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be sought only by way of the Programme Director. Please note: Unauthorised absence will jeopardise your claim to have completed the registration requirements of the College. 10 III. RECOMMENDED REPORTS The following represent a sample of reports that were considered to be of good quality that were submitted for MSc Risk Management and Financial Engineering from the previous two years. Author Year Title Nada Al Bastaki 2007/8 The predictability of sukuks and their diversification benefits Zhaowei Liu 2007/8 Predictability of stock returns Valerie Odette Stephan 2007/8 Impact of Solvency II pm the structures of Insurance linked securities www.szdhsjt.com Izaskun Merino Sautua 2007/8 Optimal Structured Product Allocation Xizhe Tan 2007/8 Bubbles in asset prices in markets of different market efficiency level Nikolaus von Solodkoff 2007/8 Development of Trading Models Guowen Qin 2007/8 Trading Strategy on Volatility Chenghan Wen 2007/8 International portfolio diversification Ayisha Cecile Fraser 2007/8 Tactical Asset Allocation (area) Yizhou Wang 2007/8 The Black-Litterman portfolio allocation model Lorenzo Diurni 2007/8 Default correlation Pavel Zhdanov 2007/8 Asset Allocation and Regime Switching Models Issues Haijian Fan 2006/7 Synthetic CDO Pricing and Hedging using Two-Factor Portfolio Credit Model Achilleas Michos 2006/7 Pricing Derivatives using Monte Carlo Techniques Constantinos Giachalis 2005/7 Trading Strategy on Volatility Andrew Gibbs 2005/7 Calibrating and Pricing Options using the CEV Model as an Alternative to Local Volatility The following projects were all submitted for MSc Finance and represent a sample of risk-focused reports that were considered to be of good quality during the previous years. Author Year Title Atak Kara 2006/7 Option Pricing with Support Vector Machines Marc Middelmann 2006/7 A Modern Perspective on Conglomerate Discount in Germany and the Role of Corporate Governance Prempal Singh 2006/7 Daimler Benz and the Chrysler Merger: An Examination of Value Creation for Shareholders Bassil Yousif 2006/7 Discrete-Time Option Hedging With Transaction Costs Chi Man Kwan 2006/7 Predictability of Return in Hong Kong Stock Market Minal Lavingia 2005/6 The pricing of CDS options under a time-changed Levy framework Meng Shi 2005/6 Explaining the Cross-Section of Chinese Expected Stock Returns Quin Wang 2005/6 Valuation of Asset Securitization for US Commercial Banks Lewis Webber 2005/6 Valuation of European and American-Style Asian Options on an Underlying Asset with Constant and Stochastic Volatility Jingjing Xiao 2005/6 Equity Valuation with Forecast Earnings Tom Logan 2004/5 Pricing Collateralised Debt Obligations using T-Copulas |
