Master's Thesis MAS

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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