Possible topics for a Master Thesis under my supervision:
As a general rule I only accept students who attended my lectures and have a sufficient background in probability theory as provided e.g. by the lecture of Prof. Minozzo.
- Wiener Chaos Expansion in Mathematical Finance
- Malliavin Calculus, martingale representations and the Clark Ocone Formula in the theory of contingent claim valuation.
- Quantization Methods in Finance
- Boundary non-attainment in the theory of stochastic differential equations.
- Adjoint algorithmic differentiation in Java – Risk management and semi-real time sensitivities.
- Fourier Pricing in Java – Calibration of stochastic volatility and jump diffusion models.
- Reactive programming in Java with financial applications.
- Market incompleteness in the context of xVA calculations.
- Multi currency valuation with multiple curves.
- Trading in the presence of initial margins: Central Counterparties, MVA, Risk measures and ISDA Simm.
- The valuation of collateral choice options in multi currency environment.
- When rates can go negative: valuation of collateral floors.
- Hedging claims in incomplete markets: an overview of quadratic hedging.
- Neural networks as a calibration methodology.
- High frequency trading and signal processing.
- Stochastic optimal control and dynamic portfolio optimization.
- An overview of Basel III, Basel IV, SA-CCR SA-CVA.
- An introduction to data science with financial applications.