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Selected Projects
Below is the list of selected projects:
2018 Fall
Hybrid Credit Rating Model
Jump Diffusion Model
Multi-Asset Portfolio Management
Model Market Irrationality with Bitcoin and Other Cryptocurrencies
Robust Test of Processes Underlying Leveraged Exchange Traded Funds
2018 Spring
Fund Reconstruction Using Double Sampling Kalman Filtering
Forecasting Corporate Credit Rating using Artifical Neural Network
Deep Learning Applications in Finance
Social Media and News Based Trading Stategies
2017 Fall
Market Volatility Transmission
Foreign Exchange Arbitrage
Bond Relative-Value Investing with Machine Learning
Liquidity Risk & Asset Movements During Financial Events
2017 Spring
Machine Learning Trading Indicators
Price Dynamics and Options Valuation for LETFs
Twitter Sentiment Analysis
Visualization of Volatility Surface and Swaption Market Monitor
2016 Fall
Robo Advisor on Emerging Market ETF
Garch Option Pricing and Volatility Scaling for LETFs
Accenture Project: Quote/Conflict of Interest Analytic Engine
VIX Option Pricing with Stochastic Volatility and Jump Diffusion
2016 Spring
Contingent Convertible Bonds: Assessment of Selected Pricing Models
Fixed Income Volatility Indices
Options Valuation and Calibration for Leveraged Exchange-Traded Funds
Effects of Macroeconomic Factors on Brazilian Private Consumption
Application of Estimating Volatility to the Modeling of EIA
2015 Fall
Foreign Exchange Option Pricing
Predicting S&P500 Component
Dynamics of Stock Price: Reaction to Shocks
Credit Scoring Model
2015 Spring
Copula Methods in CDO Tranche Dependence Structure
Calibrating Heston Model
Electricity Forward Pricing
Customers Sentiment on Life Insurance Industry
Power Laws and BGM Model
Opportunities in Rare Events
Stock Market Sonification
2014 Fall
Stochastic Volatility Models and Applications to Risk
Employee Stock Options and Valuation
Chinese Market Project
Basel III, Expected Positive Exposure and Credit Valuation Adjustment
2014 Spring
2013 Fall
2013 Spring
2012 Fall
2012 Spring
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