Examples of dissertations
The dissertations on this page were all highly commended by the Examiners.
We are grateful to those past students who have kindly given their permission to publish their work on this site, and to d-fine GmBH for permission to publish the work of a number of their past delegates to the programme.
Recently submitted dissertations:
Pricing Barrier Options in Foreign Exchange Market by Gary (Ka Ming) Chan
Coherent asset allocation and diversification in the presence of stress events by Alexander Denev
On calibration of the SABR-LIBOR Market Model Correlations - amended version of dissertation submitted by Elidon Dhamo
Oil Futures Term Structure Models by Jose Ortiz
Intrinsic Currency Values by Alexey Simonov
Evaluating sensitivities of Bermudan swaptions by Sebastian Schlenkrich
Asset Allocation under a Conditional Diversification Measure
Valuation of Power Plants and Abatement Costs in Carbon Markets
Dissertations below are grouped according to their main topic:
Dissertations on Optimization
Portfolio Theory and Market Fluctuations
Optimal Portfolios with Bounded Risks
Portfolio Theory - Covariance and the Optimal Portfolio
Dissertations on Credit Derivatives
A comprehensive Analysis of Advanced Pricing Models for Collateralised Debt Obligations
Implied Correlation of synthetic CDOs with liquid markets
Dissertations on Option Pricing
Pricing Discrete Barrier Options with Time-dependent Coefficients
Pricing of Discrete Barrier Options
Arbitrage-free Pricing of Exotic Interest Rate Derivatives in a Short Rate Framework
Option Pricing for Discrete Hedging and Non-Gaussian Processes
Dissertations on Modelling
A Two-Regime Markov Chain Model for the Swaption Matrix
Pricing Inflation-Indexed Derivatives Using the Extended Vasicek Model of Hull and White
Dissertations on Numerical Methods
Nonlinear Black-Scholes Modelling - FDM vs FEM
Valuation of Swing Options and Examination of Exercise Strategies by Monte Carlo Techniques
Miscellaneous
Simulating the dynamics of the risk neutral distribution
Improving Value at Risk Calculations by Using Copulas and Non-Gaussian Margins
Recent examples (September 2008 onwards)
The Hidden Correlation of Collateralized Debt Obligations
Semi-analytic Lattice Integration of a Markov Functional Term Structure Model
Pricing of path-dependent basket options using a copula approach
2010 Additions
Valuation of American Basket Options using Quasi-Monte Carlo Methods
Multi-Asset Utility-Based Pricing
On the Dynamical Risk Properties of a Bond Portfolio
Markov Functional interest rate models with stochastic volatility
Performance of robust model-free hedging via Skorokhod embeddings of digital double barrier options
Pricing and Hedging Life Insurance Guarantees in Incomplete Market Setting
Utility-based pricing and hedging via functional differentiation