MSc in Mathematical Finance Dissertation Topics Assigned 2010/11 version 12 April 2011

Topic No Topic Title 36 16 14 21 27 8 3 39 31 1 15 37 7 25 24 5 23 26 20 29 18 38 17 34 11 4 22 10 28 32 2 12 9 6 13 19 30 33 35 Early exercise boundary for American style floating strike Asian calls Employee stock options Extended call-put symmetry Irreversible investments The Dothan short rate model Growth rate risk Optimal growth with ergodic dynamics Modelling and pricing variance and volatility swaps Markowitz mean-variance portfolio selection with regime switching Options on stock with quadratic volatility Random matrices in Markowitz theory Hedging under the Heston model with jump-to-default Dynamics of volatilities Optimal consumption and investment with bounded downside risk Price bubbles Credit and equity derivatives Pareto equilibrium and no arbitrage Partial hedging in financial markets with a large agent Insider trading Multi-exercise options and swing contracts in energy markets Approximation by binomial trees Options on stocks paying random dividends Seeking arbitrage Approximate hedging under transaction costs General portfolio optimisation Equilibrium pricing in incomplete markets Liquidity risk in continuous time Valuation of mortgage contracts American put under discrete dividends Computing the greeks of financial options Derivatives on non-tradable assets Option hedging under illiquidity Mutual funds and stochastic games Optimising dividend policy Approximate hedging of American options Portfolio selection in behavioural finance Arbitrage in illiquid markets Optimal liquidation of assets Inferring utility from agents choices Title Mr Mr Mr Miss Mr Mr Mr Miss Miss Mr Mr Miss Miss Miss Mr Mr Mr Mr Mr Mr Mr Mr Mr Miss Mr Miss Miss Mr Mr Mr Miss Miss Miss Surname CHEN CHEN CHEN GORELOVA GUO GUO HU KYDYRBEK LAI LEADBEATER LI LI LI LI LI LIU LOPEZ MONTERROSO LU LUO MA MEMON NIRUNPORNPUTTHA SHEN SHEN SIDDIQI TANG WANG YANG YANG YU ZHANG ZHU ZHU Forenames XIN YONG YUAN SOFYA CHUAN SHIJIE CHENG YU FERZANE LUFEI ADAM THOMAS BO LU XIAO XIAOHAN ZHIJING LINGKUN RAMIRO XIAOOU QI ZEHAO MUHAMMAD ASIF SURAVITH QI YITING ALI ZHANG XIAOWEN CHENXI JUN XUAN LIN WENLU CHEN XI Student No 106038939 106018153 106026692 103000993 106042473 106004890 106005175 106033496 106043199 103015118 106038132 106031178 106035076 106026896 106037251 106035490 106031844 106038714 106010946 106034490 106043421 106025559 106045994 106009891 106047699 106028370 105028303 106015179 106027758 103017422 106026086 105015924 106037698 Username xc579 yc667 yc691 sg561 cg688 sg692 cyh501 fk548 ll702 al540 bl582 ll678 xl689 xl655 zl600 ll688 rl674 xl696 ql541 zm536 ma726 sn615 qs522 ys601 as1102 zt520 xw532 cy554 jxy501 ly561 wz572 cz537 xz695