Lista temi tesi di Laurea prof. Gnoatto

theses proposal

Lista temi tesi di Laurea prof. Gnoatto

Guarantor
Alessandro Gnoatto
Study courses
Bachelor's degree in Applied Mathematics, Master’s degree in Banking and Finance

Description

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