Master Thesis: Master of Advanced Studies in Finance

Thesis Presentations (MSc UZH ETH in Quantitative Finance)

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First Name Last Name Thesis Title Colloquium
Inna Shkodrova CDO Pricing via Stochastic Filtering 1-Sep-2010
Marco Tinnirello Stochastic Properties of Equity Index Returns and their Conditional Predictability based on Computational Algorithms 30-Aug-2010
Kai Schönle Dependence in commodity markets - empirical evidence and estimation 23-Aug-2010
Reto Baumgartner Searching for Positive Skewness in Convertible Bond Returns 18-Aug-2010
Aryan Nikeghbali Generalized Black-Scholes formulae: an approach through last passage times 8-Jul-2010
Claudio Topatigh Investigating the Predictive Power of Implied Volatilities for Stock Markets 8-Jul-2010
Lu Lin Applications of Hawkes Processes to Finance 24-Jun-2010
Tobias Reuber Pricing and risk management of an example of a 2nd generation exotic option: A trader's view on rainbow barrier options. 14-Jun-2010
Florence Landmann CDs and the Financial Crisis 14-Jun-2010
Vinicio Marsiaj Active Currency Management via the Dynamic Investment Model 14-Jun-2010
Bruno Troja REDD and Real Options 14-Jun-2010
Ruxandra Farkas On the gradient capital allocation principle, portfolio profitability and reinsurance optimization 18-May-2010
Antoine Beuchat Semi-analytical solution of a Generalized Delay Logistic Equation 20-Apr-2010
Anastasia Filimon Identification of bubble phases from a CEV-type model 20-Apr-2010
Olga Voznyuk Relationship between interest rates and inflation rate 20-Apr-2010
Oliver Panchaud Economic Capital Assessment: an Application using a conditional Copula Approach 30-Mar-2010
Enrique Loubet On the Mathematical Foundations of Froot-Stein Model 24-Mar-2010
Claudio Fontana Mean-Variance Problems with Applications on Credit Risk Models 23-Mar-2010
David Lüthi State-Dependent Asset Allocation 18-Mar-2010
Rahul Kaushik Wavelet Methods and Hedge Fund Returns 11-Mar-2010
Janez Bernik Some recent Results in the Theory of the Insurance Risk Process 9-Mar-2010
Barry Thornton Electricity Sport Price Modelling and Derivatives Pricing 2-Mar-2010
Peter Scot Hedging and Risk Management of Synthetic Cdas 23-Feb-2010
Faris Cassim Credit Derivatives and their role in the Financial Crisis 2008 - 2009 26-Jan-2010


First Name Last Name Thesis Title Colloquium
Kemmachat Wannaprapa Systematic Trading Portfolio 11-Dez-2009
Thomas Prechal Stochastic Correlation Calibration for Hybrids Options 9-Apr-2009
Tara Van Velzen Quadratic Approximations to value at Risk 7-Apr-2009
Marjan Beheshty Inference for Copula Models and Extremal Dependence 18-Mar-2009
Christian Böhringer Correlations between Interest Rates of Different Currencies 16-Mar-2009
Claudia Roero Trading, Modelling and Hedging in the Energy Markets 3-Mar-2009
Sigrid Källblad Utility Maximization in a Markovian Setting with Jumps 26-Feb-2009
Xin Dong Agency Mortgage - Backed Securities 16-Feb-2009
Andreas Andersson Credit Migration Derivatives:-Implementation, Calibration and Pricing 5-Feb-2009
Eleonora Esterlein Describing Market Liquidity Risk Through the Concept of Liquidity Black Holes 5-Feb-2009
Biao Guo Pricing Parisian Convertible Bond under Stochastic Interest Rate 5-Feb-2009
Ilya Kolpakov One-Factor Credit Risk Model: the Link between Physical and Market-Implied Default Probabilities in the Credit Default Swap Market 5-Feb-2009
Vanessa Robles Juez Structured Products Classification in Terms of Risk and Return 5-Feb-2009
Thomas Siller Measuring Marginal Risk Contributions in Credit Portfolios 5-Feb-2009
Denis Erilov Fast price update for multi asset derivatives with the use of radial basis functions interpolation methods 29-Jan-2009
Lisa Powers Numerical Study of Small - Jump Regularization on Exotic Contracts in Lévy Markets 29-Jan-2009
Vadim Dolgov Empirical Investigation of Commodity Futures Returns 22-Jan-2009
Erik Wallerstein Hedge Fund Replication 22-Jan-2009
Elena Gutiérrez Vidal Insurance Liabilities Replication 13-Jan-2009
Lilly Xiaoli Zuo Fixed Income Arbitrage Strategies Theory and Practice 13-Jan-2009


First Name Last Name Thesis Title Colloquium
Martin Larsson Tail Properties of Multivariate Archimedean Copulas 20-Aug-2008
Deborah Sill Insuring Extreme Loss Events in Operational Risk - Operational Risk Insurance and Securitization for Banks 15-May-2008
Elise Gourier Modeling Operational Risk using Extreme Value Theory and Coupulas 27-Mar-2008
Michele Doronzo Empirical Investigation of CO2 Emissions Prices and their Economic Drivers 13-Mar-2008
Keng Suan Goh Optimal Portfolio Selection with Dynamic Conditional Multivariate Garch and Conditional Value-at-Risk Constraints 13-Mar-2008
Remo Crameri Hedging Strategies for European contingent Claims in Presence of Transaction Costs 5-Mar-2008
Chris Bardgett Pricing Convertible Bonds Using Finite Elements 3-Mar-2008
Isabelle Kuksin Fries Valuation of Diversified Financial Institutions 3-Mar-2008
José Eduardo Homem de Montes Time Change Intensity Models for Portfolio Credit Derivatives 26-Feb-2008
Simona Sanda Diaconu Equity Risk Premium, an Empirical Cross-Country Analysis 19-Feb-2008
Nikita Kuksin Risk Management for Insurers and Reinsurers: Complete Hedging of Market Risks 18-Feb-2008
Tamàs Mayer Risk Sharing in Insurance Groups and Group Level Solvency Models 18-Feb-2008
Raffaele Pellicani Modelling Operational Risk an Empirical and Theoretical Investigation 18-Feb-2008
Zsolt Szabó A Static Hedging Method of Barrier Options in an Incomplete Market 18-Feb-2008
Natalie Larsén A Compatative Study of Threshold Selection Procedures in EVT 7-Feb-2008
Lorenzo Brandi An Econometric Analysis of the Rationale of Dual Structure Using a Switching Regression Model 6-Feb-2008
Matthias Büchler A Pricing Method for Derivatives with Stochastically Correlated Underlyings from Different Asset Classes 5-Feb-2008
Curdin Dalbert Aircraft Noise Derivatives: Pricing of Derivatives with an Exotic Underlying 5-Feb-2008
Kaveh Navaian Ghasemi Arithmetic Basket Options. Pricing with Analytical Approximations and Stochastic Covariance 5-Feb-2008
Kristoph Steikert Predominance of Evolutionary Stable Funds in Markets with Heteroganous Investment Rates 4-Feb-2008
Takehiko Yamaguchi Lévy-Driven Modelling of Portfolio Credit Derivatives with Applications to a Synthetic CDO 31-Jan-2008
Marius Costeniuc Entry and Exit Decisions Problem Under the Parisian Criterion 18-Jan-2008


First Name Last Name Thesis Title Colloquium
Régis Houssou Time-Varying Exposure in Asset-Based Style Models 8-Jul-2007
Anna Rhyner Solkina Macro Hedge Funds: Market Timing, Return Persistence, Risk Measures 8-Jul-2007
Gidione Oyebanji Implementation of the Geman and Roncoroni Threshold Model 27-Jun-2007
Christer Göransson Propertiy Derivatives: Pricing and Hedging of the Total Return Swap 28-Feb-2007
Paul Hughes Modelling Dependence in Hedgefunds 5-Feb-2007
Vasiliki Mavrou Modelling the Dynamics of Electricity Prices 5-Feb-2007
Yacine Moulay Rchid Counterparty Risk Modelling of Range Accrual Swaps 5-Feb-2007
Joachim Connault Stochastic Volatiity Models Based on Time Changes 2-Feb-2007
Sebastian Ovidiu Matei A Multivariate Jump-Diffusion Model and Pricing of Multi Currency Options 30-Jan-2007
Daniel Seiler Backtesting Multiple-Period Forecasting Models - with Application to Credit Exposure Models 30-Jan-2007
Natalia Dolgova Hedging of Barrier Options 29-Jan-2007
Nicolas Gisiger Portfolio Credit Derivatives Based on Rating Migration 29-Jan-2007
Urs Hasler FX Basket Options 26-Jan-2007
Delia Elisabeta Pirnog Ajtay Foreign Exchange Risk: Pricing and Hedging Exotic Instruments 26-Jan-2007
Stefan Plesko Operatinal Risk Quantification with Extreme Value Theory and Actuarial Methods 22-Jan-2007
Miret Padovani A Flow Functional Model 12-Jan-2007


First Name Last Name Thesis Title Colloquium
Laurent Cavazzana Wavelet Methods for Asset Pricing under L'evy Processes: the Valuation of Compound Options 13-Mar-2006
Vidmantas Pleta Quadratic Models in Credit Product Analysis: Theory and Implementation 23-Feb-2006
Songtao Wang The pricing of oil-linked contingent claims: a comparison of different models 23-Feb-2006
Donato De Feo An Analysis of Hedge Funds Returns 21-Feb-2006
Anna Georgieva The Use of Structured Products: Applications, Benefits and Limitations for the Institutional Investor 21-Feb-2006
Kartik Reddy Real Option Valuation of Investment Decision in Indian Electricity Sector 21-Feb-2006
Karin Soosova A Predictive Model for Event Driven Hedge Fund Returns 21-Feb-2006
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 16-Feb-2006
Kai Schnee Dynamical Systems and Market Instabilities 7-Feb-2006
Georges Steinmann Order Book Dynamics and Stochastic Liquidity in Risk-Management 7-Feb-2006
Mihnea Constantinescu Methodologies from Fixed-Income Markets for Pricing Energy Related Contracts 6-Feb-2006
Eivind Helland Valuation of Technology Investment Projects by the Real Options Approach 6-Feb-2006
Rheia Khalaf Replicating Portfolio for the BVG/LPP Minimum Interest Rate 2-Feb-2006
Robert Robert The Enhanced Tilley Bundling Method: Single and Multiple Underlying Assets 2-Feb-2006
Gabriel Drimus Quantitative Strategies for Correlation Trading 18-Jan-2006
Stefan Kruchen Dividend Risk 16-Jan-2006
Annelis Lüscher Synthetic CDO Pricing Using the Double Normal Inverse Gaussian Copula with Stochastic Factor Loadings 16-Jan-2006
Blaise Roduit Fixed Income Performance Attribution - Analysis of a Multi-Currency Bond Portfolio 11-Jan-2006
Robert Schöftner Time-Varying Dependence Modelling of Market and Credit Risk 11-Jan-2006


First Name Last Name Thesis Title Colloquium
Maximilian Seifert About the stochastic volatility model of Carr, Geman, Madan and Yor 24-Mar-2005
Effi Shaked Dynamic Risk Assessment Model for Long-tail Liabilities 24-Mar-2005
Maria Magdalena Soare A Quantitative Approach for Stress-Testing the Term Structure 17-Mar-2005
Ousmane Kaba Saddlepoint Approximations for Portfolio Credit Risk Modelling 7-Mar-2005
Patrick Bolliger Stochastic lifestyling in the presence of mean-reverting stock prices 18-Feb-2005
Giuliana Bordigoni Robust utility maximization with an entropic penalty term: Stochastic control and BSDE methods 18-Feb-2005
Alexis Bailly Cost of Capital and Surrender Options for Guaranteed Return Life Insurance Contracts 14-Feb-2005
Saverio Massi Benedetti Hedge Fund portfolio selection with higher moments 14-Feb-2005
James Taylor Review of Option Pricing under Stochastic Volatility and Lévy Processes 8-Feb-2005
Sujatha Prakash Bhagavatula On the use of high dimensional Quasi Random Sequences for risk measurement 4-Feb-2005
Marco Tolotti Credit risk under incomplete accounting information: A discretized approach in filtering language 4-Feb-2005
Fabian Simond Credit Risk Stress-Testing: The Case of a Real Estate Crisis 3-Feb-2005
Beat Huggler Modelling Hedge Fund Returns 21-Jan-2005
Markus Thöny Optimal Allocation for a Swiss Bond Portfolio under Parameter and Distribution Uncertainty 19-Jan-2005
Stefan Denzler From Default Probabilities to Credit Spreads: Can Credit Risk Models Explain Market Prices? 10-Jan-2005


First Name Last Name Thesis Title Colloquium
Henric Talborn A Case Study: Trading in the net asset value discount for Investor 21-May-2004
Lionel Gomez Sanchez Pricing Basket of credit derivatives and CDO in factor models framework 20-Apr-2004
Anca Antonov Performance of Modern Techniques for Rating Model Design 13-Apr-2004
Riccardo Gusso An Application of EM Algorithm to Calibration of Dependent Credit Risk Models 13-Apr-2004
Mingying Zhang Regulatory Capital Requirements for Credit Risk under the IRB Approach in the Basel New Capital Accord 25-Feb-2004
Adam Czub Statistical Methods of Valuation and Risk Assessment: Empirical Analysis of Equity Markets and Hedge Fund Strategies 17-Feb-2004
Boris Felice Papa Stock market volatility: A puzzle? An investigation into the causes and consequences of asymmetric volatility 10-Feb-2004
Hansjörg Furrer The Term Structure of Interest Rates as a Random Field. Applications to Credit Risk 5-Feb-2004
Cornelia Glavan An Application of Alternative Risk Measures to Trading Portfolios 5-Feb-2004
Gorazd Brumen Deterministic Solution of American style Optimal Stopping Problems with Levy Driven Underlyings by the Penalty Method 3-Feb-2004
Andrea Girometti Entry and Exit Decisions Problem: A Survey 2-Feb-2004
Enrique Marrufo Garçia Modelling Issuer-Specific Risk for Non-Government Bonds 30-Jan-2004


First Name Last Name Thesis Title Colloquium
David Ardia Analysis of Dependencies in Low Frequency Financial Data Sets 19-Dec-2003
Julien Dinh 30 Years Fixed Rate Mortage Backed Securities Valuation 4-Dec-2003
Quan Gan Modelling the Return Distributions of Multivariate Intra-day FX Series: A Comparative Study 27-Nov-2003

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