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Recent Projects

Title: New Campus USI/SUPSI
Author(s): Zhengyu Fan, Youwen Huang, Kristi Joeleht, Mirela Olarasu, and Giulio Re (University of Lugano)
Corporate Partner:
Credit Suisse AG
Supervising Professor(s): Eric Nowak
Title: A Theoretical and Practical Investigation into the Differences Between L1- and L2-norm Optimization Methods—An Implementation for Replicating Portfolios in Life-Insurance Applications
Author(s): Maximilian Rüdisser, Department of Business Administration, University of Zurich
Corporate Partner:
Zurich Insurance Company Ltd
Supervising Professor(s): Karl Schmedders
Title: Evaluation Methodologies for Mutual Fund Managers
Author(s): Luca Alberti, Roberto Gambarasi, Giulia Gandolfi, Vanessa Marchetti, and Faisel Syed (University of Lugano)
Corporate Partner:
BSI SA
Supervising Professor(s): Francesco Franzoni
Title: Pricing of Variable Annuities
Author(s): Kevin Soobratty, MSc in Quantitative Finance, ETH Zurich / University of Zurich
Corporate Partner:
AXA Global Distributor
Supervising Professor(s):
Title: Liquidity Risk Premium in Strategic Asset Allocation
Author(s): Evelyn Venturini, Artyom Machekin, Matej Kristic, Lia Paoletti, and Lagios Athanasios (University of Lugano)
Corporate Partner:
Zurich Insurance Company Ltd
Supervising Professor(s): Francesco Franzoni
Title: The Use of Financial Networks in a Multifactor Pricing Model
Author(s): Alexey Fedotov, Institute for Banking and Finance, University of Zurich
Corporate Partner:
Gazprombank (Switzerland) Ltd
Supervising Professor(s): Walter Farkas
Title: Machine Learning for Financial Applications in Theory and Practice
Author(s): Ivan Sobol, Master of Arts in Economics and BA RO 2006: field of study Banking and Finance, University of Zurich
Corporate Partner:
Zürcher Kantonalbank
Supervising Professor(s): Karl Schmedders
Title: Study and Calibration of a LIBOR Forward Swap Model with Stochastic Volatility
Author(s): Giorgio Mori, Institute for Banking and Finance, University of Zurich
Corporate Partner:
Swiss Life
Supervising Professor(s): Walter Farkas
Title: The Underwriting Cycle
Author(s): Valentine de Weck, MSc in Applied Mathematics, ETH Zurich
Corporate Partner:
US Insurance Company
Supervising Professor(s): Paul Embrechts
Title: Beschaffungsrichtlinie – Planung, Beschaffung, Abwicklung
Author(s): Renato Angelico, Institute for Banking and Finance, University of Zurich
Corporate Partner:
Enera AG
Supervising Professor(s): Walter Farkas