MASTER’S STUDENTS
Tim Friederich, Stochastic correlation in hedge fund modeling, 2008
Mikhail Krayzler, Intensity based models for fund returns, 2008.
Ryan Holm, Master’s Thesis: Stochastic correlation in credit risk, 2007
Stefan Kraemer, Master’s Thesis: Contingent claim models for hedge funds, 2007
Florian Scheibl, Master’s Thesis: Contingent claim models for hedge funds, 2007
Andreas Kiefer, Master’s Thesis: CPPI Options, 2006
Barbara Goetz, Master’s Thesis: Stochastic correlation for spread options, 2006
Wenbin Kong, Master’s Thesis: Dependence measures in credit risk, 2005
Julia Tetriakova, Master’s Thesis: Stochastic correlation in credit markets, 2005.
Jie Chen, Master’s thesis: The Omega statistic in asset management, 2004
Chris Pollock, Master’s thesis: Finance in the Pharmaceutical Industry, 2003
Nataliya Portman, Master’s thesis: Estimation of correlations from incomplette data, 2003
Nasim Javaherian, Master’s thesis: Estimation of credit default frequencies, 2002
Tomasz Kitta, Master’s thesis: Energy Derivative pricing, 2001.
Tomasz Wojcik, Master’s thesis: Stress Testing, 2001.
Ann Nguyen, Master’s thesis: Portfolio Theory, 2001.
Farzaneh Asgharpour, Master’s thesis: Non-stationary extensions to Markowitz theory, 2002. Present position: instructor, Ivy Tech-Bloomington, Indiana.
Mustafa Choukri, Master’s thesis: Credit Risk, 2002.
Tricia Kay, Master’s thesis: Mean reverting stochastic models in energy markets, 2002.
M. Soltys, Master’s thesis:Optimization, University of Toronto. Date of completion: Sept. 1996.
M. Freiheit, Master’s thesis: Spectral Analysis in Acoustics, University of Toronto. Date of completion: Sept. 1996.
A. Nedelcu, Master’s thesis: Ginzburg Landau vortices, University of Toronto, Date of Completion: Sept 1996.
Dave Saunders., Master’s thesis: Optimization methods in finance. Date of completion: Sept 1997.
Sean Uppal, Master’s thesis: Partial differential equations in finance, Date of completion: Sept 1997.
Marco Pollanen, Master’s Thesis: Elliptic curve cryptography, Date of Completion: Sept 1997.
Norbert Fogarasi, Master’s Thesis: Piecewise constant Hull–White model, Date of Completion: June 1998.
Darron Brewster, Master’s Thesis: Credit Risk: Creditmetrics, Date of completion: Sept. 1998.
Hayssam Hulays, Master’s Thesis: The CreditMetrics Document, Date of completion: Sept. 1998.
Kenwyn Warner, Master’s Thesis: Credit Risk Premia for European Options, Date of completion: Sept. 1998.
Jacqueline Law, Master’s Thesis: Calibration of Interest Rate Models, Date of completion: May 1999.
Nigel Hernandez, Master’s Thesis: Stochastic Programming in Portfolio Theory, Date of completion: May 2000.
Alejandro de los Santos, Master’s Thesis: Currency hedging, Date of completion: Sept 2000.
Rafa Santander, Master’s Thesis: Mathematical aspects of Financial Risk Management, Date of completion: Jan 2000.
Ed Watson, Master’s Thesis: Hedging Credit Risk, Date of completion: Sept. 2000.