Dissertation topics MSc Finance 2005/06

GENERAL AREAS

1:  Regulation of Financial Institutions.
 
2:  Asset Pricing Models.
 
3:  Value at Risk
 
4:  Macroeconomics and finance.
 
5:  Application of numerical methods to the pricing of contingent claims.
 
6: Corporate finance.
 
7:  Diversification: the costs and benefits of not putting all your eggs in one basket.
 
8:  Single currency in Europe:  Development and outlook.
 
9:  Applied econometrics (to economics, finance or investment).
 
10:  Using Event Study to analyse and explain abnormal returns following economic or firm specific
‘News’.
 
11:   Credit Risk
 
12:   Financial Engineering
 
SUGGESTED TOPICS

OPTION VALUATION WITH LEVY PROCESSES

ISSUES:
Several advanced equity option models are based on the assumption that the stock price follows a Levy
process of some kind. Pricing methods rely on the use of Fast Fourier Transforms. It is interesting to
investigate how the pricing of equity options based on very simple Levy processes compares to that based on
more conventional jump processes英语论文网 【http://www.51lunwen.org】. This project is both technically and computationally demanding.
 
SELECTED READING:
Carr, P. and D. Madan, (1998), “Option Valuation Using the Fast Fourier Transform”, Journal of
Computational Finance 2, pp 61-73.
 
Schoutens, W., Simons, E. and Tistaert, J. (2003), “A Perfect calibration ! Now what ?”, UCS Technical
Report 2003-03, K.U.Leuven, Leuven
 
DATA SOURCE: No Data required
EMPIRICAL INVESTIGATION OF CREDIT SPREADS

ISSUES:
The empirical investigation of credit spreads can provide several insights on many relevant issues such as: 1)
the economic determinants of credit spreads; 2) the impact of corporate events on the level of the company’s
credit spreads; 3) the relation between credit spreads and CDS.
 
SELECTED READING:
Collin-Dufresne, Goldstein and Martin (2001), “The Determinants of Credit Spreads”, Journal of Finance, 56,
6, pp 247-278.
 
Blanco, Brennan and Marsh (2004), “An Empirical Analysis of the Dynamic Relationship Between Investment-
www.defaultrisk.com
grade Bonds and Credit Default Swaps”, can be downloaded from
 
DATA SOURCE: Datastream.
ASSESSING MARKET EFFICIENCY

ISSUES:
 
Testing market efficiency with the potential application to a wide range of different markets. This could include
developed western markets or developing markets in the Far Eas 本文来自：英语论文网 【http://www.51lunwen.org】