Lista temi tesi di Laurea prof. Gnoatto

Proposta di tesi

Lista temi tesi di Laurea prof. Gnoatto

Garante
Alessandro Gnoatto
Corso di studi
Laurea in Matematica Applicata, Laurea magistrale in Banca e finanza

Descrizione

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.

 

Topics:

 

  1. Wiener Chaos Expansion in Mathematical Finance
  2. Malliavin Calculus, martingale representations and the Clark Ocone Formula in the theory of contingent claim valuation.
  3. Quantization Methods in Finance
  4. Boundary non-attainment in the theory of stochastic differential equations.
  5. Adjoint algorithmic differentiation in Java – Risk management and semi-real time sensitivities.
  6. Fourier Pricing in Java – Calibration of stochastic volatility and jump diffusion models.
  7. Reactive programming in Java with financial applications.
  8. Market incompleteness in the context of xVA calculations.
  9. Multi currency valuation with multiple curves.
  10. Trading in the presence of initial margins: Central Counterparties, MVA, Risk measures and ISDA Simm.
  11. The valuation of collateral choice options in multi currency environment.
  12. When rates can go negative: valuation of collateral floors.
  13. Hedging claims in incomplete markets: an overview of quadratic hedging.
  14. Neural networks as a calibration methodology.
  15. High frequency trading and signal processing.
  16. Stochastic optimal control and dynamic portfolio optimization.
  17. An overview of Basel III, Basel IV, SA-CCR SA-CVA.
  18. An introduction to data science with financial applications.