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:
- The Multi level Monte Carlo method.
- Solving PDEs using deep learning.
- Interest rate models and the discontinuation of Libor rates.
- BSDEs of quadratic hedging.
- The valuation of basket credit derivatives.
- Reactive programming in Java with financial applications.
- Multi-currency valuation with multiple curves.
- Term structure models with piecewise constant parameters: theory and practice.
- Market incompleteness in the context of xVA calculations.
- The valuation of collateral choice options in multi currency environment.
- Neural networks as a calibration methodology.
- An overview of Basel III, Basel IV, SA-CCR SA-CVA.
- SOFR curve bootstrapping in finmath
- PDE methods in the Finmath library
- Tree methods in the Finmath library
