An individual, practical, technical project will form the basis of your 10,000 word dissertation. This gives you the opportunity to develop, test, practise, and apply the techniques and theories you have gained through your studies. You will be supervised and supported throughout by one of our academic staff. At present about 1/3rd of the students do their dissertation within the financial industry.
Titles of part dissertations are listed below for information purposes only. It is not possible for the dissertations to be purchased or loaned to people outside of the University.
Summer 2009 - Titles
Long Range Dependence and Option Pricing under Fractional Brownian Motion
Hedging Strategies under Stochastic Volatility
Estimating Risk Measure with Extreme Value Theory
Pricing Longevity Risk securities: Stochastic Model and Wang Transformation approaches
Spot Market Forecasting in European Electricity Markets
Stochastic Calculus for Carbon Finance
Monte Carlo with Bridges in the VG model
Market Risk Measurement of Interest Rate Smile/Skew Risk
Pricing Basket Default Swaps and CDO's Based On Copula Function
The Volatility "Leverage Effect" in Financial Markets
Optimal Timing and Optimal Capacity Choice for Wind Power Investment Using Real Option Analaysis
The Analysis and Improvement of Least-Squares Monte Carlo Valuation of American Options
Model risk framework arising from Interest Rate and FX derivatives
Rolling Intrinsic Valuation for Single-Asset and Multi-Asset Storage
Credit Risk Analysis based on GARCH emended KMV model
Quasi-Monte Carlo method and its application in derivative valuation
Studying Long memory Properties in ten Asia-Pacific Stock Markets
Pricing FX Quanto Options under Stochastic Volatility
Empirical Studies on Volatility and Forecasting Abilities in 3 International Stock Markets
The Empirical Research on China's Interest-rate Term Structure
Forecasting Volatility using GARCH Models and Model Averaging Techniques
Development of An Improved Approach to Estimating Default Risk
How Will the Introduction of a Central Clearing Counterparty Impact the Financial System
Spark Spread Options
LIBOR Market Model: Pricing of Vanilla and Exotic Interest Rate Derivatives
Volatility Squared Estimation on a Non-Gaussian EconoPhysics Model
Variance Risk Premium and it's Impact on Implied Volatility Forecasts
Detecting market inefficiencies under Non-Brownian decompositions of the price
Pairs Trading Using a Co-integration Approach
Modelling Implied Volatility
Comparative study of VaR models
A Review and Estimation of Multivariate Volatility Models
On Stop-loss Errors of Financial Trading Strategies: A Stochastic Analysis
Modelling the Market for Permits Under the European Union Emissions Trading Scheme
Option Pricing and Hedging under Incompleteness: Variance Gamma, Heston and Bates Models
Development of a Hedging Framework for a Portfolio of Assets using Standardized Contracts
Valuing American Options by Simulating Lower and Upper Bonds
Valuation of BMW Contract
Non-normality and Liquidity Adjustment to IRB and Concentration Risk Models
A Comparison of Interpolation Methods for Ensuring Arbitrage Free Pricing in the Base Correlation Model
Treasure Bond Portfolio Optimization based on Mean-Variance Approach
Improved multi-level Monte Carlo using Milstein scheme and variance reduction techniques
Accounting Uncertainty in Simple Linear Regression Models of S&P 500 Index Total Return with Bayesian Methodology
The Comparison Study for VaR Estimating Models in Stock Market if Long Memory Exists
An Empirical Analysis of GARCH Models and Model Averaging in Value at Risk Estimation
Empirical Research on Portfolio Selection
Summer 2008 - Titles
Portfolio Management
The Heston Volatility Model and Implementation
Volatility Derivatives Pricing
Comparative Study of Financial Forecasting Using Artificial Neural Network (ANNs)
The Research of the Bank Credit Risk Rating System
An Analysis of Upper Bounds for American Option Prices
Exotic Derivative Valuation and Stochastic Volatility
Pricing and Hedging of Commodity Derivatives under Shari’ah Law
A Study on the Optimal Asset Allocation under a VaR (Value at Risk) Constraint
The Mean and Variance Portfolios Selection
Hedging Risks Using Credit Derivatives or Convertible Bonds Pricing
Stochastic Interest Rate Models (From a Differential Geometric Viewpoint)
Derivative Securities/Asset Pricing/ Stochastic Methods
Pricing European Swaption-LMM Framework
Hybrid Equity Option Pricing
Interest Rate Models
A Dynamic Programming Approach for Pricing CDS and CDS Options
The Applications and Empirical Analysis of Value-at-Risk and Hedging in Risk Management
Evaluation of Interest Rate Derivatives (Interest Caps or Swaption) or Evaluation of Barrier Options
Hedging Using Stock Index Futures
Summer 2007 - Titles
Implementing and Comparative Analysis of Popular CDO Pricing Modules
Pricing Crash Options Using Finite Difference Method
Pricing of a Barrier Option under Delta or Gamma Contraint
Simulation of Crash Option Under Jump Diffusion Models
Analysis on a Structural Model with Jumps for Pricing of Credit Risk
A Convexity Adjustment for a Constant Maturity Swap in the Case of a Term Structure Which is Not Flat
An Empirical Study of Different Data Generating Process (DGP) in Investment Decisions
Pricing Correlation Options with Finite Difference Method
Numerical Methods for Option Pricing When the Underlying is a Jump Diffusion Model
Analysing Time-Varying Exchange Rate Correlation Using Orthogonal GARCH Model
The Black-Litterman Model in Tactical Asset Allocation
Shipping Contract - Pricing and Delta Hedging
Local Volatility
Collaterised Debt Obligations - Fundamentals and Analysis
Indexing Executive Stock Options: A Lattice Approach Evaluation
Generic Option Valuation Principles
An Investigation of the Theory of Pricing Property Total Return Swaps
CDO Valuation Methods and Credit Correlations
Evaluating Greeks in LIBOR Market Models
An Empirical Study of the Dynamics of CDS SPreads and their Determinants
Empirical Study of Constant Proportion Portfolio Insurance
The Application of Prospect Theory and Loss Aversion with Asset Pricing
Forecasting the Bond Yield Movement Using the Kalman Filter
Earning at Risk Model: An Implementation of Hull-White Model
Pricing of Bermudan Swaptions with LIBOR Market Model
A Systematic Comparison of Gaussian Factor Copula and Heavy-Tails Models on Pricing Synthetic CDO
The Development and Evaluation of a New Trinomial Lattice Method
Pricing Equity-Credit Hybrids
On Pricing CD02: A Comparative Study
Credit Risk Models and Implementation
Heston's Stochastic Volatility Model on the Valuation of Forward Start Options
