embrechts)
On Densities of Extreme Value Copulas Tue,
16.04.2013
10.00 h
ETH,
HG-G-19.1
Kévin Soobratty
(Supervisor: Prof. Dr. Markus Leippold)
Pricing of Variable Annuities Mon,
15.04.2013
10.00 h
UZH,
SOE-F-2
Christian Gebauer
(Supervisor: Prof. Dr. Johannes Muhle-Karbe)
Optimal portfolio choice in markets with transaction costs: Comparing methods for determining the no-trade region Fri,
12.04.2013
09.00 h
ETH,
HG-G-19.1
Delphine Savatier
(Supervisor: Prof. Dr. Josef Teichmann)
Multiple Yield Curve Models Thu,
11.04.2013
09.00 h
ETH,
HG-G-19.2
Giorgio Mori
(Supervisor: Prof. Dr. Walter Farkas)
Study and calibration of a LIBOR forward swap model with stochastic volatility Wed,
20.03.2013
10.00 h
UZH,
KOL-E-21
Andreas Vogel
(Supervisor: Prof. Dr. Markus Leippold)
Optimal Portfolio Allocation Under Higher Moments in the Black-Litterman Framework Wed,
27.02.2013
09.00 h
UZH,
PLD-E-04
Enqi Liang
(Supervisor: Prof. Dr. Markus Leippold)
American Option Pricing Using Filtering Mon,
18.02.2013
11.00 h
UZH,
KOL-F-103
Fabian Lutz
(Supervisor: Prof. Dr. Markus Leippold)
Analysis of the performance of turbulence indicators in the prediction of financial crises Mon,
18.02.2013
10.00 h
UZH,
KOL-F-103
Yuefei Huang
(Supervisor: Prof. Dr. Josef Teichmann)
Study of a Distressed Model in Bond Markets Mon,
21.01.2013
17.00 h
ETH,
HG-G-19.1
Jan Cuonz
(Supervisor: Prof. Dr. Marc Chesney)
Pricing and Hedging of Commodity Options under SABR model Thu,
17.01.2013
UZH,
PLD-E-04

 

2012

Name Thesis Title Time Place
István Rédl
(Supervisor: Prof. Dr. Josef Teichmann)
Invariant Measures for Certain Classes of Affine Processes. Tue,
18.12.2012
09.00 h
ETH,
HG-G-19.1
Karl Ruzsics
(Supervisor: Prof. Dr. Paul Embrechts)
A Model for the Pricing of Hurricane Catastrophe Bonds Mon,
17.12.2012
10.15 h
ETH,
HG-G-43
Seth Tolev
(Supervisor: Prof. Dr. Walter Farkas)
Trend and Mean Reversion Modelling in a Market with Heterogeneous Investors: A Dynamical Systems Approach Mon,
19.11.2012
UZH,
PLD-E-04
Victoriia Skrypka
(Supervisor: Prof. Dr. Paul Embrechts)
Equity Haircut Methodologies Mon,
05.11.2012
13.15 h
ETH,
HG-G-19.1
Edgar Mathis
(Supervisor: Prof. Dr. Marc Chesney)
Pricing of Energy Commodity Derivatives Wed,
29.08.2012
11.00 h
UZH,
PLD-E-04
Danzhu Shi
(Supervisor: Prof. Dr. Markus Leippold)
On the Pricing of Contingent Convertible Bonds and Their Influence on Systemic Risk Fri,
03.08.2012
10.00 h
UZH,
PLD-E-04
Luca Dominedó
(Supervisor: Prof. Dr. Walter Farkas)
Pricing and Hedging Counterparty Credit Risk Tue,
24.07.2012
15.30 h
UZH,
PLM-103/104
Olivier Bachem
(Supervisor: Prof. Dr. Walter Farkas)
Pricing Variance Swaps and Corridor variance Swaps under General Dividend Streams Tue,
24.07.2012
14.30 h
UZH,
PLM-103/104
Roger Rüegg
(Supervisor: Prof. Dr. Markus Leippold)
Global Tactical Asset Allocation under Heavy-Tailed Distributions, Joint Extremes and Times-Varying Downside Risks Thu,
19.07.2012
10.00 h
UZH,
PLM-103/104
Kim Schartz
(Supervisor: Prof. Dr. Marc Chesney)
The Financialization of the Food Commodities Market and its Impact on Food Prices Tue,
10.07.2012
11.00 h
UZH,
PLD-E-04
Florian Müller-Reiter
(Supervisor: Prof. Dr. Markus Leippold)
Hybrid Options: Finite Elements for Local Volatility with Stochastic Interest Rates Wed,
13.06.2012
12.00 h
UZH,
PLD-E-04
Cora Drimus
(Supervisor: Prof. Dr. Walter Farkas)
Stochastic Volatility Modeling in Energy Markets Fri,
08.06.2012
10.00 h
UZH,
PLD-E-04
Mark Lickes
(Supervisor: Prof. Dr. Markus Leippold)
COSI Certificates and Exchange Traded Funds: An Investment Decision Thu,
31.05.2012
11.00 h
UZH,
KOL-G-203
Robbin Tops
(Supervisor: Prof. Dr. Christoph Schwab)
Numerical Pricing of American Options for general Bivariate Lévy Models Wed,
23.05.2012
10.00 h
ETH,
HG-G-19.2
Dandan Zhao
(Supervisor: Prof. Dr. Walter Farkas)
Co-integration in commodity markets Tue,
22.05.2012
10.00 h
UZH,
KOL-G-220
Victor Fedyashov
(Supervisor: Prof. Dr. Mete Soner)
Utility Maximization and Equilibrium with Habit Formation Wed,
02.05.2012
13.00 h
ETH,
HG-G-19.1
Ren Liu
(Supervisor: Prof. Dr. Johannes Muhle-Karbe, Prof. Dr. Mete Soner)
Portfolio Selection under Transaction Costs and Leverage Constraints Wed,
04.04.2012
14.00 h
ETH,
HG-G-19.1
Michèle Sennhauser
(Supervisor: Prof. Dr. Michel Habib)
Efficiency in the Swiss Insurance Industry: An Empirical Analysis Mo,
26.03.2012
16.30 h
UZH,
KOL-H-309
Jamil Bouallai
(Supervisor: Prof. Dr. Markus Leippold)
Sovereign credit risk with exotic contingent claims analysis Do,
15.03.2012
10.15 h
UZH,
SOE-F-8
Danting Liu
(Supervisor: Prof. Dr. Paolo Vanini, Prof. Dr. Walter Farkas)
Active Management of Delta Portfolio Do,
01.03.2012
18.15 h
UZH,
PLD-E-04
Thuy-Mai Hoang
(Supervisor: Prof. Dr. Marc Chesney)
Pricing of a derivative contract hedging an environmental investment Mo,
29.02.2012
11.00 h
UZH,
PLM-103/104
John Reichenbächer
(Supervisor: Prof. Dr. Josef Teichmann)
Convex order properties of discrete realized variance and applications to variance Mo,
27.02.2012
10.00 h
ETH,
HG-G-19.1
Thomas Strahm
(Supervisor: Prof. Dr. Marc Chesney)
Anatomy of Arbitrage in Commodity Markets Mi,
22.02.2012
11.00 h
UZH,
KOL-H-320
Ilya Dubovets
(Supervisor: Prof. Dr. Johannes Muhle-Karbe)
Pricing of Options on Realized Variance in Affine Stochastic Volatility Models Mo,
13.02.2012
09.00 h
ETH,
HG-G-19
Felix Fattinger
(Supervisor: Prof. Dr. Marc Chesney)
Open Interest based Measures of Informed trading in Option Markets Wed,
25.01.2012
10.00 h
UZH,
PLD-E-04

 

2011

Name Thesis Title Time Place
Marie Delalay
(Supervisor: Prof. Dr. Urs Birchler)
Client targeting by microfinance institutions in China Mo,
21.11.2011
09.00 h
UZH,
PLD-E-04
Sebastiano Rossi
(Supervisor: Prof. Dr. Paolo Vanini)
FX Algorithmic Trading Tu,
15.11.2011
16.30 h
UZH,
KOL-N-1/2
Alessandro Gnoatto
(Supervisor: Prof. Dr. Josef Teichmann)
Yield Curve Shapes for Affine Processes on Positive Definite Matrices Tu,
20.09.2011
09.00 h
UZH,
PLD-E-04
Felix Matthys
(Supervisor: Prof. Dr. Markus Leippold)
Endogenous Markov Switching GARCH model Mo,
19.09.2011
14.00 h
UZH,
SOE-F-7
Simone Bernardi
(Supervisor: Prof. Dr. Markus Leippold)
Dispersion Trade under Simple Moment Component Analysis Mo,
19.09.2011
12.45 h
UZH,
KOL-G-220
Stefania Colangelo
(Supervisor: Prof. Dr. Markus Leippold, Dr. Georg Pristas)
An alternative method to Monte Carlo Simulation for pricing complex derivative financial instruments Mo,
19.09.2011
12.00 h
UZH,
KOL-G-220
Christian Raemy
(Supervisor: Prof. Dr. Walter Farkas)
Prediction of derivatives prices using Greeks and investigation of the Malliavin Calculus method for the calculation of Greeks Fr,
02.09.2011
14.00 h
ETH,
HG-G-19.1
Matthias Wyss
(Supervisor: Prof. Dr. Markus Leippold)
Affine Commodity Term Structure Modeling Fr,
26.08.2011
15.00 h
UZH,
PLD-E-04
Jovan Stojkovic
(Supervisor: Prof. Dr. Markus Leippold)
Correlation Processes: Applications to Default Intensity Models Mo,
22.08.2011
17.00 h
UZH,
PLM-103/104
Daniel Velasquez
(Supervisor: Prof. Dr. Marc Paolella)
Empirical Option Pricing Using High Frequency Data Mon,
11.07.2011
 
William Vettorato
(Supervisor: Prof. Dr. Walter Farkas)
Real Rate Swaptions: pricing and calibration Fr,
01.07.2011
17.30 h
ETH,
HG-G-19.1
Kinga Kaczmarek
(Supervisor: Prof. Dr. Walter Farkas)
Empirical analysis of fixed income products: the role of interest rates and spread duration in ALM Mo,
27.06.2011,
16.00 h
ETH,
HG-G-19.1
Nico Achtsis
(Supervisor: Prof. Dr. Walter Farkas)
Optimal execution with temporary and permanent impact functions Fr,
15.04.2011,
13.30 h
ETH,
HG-G-19.2
Daniel Kövi
(Supervisor: Prof. Dr. Christoph Schwab)
hp Finite Element Method pricing algorithms for lookback options in Lévy markets Fr,
15.04.2011,
14.30 h
ETH,
HG-G-19.2
Erwan Croguennoc
(Supervisor: Prof. Dr. Ralf Hiptmair)
Alternating Direction Implicit Splitting Methods for 3D PDE with Applications for the Dupire Equation Mo,
21.02.2011,
10.15 h
ETH,
HG-G-19.2