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Recent Projects

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):
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: Option Pricing in Illiquid Markets
Author(s): Steven Schärer, MSc in Quantitative Finance, ETH Zurich / University of Zurich
Corporate Partner:
Supervising Professor(s):
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: Pricing VIX Options with Wishart Matrix Affine Jump Diffusions while Preserving Consistency with SPX Options
Author(s): Pascal Caversaccio, MSc in Quantitative Finance, ETH Zurich / University of Zurich
Corporate Partner:
Supervising Professor(s):
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
Title: Do Institutional Investors Pay More Expensive Salaries?
Author(s): Lukas Meier, Master of Arts in Economics and BA RO 2006: field of study — Banking and Finance / University of Zurich
Corporate Partner:
Supervising Professor(s): Alexander Wagner
Title: Pricing and Hedging of Contingent Convertible Bonds
Author(s): Pawel Obara, MSc in Quantitative Finance, ETH Zurich / University of Zurich
Corporate Partner:
Swiss Re
Supervising Professor(s): Walter Farkas
Title: Swiss Private Banking: A New Era for Wealth Management and Banking Advice
Author(s): Corrado Vaerini, Master of Arts in Economics and BA RO 2006: field of study—Banking and Finance, University of Zurich
Corporate Partner:
Lhotse Summit AG
Supervising Professor(s): Karl Schmedders
Title: Negative Interest Rates: An Empirical Study
Author(s): Maria Ossowska, Master of Arts in Economics and BA RO 2006: field of study – Banking and Finance, University of Zurich
Corporate Partner:
Swiss Re
Supervising Professor(s): Walter Farkas