Master's Thesis MAS
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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 |
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 |
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 |
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 |
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 |
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? |
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 |
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 |