|Date:||11 December 2019|
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?
Tags: Thesis Supervisors