| Name |
Thesis Title |
Time |
Place |
Date/ Time: Wednesday, May 23, 2012 at 10.00 h
Place: ETH, room HG G 19.2
Speaker:
Title: ""
Supervisor:
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. Erich Walter Farkas)
|
Co-integration in commodity markets |
Tue,
22.05.2012
10.00 h |
UZH,
KOL-G-220 |
Victor Fedyashov
(Supervisor: Prof. Dr. 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. Muhle-Karbe, Prof. Dr. Soner)
|
Portfolio Selection under Transaction Costs and Leverage Constraints |
Wed,
04.04.2012
14.00 h |
ETH,
HG-G-19.1 |
Michèle Sennhauser
(Supervisor: Prof. Dr. 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. 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. Vanini, Prof. Dr. Farkas)
|
Active Management of Delta Portfolio |
Do,
01.03.2012
18.15 h |
UZH,
PLD-E-04 |
Thuy-Mai Hoang
(Supervisor: Prof. Dr. 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. 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. Chesney)
|
Anatomy of Arbitrage in Commodity Markets |
Mi,
22.02.2012
11.00 h |
UZH,
KOL-H-320 |
Ilya Dubovets
(Supervisor: Prof. Dr. 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. 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. Bichler)
|
Client targeting by microfinance institutions in China |
Mo,
21.11.2011
09.00 h |
UZH,
PLD-E-04 |
Sebastiano Rossi
(Supervisor: Prof. Dr. Vanini)
|
FX Algorithmic Trading |
Tu,
15.11.2011
16.30 h |
UZH,
KOL-N-1/2 |
Alessandro Gnoatto
(Supervisor: Prof. Dr. 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. Leippold)
|
Endogenous Markov Switching GARCH model |
Mo,
19.09.2011
14.00 h |
UZH,
SOE-F-7 |
Simone Bernardi
(Supervisor: Prof. Dr. Leippold)
|
Dispersion Trade under Simple Moment Component Analysis |
Mo,
19.09.2011
12.45 h |
UZH,
KOL-G-220 |
Stefania Colangelo
(Supervisor: Prof. Dr. 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. 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. Leippold)
|
Affine Commodity Term Structure Modeling |
Fr,
26.08.2011
15.00 h |
UZH,
PLD-E-04 |
Jovan Stojkovic
(Supervisor: Prof. Dr. Leippold)
|
Correlation Processes: Applications to Default Intensity Models |
Mo,
22.08.2011
17.00 h |
UZH,
PLM-103/104 |
William Vettorato
(Supervisor: Prof. Dr. Farkas)
|
Real Rate Swaptions: pricing and calibration |
Fr,
01.07.2011
17.30 h |
ETH,
HG-G-19.1 |
Kinga Kaczmarek
(Supervisor: Prof. Dr. 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. 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. 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. 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 |