Master Thesis Presentations


The students of the joint program MSc UZH ETH in Quantitative Finance have to conclude the program with a colloquium talk of approx. 30 minutes in which they present their Master thesis. These colloquium talks are open to public.

Master Thesis Database (Master of Advanced Studies in Finance)


Name Thesis Title Time Place
Manuel Känzig

(Supervisor: Prof. Dr. Karl Schmedders)
Does portfolio allocation using skewness and kurtosis create value for asset managers? - An empirical analysis Tue,
26.09.2017
11.00 h
UZH,
MOO-E-006
Gianluca De Nard

(Supervisor: Prof. Dr. Michael Wolf)
Linear and Nonlinear Shrinkage Estimation of the Covariance Matrix: Portfolio Optimization for Benchmarked Managers Mon,
18.09.2017
15.15 h
UZH,
KOL-N-1 EV
Stefan Altmann

(Supervisor: Prof. Dr. Karl Schmedders)
Estimation of high-dimensional covariance matrices Thu,
14.09.2017
11.00 h
UZH,
MOO-E-006
Tobias Enders

(Supervisor: Prof. Dr. Pablo Koch)
Risk Measures and Tail Risk Tue,
29.08.2017
09.00 h
UZH,
AND-2.48
Othmane Hifdi

(Supervisor: Prof. Dr. Josef Teichmann)
Path Signatures in Regression Analysis Tue,
15.08.2017
09.00 h
ETH,
HG-G-19.1
Sophie Carolina Kolberg

(Supervisor: Prof. Dr. Karl Schmedders)
Portfolios from Sorts - Bayesian Methods for Portfolio Optimization Fri,
28.07.2017
11.00 h
UZH,
MOO-E-006
Alexander Wehrli

(Supervisor: Prof. Dr. Didier Sornette)
Market Impact in a Multivariate Hawkes Process Model Thu,
20.07.2017
10.00 h
SEC E3, SE Kasernenstrasse 11
Elena Mateva

(Supervisor: Prof. Dr. Jean-Charles Rochet)
Bank Capital and Monetary Policy Transmission Thu,
15.06.2017
12.00 h
UZH,
PLD-E-04
Jonathan Koh

(Supervisor: Prof. Dr. Paul Embrechts)
An Extreme Value Theory Based Model for some Proxies of Hail Tue,
30.05.2017
10.00 h
ETH,
HG-F-33.1
Simon Wasle

(Supervisor: Prof. Dr. Karl Schmedders)
Multi-objective Optimization of Reinsurance Treaties Fri,
05.05.2017
14.00 h
UZH,
MOO-E-006
Rebecca Westphal

(Supervisor: Prof. Dr. Martin Larsson)
Empirical Analysis of High-Frequency Financial Data under the Rough Fractional Stochastic Volatility Model Wed,
03.05.2017
14.15 h
ETH,
HG-G-19.1
Fabian S. F. Thut

(Supervisor: Prof. Dr. Mete Halil Soner)
Portfolio Tracking with Market Impact Tue,
18.04.2017
14.00 h
ETH,
HG-G-19.1
Filip Moric

(Supervisor: Prof. Dr. Markus Leippold)
Machine Learning Methods applied in Credit Risk Wed,
12.04.2017
08.00 h
UZH,
PLD-E-04
Tomas Kvasnicka

(Supervisor: Prof. Dr. Marc Paolella)
Filtering of Jumps Using Wavelet Decomposition: Application to Portfolio Selection Mon,
10.04.2017
10.30 h
UZH,
PLD-E-04
Lukas Münstermann

(Supervisor: Prof. Dr. Marc Chesney)
Impact Investing - What's Behind the Name Tue,
04.04.2017
17.00 h
UZH,
RAA-E-2
Urban Ulrych

(Supervisor: Prof. Dr. Walter Farkas)
Optimal Hedging of FX Exposure for International Asset Allocation Fri,
10.03.2017
14.30 h
UZH,
PLD-E-04
Ivana Primorac

(Supervisor: Prof. Dr. Markus Leippold)
Higher Moment Swaps Mon,
23.01.2017
10.15 h
UZH,
PLD-E-04
Filip Vojnic-Zelic

(Supervisor: Prof. Dr. Marc Paolella)
Prediction of Multivariate Asset Returns with Copulas Mon,
19.12.2016
14.00 h
UZH,
PLD-E-06
Martin Stefanik

(Supervisor: Prof. Dr. Paul Embrechts)
Modifications of the Rearrangement Algorithm Thu,
15.12.2016
14.15 h
ETH,
HG-F-26.1
Alexandra Egg

(Supervisor: Prof. Dr. Marc Chesney)
Robustness of Sustainable Investments Wed,
23.11.2016
10.00 h
UZH,
PLD-E-06
Ming Deng

(Supervisor: Prof. Dr. Walter Farkas)
Forecasting Financial Time Series Based On Sentiment Analysis Thu,
17.11.2016
10.00 h
UZH,
PLD-E-06
Simon Skok

(Supervisor: Prof. Dr. Walter Farkas)
Counterparty Risk Management for Central Counterparties after the Global Financial Crisis Tue,
15.11.2016
10.30 h
UZH,
PLD-E-06
Milan Cvetkovic

(Supervisor: Prof. Dr. Walter Farkas)
Alternative Investments in Portfolio Optimization Fri,
07.10.2016
09.00 h
UZH,
PLD-E-06
Oliver Blum

(Supervisor: Prof. Dr. Alexander F. Wagner)
Refining Value Strategies Fri,
09.09.2016
14.00 h
UZH,
PLD-E-06
Alexander Smirnow

(Supervisor: Prof. Dr. Walter Farkas)
Risk measures: recent developments and new ideas Thu,
01.09.2016
10.00 h
UZH,
PLD-E-06
Kevin Smith

(Supervisor: Prof. Dr. Marc Paolella)
Improving the PRS trading strategy by use of Artificial Neural Networks Tue,
30.08.2016
10.00 h
UZH,
PLD-E-06
Zhongheng Chen

(Supervisor: Prof. Dr. Paul Embrechts)
An Extreme Value Theory-Based Hurricane Model with Application to CAT Bonds Wed,
24.08.2016
10.00 h
ETH,
HG-G-26.3
Nina Troha

(Supervisor: Prof. Dr. Markus Leippold)
Optimal investing in marketplace loans Fri,
12.08.2016
11.15 h
UZH,
PLD-E-06
Xian Chen

(Supervisor: Prof. Dr. Paul Embrechts)
Modeling Operational Risk Depending on Covariates: An Empirical Investigation Tue,
28.06.2016
10.00 h
UZH,
PLD-E-06
Jan Tepina

(Supervisor: Prof. Dr. Markus Leippold)
Option Implied Asset Allocation Mon,
27.06.2016
12.30 h
UZH,
PLD-E-06
Michal Svaton

(Supervisor: Prof. Dr. Markus Leippold)
VIX derivatives pricing: The role of multifactor structure and long memory Wed,
22.06.2016
08.15 h
UZH,
PLD-E-06
Kevin Klein

(Supervisor: Prof. Dr. Josef Teichmann)
Order book models and price formation Fri,
17.06.2016
10.15 h
ETH,
HG-G-19.2
Ueli Hofstetter

(Supervisor: Prof. Dr. Thorsten Hens)
Timing Models for Factor Investing Thu,
09.06.2016
19.00 h
UZH,
PLD-E-06
Hasan Karahan

(Supervisor: Prof. Dr. Thorsten Hens)
Cross Section of Stock Returns: on the Empirical Comparison of Investor Sentiment Indexes Thu,
02.06.2016
11.00 h
UZH,
PLD-E-06
Jin Sun

(Supervisor: Prof. Dr. Markus Leippold)
Real-world Pricing and Hedging of Currency Derivatives based on Estimations from Underlying Data under the Benchmark Approach Wed,
01.06.2016
14.00 h
UZH,
PLD-E-06
Joris van der Aa

(Supervisor: Prof. Dr. Marc Paolella)
Application of Non-Gaussian Non-Elliptic GARCH Modeling to Large-Dimensional High-Frequency Financial Assets Thu,
12.05.2016
18.15 h
UZH,
PLD-E-06
Florian Sutter

(Supervisor: Prof. Dr. Thorsten Hens)
The Pricing of VIX Derivatives: Theory and Empirical Performance Tue,
10.05.2016
12.15 h
UZH,
PLD-E-06
Erika Jansson

(Supervisor: Prof. Dr. Walter Farkas)
Volatility Models Applied in Energy Commodity Markets Thu,
21.04.2016
16.00 h
UZH,
PLD-E-06
Antonello Cirulli

(Supervisor: Prof. Dr. Karl Schmedders)
Diversification Benefits Fri,
08.04.2016
15.00 h
UZH,
PLD-E-06
Tom Noppe

(Supervisor: Prof. Dr. Marc Paolella)
Determining the Predictability of Signals Using Kernel Methods Mon,
14.03.2016
10.15 h
UZH,
PLD-E-06
Iosif Faskiotis

(Supervisor: Prof. Dr. Marc Chesney)
Eurozone debt crisis - the case of Greece: an analysis of imbalances, weak banks and sovereigns and spillover effects Tue,
23.02.2016
08.30 h
UZH,
PLD-E-06
Jovan Samardzic

(Supervisor: Prof. Dr. Michel Habib)
Liquidity of Syndicated Loans Wed,
17.02.2016
13.00 h
UZH,
PLD-E-06
Meng Chen

(Supervisor: Prof. Dr. Markus Leippold)
Hedging of Multi-Asset Equity Options Wed,
10.02.2016
14.15 h
UZH,
PLD-E-06
Tatyana Soldatova

(Supervisor: Prof. Dr. Walter Farkas)
Market Implied Dependence Between Life and Market Risks Tue,
26.01.2016
14.00 h
UZH,
PLD-E-06
Jeta Limani

(Supervisor: Prof. Dr. Paul Embrechts)
On dependence modeling and risk diversification Thu,
14.01.2016
10.00 h
ETH,
HG-E-33.5
Gereon M. Sommer

(Supervisor: Prof. Dr. Marc Paolella)
Review of data-snooping methods Thu,
17.12.2015
17.00 h
UZH,
PLD-E-06
Serge Birri

(Supervisor: Prof. Dr. Markus Leippold)
Ross' Recovery Theorem and its critics Mon,
14.12.2015
09.00 h
UZH,
PLD-E-06
Devin Heer

(Supervisor: Prof. Dr. Markus Leippold)
Variance reduction through multilevel Monte Carlo simulation Thu,
22.10.2015
14.00 h
UZH,
PLD-E-06
Deyu Ming

(Supervisor: Prof. Dr. Paul Embrechts)
Designing Catastrophe Bonds for Earthquakes in Yunnan Province of China Wed,
14.10.2015
15.00 h
ETH,
ML-E-13
Stephan Krushev

(Supervisor: Prof. Dr. Walter Farkas)
Conversion and default of contingent bonds - a structural approach Tue,
15.09.2015
14.00 h
UZH,
PLD-E-06
Xiao Ye Zhan

(Supervisor: Prof. Dr. Marloes Maathuis)
Modelling Operational Loss Event Frequencies Wed,
26.08.2015
09.00 h
UZH,
PLD-E-06
Birgit Mairhuber

(Supervisor: Prof. Dr. Marc Chesney)
Payment Adjustments and Permanence Implications for REDD (+) Mon,
24.08.2015
15.00 h
UZH,
PLD-E-06
Marco Laube

(Supervisor: Prof. Dr. Markus Leippold)
Trading strategies based on implied volatility: Theory and Implementation Wed,
19.08.2015
14.00 h
UZH,
PLD-E-06
Yitian Yang

(Supervisor: Prof. Dr. Markus Leippold)
Numerical Methods for the Pricing of American and Exotic Options under Affine Jump-diffusions and Time Changed Levy Processes Wed,
19.08.2015
11.00 h
UZH,
PLD-E-06
Laurent Oberholzer

(Supervisor: Prof. Dr. Karl Schmedders)
Accelerating economics: how GPUs can save you time and money Fri,
10.07.2015
11.00 h
UZH,
MOO-E-006
Rafaela Guberovic

(Supervisor: Prof. Dr. Walter Farkas)
A study of financial constraints in a model for systemic risk Wed,
08.07.2015
17.00 h
UZH,
PLD-E-06
Alfiya Shamisheva

(Supervisor: Prof. Dr. Markus Leippold)
Market Risk in Private Equity Portfolios Mon,
06.07.2015
15.00 h
UZH,
PLD-E-06
Patrick S. Walker

(Supervisor: Prof. Dr. Marc Paolella)
Multivariate Asset Return Modeling Fri,
19.06.2015
13.00 h
UZH,
PLD-E-06
Zeynep Boyali

(Supervisor: Prof. Dr. Jean-Charles Rochet)
Measuring Banks' Liquidity: An Empirical Comparison of Liquidity Mismatch Index (LMI) and Liquidity Creation Measure (LCM) Wed,
10.06.2015
11.30 h
UZH,
PLD-E-06
Johanna Christina Schreier

(Supervisor: Prof. Dr. Markus Leippold)
Linearity-Generating Processes - Theory and Application Wed,
03.06.2015
09.00 h
UZH,
KOL-G-220
Svea Ludwig

(Supervisor: Prof. Dr. Thorsten Hens)
Presentation Forms and Risk-Taking Behaviour of Investors Wed,
20.05.2015
14.00 h
UZH,
PLD-E-06
Hanlin Yang

(Supervisor: Prof. Dr. Martin Schweizer)
On Quadratic BSDEs with Final Condition in L^2 Wed,
13.05.2015
14.00 h
ETH,
HG-G-19.1
Cédric Lang

(Supervisor: Prof. Dr. Alexander F. Wagner)
Corporate spin-offs: abnormal stock returns and operating performance improvements Wed,
13.05.2015
14.00 h
UZH,
PLD-E-06
Markus Regez

(Supervisor: Prof. Dr. Walter Farkas)
Unilateral CVA/DVA pricing with wrong way risk in the energy market Tue,
12.05.2015
13.00 h
UZH,
PLD-E-06
Mateusz Wrňblewski

(Supervisor: Prof. Dr. Thorsten Hens)
Explaining co-movement with co-mentions in financial media Wed,
06.05.2015
11.00 h
UZH,
KOL-G-210
Christian Fiegl

(Supervisor: Prof. Dr. Marc Paolella)
Perfect Timing: Dynamic Asset Allocation with Online Change Point Detection Tue,
07.04.2015
09.30 h
UZH,
PLD-E-06
Eleni Verteouri

(Supervisor: Prof. Dr. Markus Leippold)
Forecasting Volatility: Causality of Index and Constituents Wed,
25.03.2015
09.00 h
UZH,
PLD-E-06
David S. Volkmann

(Supervisor: Prof. Dr. Walter Farkas)
Multivariate ARMA-FIGARCH-MNTS model for portfolio VaR/CVaR prediction Fri,
06.03.2015
15.00 h
UZH,
PLD-E-06
Antoine Lyson

(Supervisor: Prof. Dr. Walter Farkas)
Law-Invariant Risk Measures Fri,
27.02.2015
14.00 h
UZH,
PLD-E-06
Gianluca Marcoli

(Supervisor: Prof. Dr. Markus Leippold)
Comparison of market code-books for S&P 500 options Thu,
12.02.2015
14.00 h
UZH,
KOL-F-103
Louis Tisseau des Escotais

(Supervisor: Prof. Dr. Marc Chesney)
Impact of subsidies on a solar energy investment project Fri,
06.02.2015
09.15 h
UZH,
PLD-E-6
Michel Gba

(Supervisor: Prof. Dr. Karl Schmedders)
Optimal Dynamic Currency Hedging Tue,
27.01.2015
11.00 h
UZH,
KOL-F-103
Tim Marahrens

(Supervisor: Prof. Dr. Markus Leippold)
Sequential Calibration of Option Pricing Models Using Non-Linear Filtering Methods Thu,
11.12.2014
14.00 h
UZH,
KOL-E-13
Thomas Weber

(Supervisor: Prof. Dr. Markus Leippold)
Scenario generation for risk management - implied volatility dynamics modeling Mon,
08.12.2014
14.00 h
UZH,
KOL-N-1
Stefan Roggo

(Supervisor: Prof. Dr. Paul Embrechts)
Operational risk modeling: analysis of SIX financial and availability losses Mon,
15.09.2014
15.00 h
ETH,
HG-G-19.1
Pawel Obara

(Supervisor: Prof. Dr. Walter Farkas)
Pricing and Hedging Contingent Convertible Bonds Wed,
10.09.2014
10.00 h
ETH,
HG-G-19.1
Alessandro Zucconi

(Supervisor: Prof. Dr. Marc Chesney)
Analysis of Sustainability Stock Indexes: The Case of the Dow Jones Sustainability Index Mon,
08.09.2014
14.00 h
UZH,
PLD-E-04
Wladimir Weinbender

(Supervisor: Prof. Dr. Markus Leippold)
Multi-asset option pricing with copulas Mon,
07.07.2014
16.00 h
UZH,
PLD-E-04
Wail El Allali

(Supervisor: Prof. Dr. Arnulf Jentzen)
Extreme statistics for a collection of correlated random variables using Renormalization Group methods Wed,
02.07.2014
15.00 h
ETH,
HG-G-19.2
Jarred Foster

(Supervisor: Prof. Dr. Karl Schmedders)
Structural estimation using global optimization techniques Mon,
12.05.2014
10.00 h
UZH,
PLM-103/104
Ferdinand Langnickel

(Supervisor: Prof. Dr. Thorsten Hens)
Price Predictability in an Evolutionary Finance Model Mon,
31.03.2014
12.15 h
UZH,
KO2-F-172
Ryan Kurniawan

(Supervisor: Prof. Dr. Arnulf Jentzen)
Numerical approximations of stochastic partial differential equations with non-globally Lipschitz continuous nonlinearities Mon,
31.03.2014
10.00 h
ETH,
HG-G-19.1
Steven Schärer

(Supervisor: Prof. Dr. Markus Leippold)
Option pricing in illiquid markets Mon,
17.02.2014
14.00 h
UZH,
PLD-E-04
Martin Andersson

(Supervisor: Prof. Dr. Josef Teichmann)
Models for the Dynamics of Implied Volatility Surfaces Wed,
29.01.2014
08.30 h
ETH,
HG-G-19.1
Felix Stang

(Supervisor: Prof. Dr. Mete Soner)
Robust Hedging Considering Transaction Costs Mon,
27.01.2014
17.00 h
ETH,
HG-G-19.1
Sarah Jucker

(Supervisor: Prof. Dr. Markus Leippold)
Pricing S&P 500 Options under Stochastic Local Volatility Model Thu,
23.01.2014
10.00 h
UZH,
PLD-E-04
Pascal Caversaccio

(Supervisor: Prof. Dr. Markus Leippold)
Pricing VIX Options with Wishart Matrix Affine Jump Diffusions while Preserving Consistency with SPX Options Mon,
13.01.2014
10.00 h
UZH,
PLD-E-04
Annina Nef

(Supervisor: Prof. Dr. Paul Embrechts)
Detecting Causality in Multivariate Time Series Tue,
10.12.2013
15.00 h
ETH,
HG-G-19.2
Benjamin Groth

(Supervisor: Prof. Dr. Walter Farkas)
Trade-Level CVA Allocation Tue,
05.11.2013
09.00 h
ETH,
HG-G-19.2
Anna-Lena Hashagen

(Supervisor: Prof. Dr. Johannes Muhle-Karbe)
The Flesaker-Hughston Model for the Term-Structure of Interest Rates Wed,
23.10.2013
09.00 h
ETH,
HG-G-19.1
Michele di Lascio

(Supervisor: Prof. Dr. Marc Paolella)
Factor Correlation Models: Application to the Capped Volatility Fund Wed,
25.09.2013
11.00 h
UZH,
SOE-E-08
Warrick Poklewski-Koziell

(Supervisor: Prof. Dr. Markus Leippold)
Inflation Modelling: Risk Premia and Derivative Pricing Tue,
24.09.2013
10.15 h
ETH,
HG-G-19.2
Anna Stepasova

(Supervisor: Prof. Dr. Jean-Charles Rochet)
A violation of the law of one price: The Case of Heineken and Heineken Holding Mon,
23.09.2013
15.30 h
UZH,
PLD-E-06
Pavel Riabouchkine

(Supervisor: Prof. Dr. Christoph Schwab)
Computation of Greeks for Calibration and Validation of Financial Market Models Mon,
23.09.2013
09.00 h
ETH,
HG-G-19.2
Peter Gracar

(Supervisor: Prof. Dr. Martin Schweizer)
Aspects of Convex Risk Optimisation Tue,
17.09.2013
14.15 h
ETH,
HG-G-19.1
Jurij-Andrei Reichenecker

(Supervisor: Prof. Dr. Alexander F. Wagner)
Pricing of IPOs Mon,
05.08.2013
11.00 h
UZH,
PLD-E-04
Mario Dal Col

(Supervisor: Prof. Dr. Marc Chesney)
Environmental, Social and Governance (ESG) Measures and Stock Returns Mon,
08.07.2013
10.45 h
UZH,
RAI-F-041
Luca Trovato

(Supervisor: Prof. Dr. Walter Farkas)
Risk measures on probabilities Tue,
18.06.2013
14.00 h
UZH,
PLD-E-04
Mathis Mörke

(Supervisor: Prof. Dr. Marc Chesney)
Stochastic Convenience Yield Models and Pricing Commodities: An Empirical Comparison Tue,
04.06.2013
09.00 h
UZH,
PLD-E-04
Patrick Wyss

(Supervisor: Prof. Dr. Markus Leippold)
A GARCH Option Pricing Model with Johnson-Su Innovations Mon,
27.05.2013
16.00 h
UZH,
SOE-E-04
Fatima Manaa

(Supervisor: Prof. Dr. Markus Leippold)
Application of Filtering Methods in Finance Mon,
13.05.2013
10.00 h
UZH,
FRE-D-14
Martin Pleischl

(Supervisor: Prof. Dr. Walter Farkas)
Detection of financial bubbles with the FTS-GARCH model and extensions Tue,
07.05.2013
14.00 h
UZH,
GLT-A-03
Thomas Cayé

(Supervisor: Prof. Dr. Paul Embrechts)
Single liability claims: stochastic modelling and applications Tue,
30.04.2013
14.00 h
ETH,
HG-G-19.1
Thomas Eichenberger

(Supervisor: Prof. Dr. Markus Leippold)
Alternative Risk Transfer of Life Risks - An Investment Opportunity for Swiss Pension Funds? Mon,
29.04.2013
14.00 h
UZH,
HAH-E-10
Gabriel Doyon

(Supervisor: Prof. Dr. Paul Embrechts)
On Densities of Extreme Value Copulas Tue,
16.04.2013
10.00 h
ETH,
HG-G-19.1
Kévin Soobratty

(Supervisor: Prof. Dr. Markus Leippold)
Pricing of Variable Annuities Mon,
15.04.2013
10.00 h
UZH,
SOE-F-2
Christian Gebauer

(Supervisor: Prof. Dr. Johannes Muhle-Karbe)
Optimal portfolio choice in markets with transaction costs: Comparing methods for determining the no-trade region Fri,
12.04.2013
09.00 h
ETH,
HG-G-19.1
Delphine Savatier

(Supervisor: Prof. Dr. Josef Teichmann)
Multiple Yield Curve Models Thu,
11.04.2013
09.00 h
ETH,
HG-G-19.2
Giorgio Mori

(Supervisor: Prof. Dr. Walter Farkas)
Study and calibration of a LIBOR forward swap model with stochastic volatility Wed,
20.03.2013
10.00 h
UZH,
KOL-E-21
Andreas Vogel

(Supervisor: Prof. Dr. Markus Leippold)
Optimal Portfolio Allocation Under Higher Moments in the Black-Litterman Framework Wed,
27.02.2013
09.00 h
UZH,
PLD-E-04
Enqi Liang

(Supervisor: Prof. Dr. Markus Leippold)
American Option Pricing Using Filtering Mon,
18.02.2013
11.00 h
UZH,
KOL-F-103
Fabian Lutz

(Supervisor: Prof. Dr. Markus Leippold)
Analysis of the performance of turbulence indicators in the prediction of financial crises Mon,
18.02.2013
10.00 h
UZH,
KOL-F-103
Yuefei Huang

(Supervisor: Prof. Dr. Josef Teichmann)
Study of a Distressed Model in Bond Markets Mon,
21.01.2013
17.00 h
ETH,
HG-G-19.1
Jan Cuonz

(Supervisor: Prof. Dr. Marc Chesney)
Pricing and Hedging of Commodity Options under SABR model Thu,
17.01.2013
UZH,
PLD-E-04
István Rédl

(Supervisor: Prof. Dr. Josef Teichmann)
Invariant Measures for Certain Classes of Affine Processes. Tue,
18.12.2012
09.00 h
ETH,
HG-G-19.1
Karl Ruzsics

(Supervisor: Prof. Dr. Paul Embrechts)
A Model for the Pricing of Hurricane Catastrophe Bonds Mon,
17.12.2012
10.15 h
ETH,
HG-G-43
Seth Tolev

(Supervisor: Prof. Dr. Walter Farkas)
Trend and Mean Reversion Modelling in a Market with Heterogeneous Investors: A Dynamical Systems Approach Mon,
19.11.2012
UZH,
PLD-E-04
Victoriia Skrypka

(Supervisor: Prof. Dr. Paul Embrechts)
Equity Haircut Methodologies Mon,
05.11.2012
13.15 h
ETH,
HG-G-19.1
Edgar Mathis

(Supervisor: Prof. Dr. Marc Chesney)
Pricing of Energy Commodity Derivatives Wed,
29.08.2012
11.00 h
UZH,
PLD-E-04
Danzhu Shi

(Supervisor: Prof. Dr. Markus Leippold)
On the Pricing of Contingent Convertible Bonds and Their Influence on Systemic Risk Fri,
03.08.2012
10.00 h
UZH,
PLD-E-04
Luca Dominedó

(Supervisor: Prof. Dr. Walter Farkas)
Pricing and Hedging Counterparty Credit Risk Tue,
24.07.2012
15.30 h
UZH,
PLM-103/104
Olivier Bachem

(Supervisor: Prof. Dr. Walter Farkas)
Pricing Variance Swaps and Corridor variance Swaps under General Dividend Streams Tue,
24.07.2012
14.30 h
UZH,
PLM-103/104
Roger Rüegg

(Supervisor: Prof. Dr. Markus Leippold)
Global Tactical Asset Allocation under Heavy-Tailed Distributions, Joint Extremes and Times-Varying Downside Risks Thu,
19.07.2012
10.00 h
UZH,
PLM-103/104
Kim Schartz

(Supervisor: Prof. Dr. Marc Chesney)
The Financialization of the Food Commodities Market and its Impact on Food Prices Tue,
10.07.2012
11.00 h
UZH,
PLD-E-04
Florian Müller-Reiter

(Supervisor: Prof. Dr. Markus Leippold)
Hybrid Options: Finite Elements for Local Volatility with Stochastic Interest Rates Wed,
13.06.2012
12.00 h
UZH,
PLD-E-04
Cora Drimus

(Supervisor:Prof. Dr. Walter Farkas)
Stochastic Volatility Modeling in Energy Markets Fri,
08.06.2012
10.00 h
UZH,
PLD-E-04
Mark Lickes

(Supervisor: Prof. Dr. Markus Leippold)
COSI Certificates and Exchange Traded Funds: An Investment Decision Thu,
31.05.2012
11.00 h
UZH,
KOL-G-203
Robbin Tops

(Supervisor: Prof. Dr. Christoph Schwab)
Numerical Pricing of American Options for general Bivariate Lévy Models Wed,
23.05.2012
10.00 h
ETH,
HG-G-19.2
Dandan Zhao

(Supervisor: Prof. Dr. Walter Farkas)
Co-integration in commodity markets Tue,
22.05.2012
10.00 h
UZH,
KOL-G-220
Victor Fedyashov

(Supervisor: Prof. Dr. Mete Soner)
Utility Maximization and Equilibrium with Habit Formation Wed,
02.05.2012
13.00 h
ETH,
HG-G-19.1
Ren Liu

(Supervisor: Prof. Dr. Johannes Muhle-Karbe, Prof. Dr. Mete Soner)
Portfolio Selection under Transaction Costs and Leverage Constraints Wed,
04.04.2012
14.00 h
ETH,
HG-G-19.1
Michčle Sennhauser

(Supervisor: Prof. Dr. Michel Habib)
Efficiency in the Swiss Insurance Industry: An Empirical Analysis Mo,
26.03.2012
16.30 h
UZH,
KOL-H-309
Jamil Bouallai

(Supervisor: Prof. Dr. Markus Leippold)
Sovereign credit risk with exotic contingent claims analysis Do,
15.03.2012
10.15 h
UZH,
SOE-F-8
Danting Liu

(Supervisor: Prof. Dr. Paolo Vanini, Prof. Dr. Walter Farkas)
Active Management of Delta Portfolio Do,
01.03.2012
18.15 h
UZH,
PLD-E-04
Thuy-Mai Hoang

(Supervisor: Prof. Dr. Marc Chesney)
Pricing of a derivative contract hedging an environmental investment Mo,
29.02.2012
11.00 h
UZH,
PLM-103/104
John Reichenbächer

(Supervisor: Prof. Dr. Josef Teichmann)
Convex order properties of discrete realized variance and applications to variance Mo,
27.02.2012
10.00 h
ETH,
HG-G-19.1
Thomas Strahm

(Supervisor: Prof. Dr. Marc Chesney)
Anatomy of Arbitrage in Commodity Markets Mi,
22.02.2012
11.00 h
UZH,
KOL-H-320
Ilya Dubovets

(Supervisor: Prof. Dr. Johannes Muhle-Karbe)
Pricing of Options on Realized Variance in Affine Stochastic Volatility Models Mo,
13.02.2012
09.00 h
ETH,
HG-G-19
Felix Fattinger

(Supervisor: Prof. Dr. Marc Chesney)
Open Interest based Measures of Informed trading in Option Markets Wed,
25.01.2012
10.00 h
UZH,
PLD-E-04
Marie Delalay

(Supervisor: Prof. Dr. Urs Birchler)
Client targeting by microfinance institutions in China Mo,
21.11.2011
09.00 h
UZH,
PLD-E-04
Sebastiano Rossi

(Supervisor: Prof. Dr. Paolo Vanini)
FX Algorithmic Trading Tu,
15.11.2011
16.30 h
UZH,
KOL-N-1/2
Alessandro Gnoatto

(Supervisor: Prof. Dr. Josef Teichmann)
Yield Curve Shapes for Affine Processes on Positive Definite Matrices Tu,
20.09.2011
09.00 h
UZH,
PLD-E-04
Felix Matthys

(Supervisor: Prof. Dr. Markus Leippold)
Endogenous Markov Switching GARCH model Mo,
19.09.2011
14.00 h
UZH,
SOE-F-7
Simone Bernardi

(Supervisor: Prof. Dr. Markus Leippold)
Dispersion Trade under Simple Moment Component Analysis Mo,
19.09.2011
12.45 h
UZH,
KOL-G-220
Stefania Colangelo

(Supervisor: Prof. Dr. Markus Leippold, Dr. Georg Pristas)
An alternative method to Monte Carlo Simulation for pricing complex derivative financial instruments Mo,
19.09.2011
12.00 h
UZH,
KOL-G-220
Christian Raemy

(Supervisor: Prof. Dr. Walter Farkas)
Prediction of derivatives prices using Greeks and investigation of the Malliavin Calculus method for the calculation of Greeks Fr,
02.09.2011
14.00 h
ETH,
HG-G-19.1
Matthias Wyss

(Supervisor: Prof. Dr. Markus Leippold)
Affine Commodity Term Structure Modeling Fr,
26.08.2011
15.00 h
UZH,
PLD-E-04
Jovan Stojkovic

(Supervisor: Prof. Dr. Markus Leippold)
Correlation Processes: Applications to Default Intensity Models Mo,
22.08.2011
17.00 h
UZH,
PLM-103/104
Daniel Velasquez

(Supervisor: Prof. Dr. Marc Paolella)
Empirical Option Pricing Using High Frequency Data Mon,
11.07.2011
 
William Vettorato

(Supervisor: Prof. Dr. Walter Farkas)
Real Rate Swaptions: pricing and calibration Fr,
01.07.2011
17.30 h
ETH,
HG-G-19.1
Kinga Kaczmarek

(Supervisor: Prof. Dr. Walter Farkas)
Empirical analysis of fixed income products: the role of interest rates and spread duration in ALM Mo,
27.06.2011,
16.00 h
ETH,
HG-G-19.1
Nico Achtsis

(Supervisor: Prof. Dr. Walter Farkas)
Optimal execution with temporary and permanent impact functions Fr,
15.04.2011,
13.30 h
ETH,
HG-G-19.2
Daniel Kövi

(Supervisor: Prof. Dr. Christoph Schwab)
hp Finite Element Method pricing algorithms for lookback options in Lévy markets Fr,
15.04.2011,
14.30 h
ETH,
HG-G-19.2
Erwan Croguennoc

(Supervisor: Prof. Dr. Ralf Hiptmair)
Alternating Direction Implicit Splitting Methods for 3D PDE with Applications for the Dupire Equation Mo,
21.02.2011,
10.15 h
ETH,
HG-G-19.2



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