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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