Tin tức và Sự kiện
Thứ Năm, 26/05/2016

Thông báo về các đề tài luận văn tốt nghiệp

PDF.pdfThe followings are the topics proposed by Lecturers for you to choose for your final thesis (obligation for all of you). Some more topics will be announced later.  You can choose one of the topics listed below and then contact the supervisor (for the materials etc).  It should be helpful if you choose a topic and a supervisor as soon as possible.  

Supervisor:  Dr. Nguyen Phuong Anh 

Risk Management: credit risk: modeling, simulation, data analysis.
Software: R
Reference book: Quantitative Risk Management, P. Embrechs et al.

Risk management: liquidity risk: models, simulation, data analysis.
Software: R
Reference book: Quantitative Risk Management, P. Embrechs et al.
Banking efficiency with risk control variables: modeling, data analysis.
Software: R or Stata or Matlab

Risk Management in (or Efficiency of) Insurance company. 
Software: R

Supervisor: Dr. Diep Ho 

Some topics that I have referred my students to can be found from the link: http://www.diepho.info/publications

Typical topics include: 

Risk Management Modeling 
Description: perform: VAR, stress testing, monte-carlo analysis, option pricing, mortality methodologies, copulas and other tools to analyze risk in banks and finance companies

Quantitative Finance or Computational Finance
Description: Programming intensive research using: python, R, Matlab, cython, artficial neural network, genetic algorthm, and statistics in high freq. trading

Venture Capital/Mutual Fund/Privat Equity
Description: qualitative research via interviewing portfolio managers, investors, portfolio companies and other stake holders

Description: qualitative research via interviewing entrepreneurs, incubators, accelerators, angel investors and other stake holders

Supervisor: Dr. Ha Binh Minh 

Project 1: Heston model and application in derivative pricing

Description: The price of derivatives, e.g. European option, can be obtained by solving the Black-Scholes PDE. Unfortunately, the Black-Scholes’ assumption requires the volatility would be constant, which is not the case as market prices show in reality. It comes to the class of models with stochastic volatility, and among them, the Heston model could be the candidate due to its fast and easily implemented. The problems involved to Heston model can be stated as follows:

1. Parameter Estimation for Heston model
2. Numerical Methods for Option Valuation
3. The Quality of Fitting the Heston model to the option prices

Number of students for this project: 1 or 2 

Project 2: Spatial statistics and application in real estate market

Description: People working in real estate market always say that ‘‘The three most important things in real estate are location, location and location.’’ Is it true? And how it can be represented mathematically? With the help of spatial statistics the questions could be solved somehow. We would like to investigate some problems rising in real estate market:

1. Collecting real estate data
2. Characterizing real estate zone
3. Pricing models for real estate

Number of students for this project: 1 or 2


Supervisor: Dr. Dương Đặng Xuân Thành

Students can choose one of the following topics. The details of each topic can be found in this PDF [or, send an email to Dr. Thanh]. 

Calculate the CVA Capital Charge
Calculate the Default Capital Charge
Calculate the Exposure-At-Default (EAD)
Calculate the Effective Maturity
Calculate the Capital Valuation Adjustment (KVA)
Calculate the Net/Gross ratio (NGR)
Calculate the Probablity of Default
Calculate the Simulated Exposure Profile
Calculate the Valuation Adjustment

[To be updated...] 

[Trờ về]

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