Selected project placements and topics from previous years
Past Project Placements
- Bank of America / Merrill Lynch
- Barclays Capital
- BNP Paribas
- Citigroup
- Credit Suisse
- Deutsche Bank
- Ernst & Young
- Goldman Sachs
- HSBC
- IXIS-CIB
- JP Morgan
- Lloyds TSB
- Marney Capital Ltd.
- Morgan Stanley
- Royal Bank of Scotland
- Rogge Global Partners
- Santander
- Swiss Re
- Toronto Dominion Securities
- UBS
Past Project Topics
- Modelling the market information regarding the cash flow of an asset
- Fractality in financial series
- Pricing and hedging variance-related products
- Coherent risk measures and risk-efficiency
- Extending the Heston model to time-dependent parameters
- Approximating Lévy process by hyper-exponential jump diffusions
- Pricing and hedging volatility derivatives in models with jumps
- Wrong way counterparty credit risk
- Multi-factor models of equity returns
- Coherence, utility, and dynamics in capital allocations
- Stochastic volatility: investigation of SABR model
- Pricing GMIBs by Hull-White and LIBOR models
- Convexity adjustments in inflation-linked derivatives
- Gamma-process dynamic modelling of CDS’s with counterparty risk
- Swaption pricing with a log-normal model
- A multi-factor shrinkage estimator for optimal portfolio weights
- Affine stochastic mortality and the Thiele model: an econometric view
- Volatility exposure through VIX and SP500 VIX short-term futures index