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Artem Tsvetkov

Date:11 December 2019
Artem Tsvetkov
Artem Tsvetkov

I am interested in supervising MSc theses related to Derivatives Pricing. A few possible directions are:

  • Pricing exotic options. The range of topics can be very broad: from multi-currency barrier options to CoCo bonds, to IR options in the post-Libor era.
  • What are the driving factors behind seeming market inefficiency like violation of  covered interest rate parity in FX or persistent bond-CDS basis in Credit?
  • Valuations adjustments, like CVA, FVA, MVA, KVA. The topics can discuss the fundamental principles of these adjustments or an efficient way of computation.
  • Modelling yield curves, commodities, or FX dynamics. How can we model and justify the dynamics, in particular at long horizons, like 10-20 years?