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Recent Projects

Title: Global Multi-Asset Allocation – An estimation of the global market portfolio and a back‐test analysis in the Black–Litterman framework
Author(s): Lisa Mossi, Master of Science in Wealth Management, University of Geneva
Corporate Partner:
Swisscanto Invest by Zürcher Kantonalbank (ZKB)
Supervising Professor(s): Ines Chaieb
Title: Forecasting Volatility: Causality of Index and Constituents
Author(s): Eleni Verteouri, MSc in Quantitative Finance, ETH Zurich / University of Zurich
Corporate Partner:
Bank Vontobel Ltd
Supervising Professor(s): Markus Leippold
Title: Application of Filtering Methods in Finance
Author(s): Fatima Manaa, MSc in Quantitative Finance, ETH Zurich / University of Zurich
Corporate Partner:
Supervising Professor(s): Markus Leippold
Title: Operational Risk Modeling: Analysis of SIX Financial and Availability Losses
Author(s): Stefan Roggo, MSc in Quantitative Finance, ETH Zurich / University of Zurich
Corporate Partner:
SIX Swiss Exchange Ltd
Supervising Professor(s): Paul Embrechts
Title: American Option Pricing Using Filtering
Author(s): Enqi Liang, MSc in Quantitative Finance, ETH Zurich / University of Zurich
Corporate Partner:
Supervising Professor(s): Markus Leippold
Title: Modelling and Analysis of Aviation Insurance Risks with Application to Catastrophe Bonds
Author(s): Anastasia Sycheva, MSc in Statistics, ETH Zurich
Corporate Partner:
Twelve Capital AG
Supervising Professor(s): Paul Embrechts
Title: Pricing S&P 500 Options under a Stochastic Local Volatility Model
Author(s): Sarah Jucker, MSc in Quantitative Finance, ETH Zurich / University of Zurich
Corporate Partner:
Supervising Professor(s): Markus Leippold
Title: Asset Allocation of Pension Funds—A Multinational Analysis of Investment Strategies
Author(s): Philippe Kuhn, Department of Business Administration, University of Zurich
Corporate Partner:
Supervising Professor(s): Karl Schmedders
Title: Option Pricing in Illiquid Markets
Author(s): Steven Schärer, MSc in Quantitative Finance, ETH Zurich / University of Zurich
Corporate Partner:
Supervising Professor(s): Markus Leippold
Title: Pricing and Hedging of Interest Rate Derivatives
Author(s): Alexandre Villard, MSc in Applied Mathematics, ETH Zurich
Corporate Partner:
Fintegral
Supervising Professor(s): Walter Farkas