Database of Dissertations Securing a Distinction
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.
Dissertations 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