Go down to the year of graduation:
[2010] [2009] [2008] [2007] [2006] [2005] [2004] [2003]
2010
| First Name |
Last Name |
Thesis Title |
| Inna |
Shkodrova |
CDO Pricing via Stochastic Filtering |
| Marco |
Tinnirello |
Stochastic Properties of Equity Index Returns and their Conditional Predictability based on Computational Algorithms |
| Kai |
Schönle |
Dependence in commodity markets - empirical evidence and estimation |
| Reto |
Baumgartner |
Searching for Positive Skewness in Convertible Bond Returns |
| Aryan |
Nikeghbali |
Generalized Black-Scholes formulae: an approach through last passage times |
| Claudio |
Topatigh |
Investigating the Predictive Power of Implied Volatilities for Stock Markets |
| Lu |
Lin |
Applications of Hawkes Processes to Finance |
| Tobias |
Reuber |
Pricing and risk management of an example of a 2nd generation exotic option: A trader's view on rainbow barrier options. |
| Florence |
Landmann |
CDs and the Financial Crisis |
| Vinicio |
Marsiaj |
Active Currency Management via the Dynamic Investment Model |
| Bruno |
Troja |
REDD and Real Options |
| Ruxandra |
Farkas |
On the gradient capital allocation principle, portfolio profitability and reinsurance optimization |
| Antoine |
Beuchat |
Semi-analytical solution of a Generalized Delay Logistic Equation |
| Anastasia |
Filimon |
Identification of bubble phases from a CEV-type model |
| Olga |
Voznyuk |
Relationship between interest rates and inflation rate |
| Oliver |
Panchaud |
Economic Capital Assessment: an Application using a conditional Copula Approach |
| Enrique |
Loubet |
On the Mathematical Foundations of Froot-Stein Model |
| Claudio |
Fontana |
Mean-Variance Problems with Applications on Credit Risk Models |
| David |
Lüthi |
State-Dependent Asset Allocation |
| Rahul |
Kaushik |
Wavelet Methods and Hedge Fund Returns |
| Janez |
Bernik |
Some recent Results in the Theory of the Insurance Risk Process |
| Barry |
Thornton |
Electricity Sport Price Modelling and Derivatives Pricing |
| Peter |
Scot |
Hedging and Risk Management of Synthetic Cdas |
| Faris |
Cassim |
Credit Derivatives and their role in the Financial Crisis 2008 - 2009 |
2009
| First Name |
Last Name |
Thesis Title |
| Kemmachat |
Wannaprapa |
Systematic Trading Portfolio |
| Thomas |
Prechal |
Stochastic Correlation Calibration for Hybrids Options |
| Tara |
Van Velzen |
Quadratic Approximations to value at Risk |
| Marjan |
Beheshty |
Inference for Copula Models and Extremal Dependence |
| Christian |
Böhringer |
Correlations between Interest Rates of Different Currencies |
| Claudia |
Roero |
Trading, Modelling and Hedging in the Energy Markets |
| Sigrid |
Källblad |
Utility Maximization in a Markovian Setting with Jumps |
| Xin |
Dong |
Agency Mortgage - Backed Securities |
| Andreas |
Andersson |
Credit Migration Derivatives:-Implementation, Calibration and Pricing |
| Eleonora |
Esterlein |
Describing Market Liquidity Risk Through the Concept of Liquidity Black Holes |
| Biao |
Guo |
Pricing Parisian Convertible Bond under Stochastic Interest Rate |
| Ilya |
Kolpakov |
One-Factor Credit Risk Model: the Link between Physical and Market-Implied Default Probabilities in the Credit Default Swap Market |
| Vanessa |
Robles Juez |
Structured Products Classification in Terms of Risk and Return |
| Thomas |
Siller |
Measuring Marginal Risk Contributions in Credit Portfolios |
| Denis |
Erilov |
Fast price update for multi asset derivatives with the use of radial basis functions interpolation methods |
| Lisa |
Powers |
Numerical Study of Small - Jump Regularization on Exotic Contracts in Lévy Markets |
| Vadim |
Dolgov |
Empirical Investigation of Commodity Futures Returns |
| Erik |
Wallerstein |
Hedge Fund Replication |
| Elena |
Gutiérrez Vidal |
Insurance Liabilities Replication |
| Lilly Xiaoli |
Zuo |
Fixed Income Arbitrage Strategies Theory and Practice |
2008
| First Name |
Last Name |
Thesis Title |
| Martin |
Larsson |
Tail Properties of Multivariate Archimedean Copulas |
| Deborah |
Sill |
Insuring Extreme Loss Events in Operational Risk - Operational Risk Insurance and Securitization for Banks |
| Elise |
Gourier |
Modeling Operational Risk using Extreme Value Theory and Coupulas |
| Michele |
Doronzo |
Empirical Investigation of CO2 Emissions Prices and their Economic Drivers |
| Keng Suan |
Goh |
Optimal Portfolio Selection with Dynamic Conditional Multivariate Garch and Conditional Value-at-Risk Constraints |
| Remo |
Crameri |
Hedging Strategies for European contingent Claims in Presence of Transaction Costs |
| Chris |
Bardgett |
Pricing Convertible Bonds Using Finite Elements |
| Isabelle |
Kuksin Fries |
Valuation of Diversified Financial Institutions |
| José Eduardo |
Homem de Montes |
Time Change Intensity Models for Portfolio Credit Derivatives |
| Simona Sanda |
Diaconu |
Equity Risk Premium, an Empirical Cross-Country Analysis |
| Nikita |
Kuksin |
Risk Management for Insurers and Reinsurers: Complete Hedging of Market Risks |
| Tamàs |
Mayer |
Risk Sharing in Insurance Groups and Group Level Solvency Models |
| Raffaele |
Pellicani |
Modelling Operational Risk an Empirical and Theoretical Investigation |
| Zsolt |
Szabó |
A Static Hedging Method of Barrier Options in an Incomplete Market |
| Natalie |
Larsén |
A Compatative Study of Threshold Selection Procedures in EVT |
| Lorenzo |
Brandi |
An Econometric Analysis of the Rationale of Dual Structure Using a Switching Regression Model |
| Matthias |
Büchler |
A Pricing Method for Derivatives with Stochastically Correlated Underlyings from Different Asset Classes |
| Curdin |
Dalbert |
Aircraft Noise Derivatives: Pricing of Derivatives with an Exotic Underlying |
| Kaveh |
Navaian Ghasemi |
Arithmetic Basket Options. Pricing with Analytical Approximations and Stochastic Covariance |
| Kristoph |
Steikert |
Predominance of Evolutionary Stable Funds in Markets with Heteroganous Investment Rates |
| Takehiko |
Yamaguchi |
Lévy-Driven Modelling of Portfolio Credit Derivatives with Applications to a Synthetic CDO |
| Marius |
Costeniuc |
Entry and Exit Decisions Problem Under the Parisian Criterion |
2007
| First Name |
Last Name |
Thesis Title |
| Régis |
Houssou |
Time-Varying Exposure in Asset-Based Style Models |
| Anna |
Rhyner Solkina |
Macro Hedge Funds: Market Timing, Return Persistence, Risk Measures |
| Gidione |
Oyebanji |
Implementation of the Geman and Roncoroni Threshold Model |
| Christer |
Göransson |
Propertiy Derivatives: Pricing and Hedging of the Total Return Swap |
| Paul |
Hughes |
Modelling Dependence in Hedgefunds |
| Vasiliki |
Mavrou |
Modelling the Dynamics of Electricity Prices |
| Yacine |
Moulay Rchid |
Counterparty Risk Modelling of Range Accrual Swaps |
| Joachim |
Connault |
Stochastic Volatiity Models Based on Time Changes |
| Sebastian Ovidiu |
Matei |
A Multivariate Jump-Diffusion Model and Pricing of Multi Currency Options |
| Daniel |
Seiler |
Backtesting Multiple-Period Forecasting Models - with Application to Credit Exposure Models |
| Natalia |
Dolgova |
Hedging of Barrier Options |
| Nicolas |
Gisiger |
Portfolio Credit Derivatives Based on Rating Migration |
| Urs |
Hasler |
FX Basket Options |
| Delia Elisabeta |
Pirnog Ajtay |
Foreign Exchange Risk: Pricing and Hedging Exotic Instruments |
| Stefan |
Plesko |
Operatinal Risk Quantification with Extreme Value Theory and Actuarial Methods |
| Miret |
Padovani |
A Flow Functional Model |
2006
| First Name |
Last Name |
Thesis Title |
| Laurent |
Cavazzana |
Wavelet Methods for Asset Pricing under L'evy Processes: the Valuation of Compound Options |
| Vidmantas |
Pleta |
Quadratic Models in Credit Product Analysis: Theory and Implementation |
| Songtao |
Wang |
The pricing of oil-linked contingent claims: a comparison of different models |
| Donato |
De Feo |
An Analysis of Hedge Funds Returns |
| Anna |
Georgieva |
The Use of Structured Products: Applications, Benefits and Limitations for the Institutional Investor |
| Kartik |
Reddy |
Real Option Valuation of Investment Decision in Indian Electricity Sector |
| Karin |
Soosova |
A Predictive Model for Event Driven Hedge Fund Returns |
| Antonio |
Del Favero |
Exercises and Other Educational Material to Accompany the Text "Quantitative Risk Management: Concepts, Techniques and Tools" Part I: Basic Concepts in Risk Management |
| Kai |
Schnee |
Dynamical Systems and Market Instabilities |
| Georges |
Steinmann |
Order Book Dynamics and Stochastic Liquidity in Risk-Management |
| Mihnea |
Constantinescu |
Methodologies from Fixed-Income Markets for Pricing Energy Related Contracts |
| Eivind |
Helland |
Valuation of Technology Investment Projects by the Real Options Approach |
| Rheia |
Khalaf |
Replicating Portfolio for the BVG/LPP Minimum Interest Rate |
| Robert |
Robert |
The Enhanced Tilley Bundling Method: Single and Multiple Underlying Assets |
| Gabriel |
Drimus |
Quantitative Strategies for Correlation Trading |
| Stefan |
Kruchen |
Dividend Risk |
| Annelis |
Lüscher |
Synthetic CDO Pricing Using the Double Normal Inverse Gaussian Copula with Stochastic Factor Loadings |
| Blaise |
Roduit |
Fixed Income Performance Attribution - Analysis of a Multi-Currency Bond Portfolio |
| Robert |
Schöftner |
Time-Varying Dependence Modelling of Market and Credit Risk |
2005
| First Name |
Last Name |
Thesis Title |
| Maximilian |
Seifert |
About the stochastic volatility model of Carr, Geman, Madan and Yor |
| Effi |
Shaked |
Dynamic Risk Assessment Model for Long-tail Liabilities |
| Maria Magdalena |
Soare |
A Quantitative Approach for Stress-Testing the Term Structure |
| Ousmane |
Kaba |
Saddlepoint Approximations for Portfolio Credit Risk Modelling |
| Patrick |
Bolliger |
Stochastic lifestyling in the presence of mean-reverting stock prices |
| Giuliana |
Bordigoni |
Robust utility maximization with an entropic penalty term: Stochastic control and BSDE methods |
| Alexis |
Bailly |
Cost of Capital and Surrender Options for Guaranteed Return Life Insurance Contracts |
| Saverio Massi |
Benedetti |
Hedge Fund portfolio selection with higher moments |
| James |
Taylor |
Review of Option Pricing under Stochastic Volatility and Lévy Processes |
| Sujatha |
Prakash Bhagavatula |
On the use of high dimensional Quasi Random Sequences for risk measurement |
| Marco |
Tolotti |
Credit risk under incomplete accounting information: A discretized approach in filtering language |
| Fabian |
Simond |
Credit Risk Stress-Testing: The Case of a Real Estate Crisis |
| Beat |
Huggler |
Modelling Hedge Fund Returns |
| Markus |
Thöny |
Optimal Allocation for a Swiss Bond Portfolio under Parameter and Distribution Uncertainty |
| Stefan |
Denzler |
From Default Probabilities to Credit Spreads: Can Credit Risk Models Explain Market Prices? |
2004
| First Name |
Last Name |
Thesis Title |
| Henric |
Talborn |
A Case Study: Trading in the net asset value discount for Investor |
| Lionel Gomez |
Sanchez |
Pricing Basket of credit derivatives and CDO in factor models framework |
| Anca |
Antonov |
Performance of Modern Techniques for Rating Model Design |
| Riccardo |
Gusso |
An Application of EM Algorithm to Calibration of Dependent Credit Risk Models |
| Mingying |
Zhang |
Regulatory Capital Requirements for Credit Risk under the IRB Approach in the Basel New Capital Accord |
| Adam |
Czub |
Statistical Methods of Valuation and Risk Assessment: Empirical Analysis of Equity Markets and Hedge Fund Strategies |
| Boris Felice |
Papa |
Stock market volatility: A puzzle? An investigation into the causes and consequences of asymmetric volatility |
| Hansjörg |
Furrer |
The Term Structure of Interest Rates as a Random Field. Applications to Credit Risk |
| Cornelia |
Glavan |
An Application of Alternative Risk Measures to Trading Portfolios |
| Gorazd |
Brumen |
Deterministic Solution of American style Optimal Stopping Problems with Levy Driven Underlyings by the Penalty Method |
| Andrea |
Girometti |
Entry and Exit Decisions Problem: A Survey |
| Enrique |
Marrufo Garçia |
Modelling Issuer-Specific Risk for Non-Government Bonds |
2003
| First Name |
Last Name |
Thesis Title |
| David |
Ardia |
Analysis of Dependencies in Low Frequency Financial Data Sets |
| Julien |
Dinh |
30 Years Fixed Rate Mortage Backed Securities Valuation |
| Quan |
Gan |
Modelling the Return Distributions of Multivariate Intra-day FX Series: A Comparative Study |
