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frenchX
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Joined: March 29th, 2010, 6:54 pm

nice PhD thesis

September 16th, 2010, 12:03 pm

Here I will post some thesis dissertation that I've found quite interesting.The first one of :Portfolio Optimization with Tail Risk Measures and Non-Normal Returns by Zhu, Minfeng Seems to be very complete.
Last edited by frenchX on September 15th, 2010, 10:00 pm, edited 1 time in total.
 
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TheGoodOne
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Joined: August 14th, 2006, 7:17 pm

nice PhD thesis

September 22nd, 2010, 4:02 pm

nice... thanks for posting
 
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frenchX
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Joined: March 29th, 2010, 6:54 pm

nice PhD thesis

September 22nd, 2010, 7:53 pm

So now I will post three recent bachelor thesis from a good country : the Sweeden !Incomplete Market Models and The Housing MarketPredicting the smile: A study on the properties of the volatility surface of S&P Composite 500 Index optionDodging the Leveraged ETF Bullet - An Innovative Trading Strategy
 
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frenchX
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Joined: March 29th, 2010, 6:54 pm

nice PhD thesis

September 30th, 2010, 2:19 pm

A Msc thesis from a guy from Oxford, UK about Performance of robust model-free hedging via Skorokhod embeddings of digital double barrier options
Last edited by frenchX on September 30th, 2010, 10:00 pm, edited 1 time in total.
 
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Amb
Posts: 61
Joined: July 4th, 2007, 3:11 pm

nice PhD thesis

October 1st, 2010, 9:27 am

If I may frenchX, your last link is not a PhD thesis (in Oxford we would rather say DPhil thesis) but a MSc. dissertation...
 
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frenchX
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Joined: March 29th, 2010, 6:54 pm

nice PhD thesis

October 1st, 2010, 9:37 am

Sorry I didn't notice. It's corrected now, thanks
 
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frenchX
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Joined: March 29th, 2010, 6:54 pm

nice PhD thesis

October 1st, 2010, 9:39 am

Here a big PhD thesis (456 pages)Ph.D Thesis: An Analysis of Hedge Fund Strategies
 
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frenchX
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Joined: March 29th, 2010, 6:54 pm

nice PhD thesis

November 7th, 2010, 4:54 pm

I can't resist to put this one The Analysis of PDEs Arising in Nonlinear and Non-standard Option PricingI was searching for a good book about that in addition of the Paul's ones and I just found that !
Last edited by frenchX on November 6th, 2010, 11:00 pm, edited 1 time in total.
 
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deskquant
Posts: 48
Joined: October 24th, 2010, 2:54 am

nice PhD thesis

December 29th, 2010, 1:59 am

Could not find the Dodging the bullet one, please repost thanks.
 
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frenchX
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Posts: 5911
Joined: March 29th, 2010, 6:54 pm

nice PhD thesis

December 29th, 2010, 3:20 pm

This is a master thesis. I will try to contact the authors to have another available link. It seems that the link is broken because the essay is under publication in a journal.
Last edited by frenchX on December 28th, 2010, 11:00 pm, edited 1 time in total.
 
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Leptokurtic
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Joined: October 1st, 2014, 1:46 pm

nice PhD thesis

October 3rd, 2014, 4:16 pm

Hi guys,Regarding nonlinear problems, I just wanted to let you know that I recently coauthored the book Nonlinear Option Pricing with Pierre Henry-Labordere: http://www.crcpress.com/product/isbn/9781466570337Quick overview: Our book covers a wide variety of topics such as American options, uncertain volatility, transaction costs, illiquid markets, super-replication under delta and gamma constraints, uncertain mortality, different rates for borrowing and lending, CVA, smile calibration of local stochastic volatility models, path-dependent volatility models, and local correlation models, etc.The purpose of the book is to present and compare various numerical methods for solving high-dimensional nonlinear problems arising in option pricing. To the best of our knowledge, this is the first monograph dedicated to nonlinear option pricing. We present many different methods in the same book, when usually they are described separately. This allows us to compare their efficiency. Certain methods suggested in this book are original contributions to the field, including regression methods and dual methods for pricing chooser options, the Monte Carlo approaches for pricing in the uncertain lapse and mortality model and in the uncertain volatility model, the Markovian projection method and the particle method for calibrating local stochastic volatility models to market prices of vanilla options, with or without stochastic interest rates, the affine transform technique for building local correlation models that calibrate to market prices of vanilla options on a basket, and a new stochastic representation of solutions of some nonlinear PDEs based on marked branching diffusions.We focus on general mathematical tools rather than on specific financial questions. The main advantage in doing so is that the tools can be straightforwardly used by readers to solve their own (nonlinear) problems. We strove to make the book reasonably comprehensive, and to find a right balance between ideas, mathematical theory, and numerical implementations. We devote ample space to the theory: the relevant mathematical notions are introduced, the important results are given, and some proofs are either detailed or sketched when needed, or when it is instructive. But the main focus is deliberately on ideas and on numerical examples, which we believe help a lot in understanding the tools and building intuition. In this respect, this book is meant to be a practitioner's guide: all the mathematical methods that are introduced are illustrated on practical nonlinear option pricing problems. In layman's terms, these problems have been considered in our careers as quantitative analysts.The table of contents of the book, as well as sample pages, are available at books.google.com/books?isbn=1466570334.I hope this was informative!
 
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Cuchulainn
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Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
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nice PhD thesis

October 5th, 2014, 3:24 pm

Leptokurtic,Can you say what this is?QuoteNonlinear Monte Carlo algorithms for some semilinear PDEs
My C++ Boost code gives
262537412640768743.999999999999250072597198185688879353856337336990862707537410378210647910118607313

http://www.datasimfinancial.com
http://www.datasim.nl
 
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Amb
Posts: 61
Joined: July 4th, 2007, 3:11 pm

nice PhD thesis

October 5th, 2014, 5:54 pm

Thank you for pointing that out Leptokurtic. I am particularly interested in the last chapter (I read the corresponding article few years back).Amb
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