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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.
Name |
Thesis Title |
Time |
Place |
|
Juraj Zelman (Supervisor: Prof. Dr. Josef Teichmann) |
Reinforcement Learning for High-Frequency Market Making | Mon, 25.3.2024, 17:00 | ETH, online |
|
Jan Komisarczyk (Supervisor: Prof Dr. Ryan Cotterell) |
Financial Intelligence Leveraging Open AI's Language Models | Wed, 14.2.2024, 10:00 | ETH, online |
|
Vladimir Solvyev (Supervisor: Prof. Dr. Marc Paolella) |
Enhancing Portfolio Allocation through Sentiment Analysis | Tue, 30.1.2024, 10:00 | UZH, online |
| Name | Thesis Title | Time | Place |
|---|---|---|---|
|
Angela Du (Supervisor: Prof. Dr. Markus Leippold) |
Navigating the Comments with BERT: Social Media's Effect on ESG Ratings | Wed, 20.12.2023, 12:30 | UZH, online |
|
Xinyu Shen (Supervisor: Prof. Dr. Erich Walter Farkas) |
Decoding Financial Reports: Leveraging Machine Learning for Future Performance Prediction | Tue, 19.12.2023, 10:00 am | UZH, online |
|
Urime Destani (Supervisor: Prof.Dr. Pablo Koch Medina) |
Evaluation of the Square-Root-of-Time Rule for Estimating Value at Risk and Expected Shortfall | Fri, 15.12.2023, 9:00 am | UZH, online |
|
Vivian Nange Li (Supervisor: Prof. Dr. Marc Chesney) |
The Impact of Liquidity on EUR-OIS Rates and Implications on Forward Overnight Rates |
Mon, 20.11.2023, 14:00 pm |
UZH, online |
|
Dominic Krummenacher (Supervisor: Prof. Dr. Thorsten Hens) |
Dynamics of News Sentiment and Equity Market Volatility | Fri, 10.11.2023, 16:15 pm | UZH, online |
|
Yafei Liu (Supervisor: Prof. Dr. Marc Paolella) |
An Innovative Way to Generate Views for Black-Litterman Model: a Combination of Pairs Trading and the Black-Litterman Model | Fri, 29.9.2023, 10:30 am | UZH, online |
|
Adrian Sulo Cravotta (Supervisor: Prof. Dr. Markus Leippold) |
Machine Learning Interpretability in Asset Pricing | Wed, 27.9.2023, 12:00 am | UZH, online |
|
Younghoon Kim (Supervisor: Prof. Dr. Claudio Tessone) |
Capital Adequacy Ratios of Decentralized Finance Protocols | Tue, 26.9.2023, 9:30 am | UZH, onsite |
|
Lukas Dekker (Supervisor: Prof. Dr. Erich Walter Farkas) |
Protective Closing Strategy for Option Selling via Deep Reinforcement Learning | Thu, 31.8.2023, 11:00 am | UZH, online |
|
Luca Aschmann (Supervisor: Prof. Dr. Patrick Cheridito) |
Meta-Labeling Architectures for Return Classification | Fri, 25.8.2023, 12:00 | ETH, online |
|
Dennis Arend (Supervisor: Prof. Dr. Thorsten Hens) |
Option Trading using Implied and Breakeven Volatility | Fri, 25.8.2023, 10:00 am | UZH, online |
|
Wouter van Dijk (Supervisor: Prof. Dr. Markus Leippold) |
Pattern and Signal Detection using Machine Learning for Algorithmic Trading | Thu, 24.8.2023, 12:00 am | UZH, online |
|
Weixian Nie (Supervisor: Prof. Dr. Marc Paolella) |
Comparison of Value-at-Risk using regime-switching GARCH models for industrial metals futures | Wed 23.8.2023, 10:00 am | UZH, online |
|
Christoph Mueck (Supervisor: Prof. Dr. Erich Walter Farkas) |
Post-Jump Return Dynamics and News Sentiment | Thu, 10.8.2023, 17:00 | UZH, online |
|
Jonathan Baker (Supervisor: Prof. Dr. Markus Leippold) |
Can Machines Learn to Smile? Forecasting Implied Volatility Movements: A Machine Learning Approach | Fri, 4.8.2023, 9:00 am | UZH, online |
|
Franciele Sampaio dos Santos Safra (Supervisor: Prof. Dr. Markus Leippold) |
Cheap talk in the MSCI World Index: Portfolio and constituents' alignment with net-zero-emission goals using ClimateBERT | Wed, 19.7.2023, 10:00 am | UZH, online |
|
Ernest Digore (Supervisor: Prof. Dr. Marc Paolella) |
Extensions on the Fractional Differencing Methodology for Portfolio Construction | Fri, 7.7.2023, 10:00 am | UZH, online |
|
Haoran Zhu (Prof. Dr. Erich Walter Farkas) |
Mesuring Credit Risk using Quantile Risk Measures | Wed, 28.6.2023, 18:00 | UZH, online |
|
Chongshuo Zhai (Supervisor: Prof. Dr. Marc Paolella) |
CME Term SOFR benchmark replication: an empirical analysis | Mon, 26.6.2023, 10:00 am | UZH, online |
|
Jin Zhang (Supervisor: Prof. Dr. Marc Paolella) |
Enhancing COMFORT with Fractional Difference: An Empirical Study | Fri, 16.6.2023, 10:00 am | UZH, online |
|
Fedor Doval (Supervisor: Prof. Dr. Erich Walter Farkas) |
Comparison between a deterministic and stochastic approach in modelling the behavioural maturity of non-maturing deposits (NMD) | Fri, 2.6.2023, 11:00 am | UZH, online |
|
Sabina Georgescu (Supervisor: Prof. Dr. Markus Leippold) |
Deep SPX & VIX Smile Calibration under Rough Volatility | Thu, 25.5.2023, 12:00 | UZH, online |
|
Julian Fischer (Supervisor: Prof. Dr. Erich Walter Farkas) |
Currency Hedging Strategies for Bond Portfolios | Mon, 8.5.2023, 15:00 | UZH, online |
|
Egemen Erdogdu (Supervisor: Prof. Dr. Patrick Cheridito) |
Analysis of the Distribution of Corporate Defaults with Bayesian Methods | Fri, 5.5.2023, 11:00 | ETH, online |
|
Ting Wai Cheung (Supervisor: Prof. Dr. Helmut Dietl) |
Can "Moneyball" Work in Football? An Analysis on Football Player's Performances and Valuations | Wed, 3.5. 2023, 14:00 | UZH, online |
|
Robin Wegmüller (Supervisor: Prof. Dr. Markus Leippold) |
Systematic exposure assessment using NLP and textual reporting data | Thu, 20.4.2023, 12:00 | UZH, online |
|
Tien-Lin Chou-Huang (Supervisor: Prof. Dr. Michael Wolf) |
Reinforcement Learning for Minimum Variance Portfolios | Tue, 28.3.2023, 16:00 | UZH, online |
|
Mukundhan Jayaraman (Supervisor: Prof. Dr. Erich Walter Farkas) |
Optimal Stop Loss Placement for Intraday Futures Trading | Mon, 23.1.2023, 15:00 | UZH, online |
|
Sophia Gläser (Supervisor: Prof. Dr. Markus Leippold) |
Carbon Tax Uncertainty | Wed, 18.1.2023, 12:00 | UZH, online |
| Name | Thesis Title | Time | Place |
|---|---|---|---|
|
Mathias Ruoss (Supervisor: Prof. Dr. Erich Walter Farkas) |
Option Return Classification with Machine Learning | Tue, 20.12.2022, 17:00 | UZH, online |
|
Jukka Aleksi Ranta-Pere (Supervisor: Prof. Dr. Erich Walter Farkas) |
Forecasting and Trading Volatility Based on the MIDAS Model | Wed. 14.12.2022, 17:00 | UZH, online |
|
Charles Barbizet (Supervisor: Prof. Dr. Felix Kübler) |
Deep Learning in Corporate Bonds Pricing | Mon, 5.12.2022, 10:00 | UZH, online |
|
Alexandru Petrescu (Supervisor: Prof. Dr. Thorsten Hens) |
The Information Content of Currrency Options | Mon, 28.11.2022, 14:00 | UZH, online |
|
Sven Rosenthal (Supervisor: Prof. Dr. Josef Teichmann) |
On Inductive Bias towards Multi-Task Learning of L2-Regularized ReLU Networks | Fri, 4.11.2022, 16:00 | ETH, online |
|
Richard Breitschopf (Supervisor: Prof. Dr. Patrick Cheridito) |
Deep Reinforcement Learning for Optimal Trade Execution | Fri, 28.10.2022, 10:00 | ETH, online |
|
Konrad Müller (Supervisor: Prof. Dr. Josef Teichmann) |
Deep Asset Liability Management | Mon, 24.10.2022, 10:00 | ETH, online |
|
Adam Takacs (Supervisor: Prof. Dr. Erich Walter Farkas) |
Reinforcement Learning for Exotic Derivatives Hedging | Wed, 28.9.2022, 11:00 | UZH, online |
|
Sven Spa (Supervisor: Prof. Dr. Ce Zhang) |
Augmenting Multilingual Language Models with Human Reading Behavior |
Mon,12.9.2022, 9:00 | ETH, online |
|
Min Yang (Supervisor: Prof. Dr. Markus Leippold) |
Recognizing Technical Patterns with Images | Fri, 9.9.2022, 10:00 | UZH, online |
|
Georgios Avgoustinos (Supervisor: Prof. Dr. Erich Walter Farkas) |
Comparison of Statistical and Machine Learning Methods in Modelling Time-Varying Volatility |
Wed, 24.8.2022, 17:00 |
UZH, online |
|
Géraldine Christen (Supervisor: Prof. Dr. Erich Walter Farkas) |
The Effects of Liquidity on Risk Measurement |
Mon, 25.7.2022, 17:00 |
UZH, online |
|
Max Cejka (Supervisor: Prof. Dr. Marc Chesney) |
Financial and Managerial Incentives to Recyle Tantalum, a Strategic Metal, from Electronic Waste: A Real Options Analysis | Tue, 12.7.2022, 14:00 | UZH, online |
|
Malte Schlosser (Supervisor: Prof. Dr. Thorsten Hens) |
Options and Bubbles: An analysis of market cycles and bubble indicators with application to an options strategy | Fri, 8.7.2022, 10:00 | UZH, online |
|
Stefano Nicoli (Supervisor: Prof. Dr. Erich Walter Farkas) |
Deep Portfolio Optimization | Mon, 27.6.2022, 17:00 | UZH, online |
|
Leo Ajdinovic (Supervisor: Prof. Dr. Erich Walter Farkas) |
Benefits, risks and capital efficiency consideration of a reinsurer's investment strategy with EUR liabilities and USD assets | Mon, 2.5.2022, 17:00 | UZH, online |
|
Run Shen (Supervisor: Prof. Dr. Erich Walter Farkas) |
Exploring the Use of Meta-labeling in Financial Markets | Mon, 4.4.2022, 17.00 | UZH, online |
|
Jordan Seligmann (Supervisor: Prof. Dr. Marc Paolella) |
Forecasting Optimal Gross Leverage for Long-Short Portfolios | Tue, 29.3.2022, 10:00 | UZH, online |
|
Jasper Grootscholten (Supervisor: Prof. Dr. Erich Walter Farkas) |
Toward Deep Sector Rotation | Fri. 11.1.2022, 11:15 | UZH, online |
|
Enea Monzio Compagnoni (Supervisor: Prof. Dr. Josef Teichmann) |
Learning Rough Dynamics: A Randomized Signature Approach | Fri, 21.1.2022, 17:00 | ETH, online |
| Name | Thesis Title | Time | Place |
|---|---|---|---|
|
Shuang Zhao (Supervisor: Prof. Dr. Markus Leippold) |
Improving Factor-Based Quantitative Investing by Forecasting Company Fundamentals with Earnings Call Transcripts | Wed, 22.12.2021, 8:15 | UZH, online |
|
Akhilesh Mathur (Supervisor: Prof. Dr. Marc Chesney) |
Optimizing Algorithmic Trading Strategies Through Reinforcement Learning | Fri, 17.12.2021, 15:00 | UZH, online |
|
Hengyu Dai (Supervisor: Prof. Dr. Erich Walter Farkas) |
Short-term-Long-term Portfolio Optimization Trade-Off | Mon, 06.12.2021, 17:00 | UZH, online |
|
Mauricio da Costa Pereira (Supervisor: Prof. Dr. Erich Walter Farkas) |
Portfolio Reconstruction: An Investigation of Brazilian Investment Funds | Mon, 29.11.2021, 17:00 | UZH, online |
|
Filip Sprusansky (Supervisor: Prof. Dr. Erich Walter Farkas) |
Scenario Generation via Generative Adversarial Networks | Mon, 08.11.2021, 17:00 | UZH, online |
|
Silvia Forcina Barrero (Supervisor: Prof. Dr. Erich Walter Farkas) |
Comparative analysis of Machine Learning methods for the estimation of Probability of Default | Tue, 19.10.2021, 11:00 | UZH, online |
|
Paolo Pace (Supervisor: Prof. Dr. Erich Walter Farkas) |
Learning to Manage the Risk that Matters | Tue, 28.9.2021, 11:00 | UZH, online |
|
Francesco Ferrari (Supervisor: Prof. Dr. Erich Walter Farkas) |
Pricing Autocallables in a Heston-like Local-Stochastic Volatility Model | Tue, 21.9.2021, 11:00 | UZH, online |
|
Jiacheng Chen (Supervisor: Prof. Dr. Erich Walter Farkas) |
Measuring innovation: possible factors and the data envelopment analysis | Mon, 16.8.2021, 17:00 | UZH, online |
|
Yixuan Du (Supervisor: Prof. Dr. Markus Leippold) |
Anchor Regression in Asset Pricing | Mon, 12.7.2021, 10:00 | UZH, online |
|
Yuan Chen (Supervisor: Prof. Dr. Michael Wolf) |
Large-scale Portfolio Selection with Turnover Constraints | Thu, 8.7.2021, 16:00 | UZH, online |
|
Emil Ekblom (Supervisor: Prof. Dr. Thorsten Hens) |
Market Volatility Timing Using Gamma | Fri, 25.6.2021, 16:15 | UZH, online |
|
Wenxuan Zhang (Supervisor: Prof. Dr. Erich Walter Farkas) |
Option pricing with stochastic volatility model versus machine learning algorithms | Tue, 8.6.2021, 11:00 | UZH, online |
|
Adam Varkonyi (Supervisor: Prof. Dr. Cosimo Munari) |
The impact of solvency regulation on the investment behavior of financial institutions | Mon, 7.6.2021, 9:00 | UZH, online |
|
Yan Yangchun (Supervisor: Prof. Dr. Josef Teichmann) |
Non-Linear Deep Hedging | Wed, 26.5.2021, 13:00 | ETH, online |
|
Romain Cece (Supervisor: Prof. Dr. Thorsten Hens) |
The Relation Between Implied and Realised Volatility Risk Premia | Fri, 7.5.2021, 16:15 | UZH, online |
|
Merel Turksema (Supervisor: Prof. Dr. Stefan Feuerriegel) |
The Effect of Artificial Intelligence on Firm Performance | Fri, 7.5.2021, 12:15 | ETH, online |
|
Vladimir Saramet (Supervisor: Prof. Dr. Erich Walter Farkas) |
Short-term Electricity Price Forcasting using Stack curves | Tue, 27.4.2021, 11:00 | UZH, online |
|
Aleksandr Tukallo (Supervisor: Prof. Dr. Josef Teichmann) |
Optimal Execution with Reinforcement Learning | Mon, 26.4.2021, 13:00 | ETH, online |
|
Rui Wang (Supervisor: Prof. Dr. Patrick Cheridito) |
Discriminating modelling approaches for Point in Time Economic Scenario Generation | Mon, 26.4.2021, 10:00 | ETH, online |
| Federico Pepe (Supervisor: Prof. Dr. Marc Paolella) | An improved feature screening technique for asset selection in the US market | Tue, 16.2.2021, 11:00 | UZH, online |
|
Shijing Cai (Supervisor: Prof. Dr. Erich Walter Farkas) |
Statistical Learning and Testing for Optimal Portfolio Strategy Choice | Tue, 26.1.2021, 11:00 | UZH, online |
|
Zhiwei Cheng (Supervisor, Prof. Dr. Markus Leippold) |
Factor Tilts of Risk-Efficient Portfolios via Regularization | Wed, 6.1.2021, 12:00 | UZH, online |
|
Yongjie Chen (Supevisor: Prof. Dr. Markus Leippold) |
Do Uncertainty Indices Matter for Asset Pricing - A Machine-Learning Approach | Wed, 6.1.2021, 11:00 | UZH, online |
| Name | Thesis Title | Time | Place |
|---|---|---|---|
|
Michail Ntaoutis (Supervisor: Prof. Dr. Erich Walter Farkas) |
Risk Sharing: between profiatbility ans systemic risk | Mon, 21.12.2020, 12.00 | UZH, online |
|
Valentin Geoffroy (Supervisor: Prof. Dr. Erich Walter Farkas) |
Why is American Option Pricing so Complicated? | Mon, 21.12.2020, 11:00 | UZH, online |
|
Thomas Lagos (Supervisor: Prof. Dr. Erich Walter Farkas) |
Machine Learning Applications for Reverse Stress Testing | Mon, 14.12.2020, 11:00 | UZH, online |
|
Matej Privoznik (Supervisor: Prof. Dr. Markus Leippold) |
Application of Artificial Neural Networks for Option Pricing and Implied Volatility | Mon, 7.12.2020, 13:30 | UZH, online |
|
Alejandro Angeli (Supervisor: Prof. Dr. Markus Leippold) |
On Minimum Drawdown Portfolios | Mon, 7.12.2020, 12:30 | UZH, online |
|
Michal Kobak (Supervisor: Prof. Dr. Erich Walter Farkas) |
Financial Time Series Clustering for Portfolio Optimization | Mon, 30.11.2020, 11:00 | UZH, online |
|
Silvano Marchesi (Supervisor: Prof. Dr. Felix Kübler) |
Deep No-Arbitrage Asset Pricing | Tue, 10.11.2020, 10:00 | UZH, online |
|
David Anderson (Supervisor: Prof. Dr. Erich Walter Farkas) |
Pricing of American Options in a Market Making Environment Using Artificial Neural Networks | Mon, 12.10.2020, 11:00 | UZH, online |
|
David Haab (Supervisor: Prof. Dr. Marc Paolella) |
Jump Adjusted Optimal Currency Exposure | Wed, 16.9.2020, 14:00 | UZH, online |
|
Sayuli Drouard (Supervisor: Prof. Dr. Didier Sornette) |
Effects of controlling or exploiting financial bubbles on market dynamics, in the framework of an agent-based model | Thu, 10.09.2020 | ETH, online |
|
Raphael Burkhardt (Supervisor: Prof. Dr. Marc Paolella) |
Joint Optimization of Assets and Currency Exposures in International Markets | Tue, 08.09.2020, 9:00 | UZH, online |
|
Zita Marossy (Supervisor: Prof. Dr. Cosimo Andrea Munari) |
Frequency Analysis for the Detection of Financial Market Cycles in Risk Factor Models | Wed, 02.09.2020, 9:00 | UZH, online |
|
Daria Filippova (Supervisor: Prof. Dr. Mario V. Wüthrich) |
Modelling Propensity to Type 2 Diabetes using Medical Data | Tue, 01.09.2020, 10:00 | ETH, online |
|
Patrick Lucescu (Supervisor: Prof. Dr. Markus Leippold) |
Testing stock returns predictability using option data: A machine learning approach | Thu, 27.08.2020, 12:00 | UZH, online |
|
Riccardo Tegazi (Supervisor: Prof. Dr. Markus Leippold) |
Machine Learning in International Asset Pricing | Thu, 27.08.2020, 11:00 | UZH, online |
|
Melanie Treyer (Supervisor: Prof. Dr. Ashkan Nikeghbali) |
Deep Generative Models for Credit Risk Analysis | Wed, 26.08.2020, 11:00 | UZH, online |
|
Martynas Mazrimas (Supervisor: Prof. Dr. Erich Walter Farkas) |
Approximation schemes for stochastic differential equations with applications to derivatives pricing and Greek estimations | Wed, 05.08.2020, 11:00 | UZH, online |
|
Xin Li (Supervisor: Prof. Dr. Cosimo-Andrea Munari) |
Backtesting Expected Shortfall with Multinomial Value at Risk Tests |
Thu, 30.07.2020 8:30 |
UZH, online |
|
Miha Kebe (Prof. Dr. Thorsten Hens) |
High Frequency Effects of News Sentiment on FX Shocks | Wed, 22.7.2020, 13:00 | UZH, online |
|
Pierluigi Vallarino (Supervisor: Prof. Dr. Markus Leippold) |
Enter RAX! A new Risk Aversion Index for the US | Tue, 21.07.2020, 12:00 | UZH, online |
|
Richard Gramblicka (Supervisor: Prof. Dr. Josef Teichmann) |
Deep Hedging in an Environment with Market Impact | Mon, 29.06.2020, 10:00 | ETH, online |
|
Jiaxuan Zhao (Supervisor: Prof. Dr. Cosimo Andrea Munari) |
Estimation of Value at Risk in Conditional Models | Thu, 25.06.2020, 9:00 | UZH, online |
|
Marko Vasilic (Supervisor: Prof. Dr. Thorsten Hens) |
Who is on the Other Side? | Thu, 23.04.2020, 17:00 | UZH, online |
|
Nadya Dettwiler (Supervisor: Prof. Dr. Steven Ongena) |
Empirical Evidence on the Pricing of Physical Climate Risk in Financial Markets | Wed, 08.04.2020, 10:45 | UZH, online |
|
Robin Steiger (Supervisor: Prof. Dr. Marc Chesney) |
The Behavior of High-Frequency Traders Under Adverse Market Conditions | Thu, 27.03.2020,10:30 | UZH, online |
|
Simon-Pierre Gadoury (Supervisor: Prof. Dr. Cosimo Munari) |
Performance Analysis and Comparison of Portfolio Immunization Strategies | Thu, 09.01.2020, 9:00 | UZH, PLD-E-04 |
|
Davide Marchini (Supervisor: Prof. Dr. E. Walter Farkas) |
Consistent Scenario Generation of Financial Time Series | Wed, 27.01.2020, 15:00 | UZH, PLD-E-04 |
| Name | Thesis Title | Time | Place |
|---|---|---|---|
|
Megi Jaupi (Supervisor: Prof. Dr. Marc Paolella) |
Generative Adversarial Networks for multivariate return simulation and robust portfolio optimization | Tue, 09.12.2019 | UZH, PLD-E-04 |
|
Karim J. Ferchichi (Supervisor: Prof. Dr. Felix Kübler) |
Mean Variance Portfolio Construction with Recurrent Neural Networks | Thu, 05.12.2019 | UZH, KO2-F-156 |
|
Aron Horvath (Supervisor: Prof. Dr. Thorsten Hens) |
Augmenting Factor Investment Strategies with ESG-Scores | Wed, 04.12.2019 | UZH, KOL-F-103 |
|
Danai Spilioti (Supervisor: Prof. Dr. Marc Paolella) |
Industry Sentiment effect on the cross-section of Industry Returns and Applications in Portfolio Construction | Tue, 03.12.2019 | UZH, KOL-N-1 EV |
|
Sebastian Arrenberg (Supervisor: Prof. Dr. Karl Schmedders) |
Algorithmic trading strategies applied to cryptocurrencies | Mon, 25.11.19 | UZH, PLR-F-111 |
|
Florin Onder (Supervisor: Prof. Dr. Erich Walter Farkas) |
The Cost of Hedging with Options | Mon, 30.09.2019 | UZH, FRE-D-15 |
|
Andrea Ritzmann (Supervisor: Prof. Dr. Christiane Barz) |
Risk-Averse Network Revenue Management | Tue, 17.09.2019, 14:00 | UZH, MOO -E-006 |
|
Ioannis Moustakis (Supervisor: Prof. Dr. Kjell Nyborg) |
Derivatives Hedging and Bank Lending: Evidence from U.S. Bank Holding Companies | Wed, 11.9.2019, 17:30 | UZH, PLR-H-111 |
|
Federico Felician (Supervisor: Prof. Dr. Erich Walter Farkas) |
Approaches to assess similarity of scenarios constituting tail losses in portfolio loss models | Fri, 06.09.2019, 10:00 | UZH, KO2-F-155 |
|
Johan Auster (Supervisor: Prof. Dr. Erich Walter Farkas) |
On the Diffusion Operator Integral Method and the Pricing of American Options | Wed, 04.09.2019, 15:00 | UZH, FRE-D-14 |
|
Till Frederik Furger (Supervisor: Prof. Dr. Markus Leippold) |
ESG Criteria - Characteristic or Covariance? An Alternative Approach to Optimally Integrate ESG into Equity Investing | Fri, 30.08.2019, 11:00 | UZH, PLR-H-111 |
|
Lorenzo Linardi (Supervisor: Prof. Dr. Erich Walter Farkas) |
Multi-Period Behavioral Portfolio Optimization | Fri, 23.08.2019, 10:00 | UZH, AND-2-46 |
|
Jiani Zhou (Supervisor: Prof. Dr. Erich Walter Farkas) |
CVA pricing and sensitivities with wrong-way risk in structural credit risk models for commodities | Tue, 13.08.2019, 14:00 |
UZH, AND- 2.48 |
|
Zan Zuric (Supervisor: Prof. Dr. Josef Teichmann) |
Deep hedging under rough volatility models | Fri, 02.08.2019, 12:30 | ETH, HG G 43 |
|
Lukas Fässler (Supervisor: Prof. Dr. Markus Leippold) |
The Effect of Autocall Features on Structured Products | Fri, 19.07.2019, 13:00 |
UZH, PLD- E-04 |
|
Guillaume Bourquenoud (Supervisor: Prof. Dr. Thorsten Hens) |
Variance-based Risk Overlays | Tue, 16.07.2019, 10:00 | UZH, PLD- E-04 |
|
Jiani Zhou (Supervisor: Prof. Dr. Cosimo-Andrea Munari) |
Risk and Return Replication of Trend Following Strategies |
Tue, 16.07.2019, 9:30 |
UZH, AND 2-48 |
|
Fang Zhang (Supervisor: Prof. Dr. Cosimo-Andrea Munari) |
Estimating and Backtesting Risk Measures | Tue, 16.07.2019, 8:30 | UZH, AND 2-48 |
|
George Negulescu (Supervisor: Prof. Dr. Markus Leippold) |
Optimizations to Monte Carlo Option Pricing Algorithms for Exotic Options | Mon, 15.07.2019, 11:00 | UZH, PLR-H-111 |
|
Sining Liu (Supervisor: Prof. Dr. Ce Zhang) |
Sequential Data Analysis Using Sum-Product Networks | Fri, 28.06.2019, 14:00 | ETH, Cab D78 |
|
Alice Thesling (Supervisor: Prof. Dr. Marc Paolella) |
The use of Independent Component Analysis for Financial Asset Allocation | Tue, 18.06.2019, 10:15 | UZH, PLD-E-04 |
|
Maurizio Di Lucente (Supervisor: Prof. Dr. Markus Leippold) |
Portfolio Optimization using Deep Conditional Portfolio Sorts | Mon, 27.05.2019, 8:00 | UZH, PLD-E-04 |
|
Nikolay Grabchev (Supervisor: Prof. Dr. Erich Walter Farkas) |
IFRS 9 Point-in-Time Probability of Default Modelling with Focus on Mortgages and Significant Increase in Credit Risk
|
Mon, 06.05.2019, 10:00 | UZH, PLD-E-04 |
|
Linda Isabella Hain (Supervisor: Prof. Dr. Marc Paolella) |
Joint Non-Gaussian Cholesky-GARCH Modeling of Asset Returns and Factors with Applications in Portfolio Optimization |
Wed, 24.04.2019, 16:00 |
UZH, PLD-E-04 |
|
Yinhao Zhou (Supervisor: Prof. Dr. Karl Schmedders) |
Fractional Differentiation Method for Financial Market Predictions |
Fri, 05.04.2019, 15:00 |
UZH, MOO-E-006 |
|
Hassan Sadeghi (Supervisor: Prof. Dr. Erich Walter Farkas) |
Risk Measures in Cryptocurrency Market | Thu, 14.03.2019, 10:30 h |
UZH, AND-2.44 |
|
Avdo Shabani (Supervisor: Prof. Dr. Ashkan Nikeghbali) |
Collateral dynamics and repo haircut modeling in financial networks in presence of rehypothecation |
Fri, 08.02.2019, 14:00 h |
UZH, KOL-G-210-EV |
|
Jakub Kowalczyk (Supervisor: Prof. Dr. Pablo Koch-Medina) |
Effects of leverage, carry costs of capital and valuation methods on optimal dividend policy | Fri, 01.02.2019, 8:00 h | UZH, BIN-1-E.01.EV |
| Name | Thesis Title | Time | Place |
| Linyi Jia (Supervisor: Prof. Dr. Walter Farkas) |
Estimating Extreme Risks in Interest Rate | Mon, 17.12.2018 16.00 h |
UZH, KOL-G-222EV |
| Maria Gkaragkouni (Supervisor: Prof. Dr. Walter Farkas) |
A Comparative Analysis of the Regulatory Capital Regimes of Banks and Insurance Companies | Wed, 12.12.2018 09.00 h |
UZH, PLD-E-04 |
| Daria Sakhanda (Supervisor: Prof. Dr. Martin Larsson) |
Risk Aggregation for Private Equity Investments | Wed, 05.12.2018 15.15 h |
ETH, HG-G-19.1 |
| Michael Giegrich (Supervisor: Prof. Dr. Josef Teichmann) |
Topics in Deep Hedging | Fri, 30.11.2018 09.00 h |
ETH, HG-G-19.1 |
| Rong Huang (Supervisor: Prof. Dr. Walter Farkas) |
Post-Earnings-Announcement Drift - Enhanced | Tue, 13.11.2018 16.15 h |
UZH, KOL-G-212 EV |
| Victor E. Lagomarsino (Supervisor: Prof. Dr. Walter Farkas) |
Expansion-Based Methods for VIX Option Pricing | Mon, 05.11.2018 15.15 h |
UZH, PLD-E-04 |
| Nhat Quang Pham Huu (Supervisor: Prof. Dr. Didier Sornette) |
Back-testing of trading strategies based on the Financial Crisis Observatory Output | Mon, 22.10.2018 14.00 h |
ETH, SEC E3 (Scheuchzerstrasse 7) |
| Cédric Piaget (Supervisor: Prof. Dr. Walter Farkas) |
Incorporating Expert Judgement to Model Non-Maturing Deposits | Wed, 05.09.2018 09.00 h |
UZH, PLD-E-04 |
| Kuan Xu (Supervisor: Prof. Dr. Walter Farkas) |
A Comparison between Monte Carlo methods and finite difference method for structured products: Application to the Target Accumulation Redemption Note in Asian Markets | Fri, 31.08.2018 14.00 h |
UZH, AND-2.44 |
| Yu Chen (Supervisor: Prof. Dr. Cosimo-Andrea Munari) |
Callable bonds in internal models for insurers: pricing and risk | Mon, 27.08.2018 09.00 h |
UZH, AND-2.46 |
| Chengjie Zhou (Supervisor: Prof. Dr. Markus Leippold) |
Managing Portfolio Over the Business Cycle | Thu, 16.08.2018 14.15 h |
UZH, RAI-J-031 |
| Felix Ohswald (Supervisor: Prof. Dr. Christian Ewerhart) |
Bitcoin Mining Pools | Thu, 09.08.2018 14.00 h |
UZH, SOF-05 |
| Pascal Patrik Boll (Supervisor: Prof. Dr. Markus Leippold) |
Practitioner Approaches for Real Options - A Comparison with Traditional Real Option Modelling | Thu, 12.07.2018 15.00 h |
UZH, PLD-E-04 |
| Naomi Poole (Supervisor: Prof. Dr. Karl Schmedders) |
Hierarchical Risk Parity | Wed, 11.07.2018 10.15 h |
UZH, MOO-E-06 |
| Thomas Obrist (Supervisor: Prof. Dr. Josef Teichmann) |
Some Aspects of Deep Portfolio Optimization | Tue, 10.07.2018 10.00 h |
ETH, HG-G-19.2 |
| Andreas Kälin (Supervisor: Prof. Dr. Karl Schmedders) |
Sounding the Pareto Frontier | Tue, 19.06.2018 10.00 h |
UZH, MOO-E-06 |
| Patrick Aschermayr (Supervisor: Prof. Dr. Marc Paolella) |
Inference Algorithms for Hidden (Semi) Markov Models | Mon, 11.06.2018 14.00 h |
UZH, PLD-E-04 |
| Qimeng Yin (Supervisor: Prof. Dr. Marc Paolella) |
Deep Reinforcement Learning Portfolio Strategies with Cryptocurrency | Wed, 30.05.2018 10.15 h |
UZH, RAA-E-21 |
| Jan Krepl (Supervisor: Prof. Dr. Marc Paolella) |
Supervised Learning for Financial Market Predictions | Tue, 22.05.2018 12.15 h |
UZH, PLD-E-04 |
| Yang Shuo (Supervisor: Prof. Dr. Felix Kübler) |
Incorporating Firm Characteristics and Trading Strategies into the Black-Litterman Model | Tue, 08.05.2018 10.00 h |
UZH, PLD-E-04 |
| Simon Ruetz (Supervisor: Prof. Dr. Martin Schweizer) |
On viability of financial markets under enlargements of filtration | Tue, 08.05.2018 13.30 h |
ETH, HG-G-19.1 |
| Stefano Fabbri (Supervisor: Prof. Dr. Markus Leippold) |
Capturing The Momentum Effect: A Machine Learning Approach | Fri, 27.04.2018 15.00 h |
UZH, GLT-A-03 |
| Qian Wang (Supervisor: Prof. Dr. Markus Leippold) |
Neural-Network Architectures and Learning Methods for Financial News Understanding | Tue, 24.04.2018 12.15 h |
UZH, GLT-A-04 |
| Florian Spychiger (Supervisor: Prof. Dr. Gerhard Schwabe) |
Consistent and Self-Sustaining Incentives in a Blockchain-Based Solution to the Lemons Problem | Tue, 27.02.2018 11.30 h |
UZH, Ifi 1.D.06 |
| Murat Sümer (Supervisor: Prof. Dr. Walter Farkas) |
Return Drivers of Private Equity Investments | Tue, 20.02.2018 14.00 h |
UZH, KOL-F-103 |
| Tryggvi Thoroddsen (Supervisor: Prof. Dr. Karl Schmedders) |
Proof of Concept for Know Your Customer optimization using Distributed Ledger Technology | Thu, 15.02.2018 12.30 h |
UZH, MOO-E-06 |
| Zifan Zhang (Supervisor: Prof. Dr. Martin Larsson) |
Quanto Adjustment and Volatility Surfaces | Thu, 08.02.2018 17.00 h |
ETH, HG-G-19.1 |
| Pasquale Riviezzo (Supervisor: Prof. Dr. Marc Paolella) |
Calibration of the Implied Volatility Surface using High-Frequency Data | Fri, 02.02.2018 11.00 h |
UZH, PLD-E-04 |
| Martin Waser (Supervisor: Prof. Dr. Marc Paolella) |
A hybrid least-squares support vector machines based local neuro-fuzzy model using a feed-forward artificial neural network for class membership weight generation | Mon, 29.01.2018 13.00 h |
UZH, PLD-E-04 |
| Name | Thesis Title | Time | Place |
| Wei Guo (Supervisor: Prof. Dr. Karl Schmedders) |
Machine Learning Approach to Detect Stock Return Anomalies | Thu, 21.12.2017 10.00 h |
UZH, MOO-E-006 |
| Victoria Luisa Keller (Supervisor: Prof. Dr. Josef Teichmann) |
Pricing of American Options by Markov Chain Methods | Wed, 20.12.2017 10.15 h |
ETH, HG-G-19.1 |
| Antonio Polino (Supervisor: Prof. Dr. Ce Zhang) |
Neural network compression via distillation and quantization | Tue, 28.11.2017 17.30 h |
ETH, CAB-72 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
