In completing the requirements for an academic degree, the final thesis for a master program or the dissertation of a Ph.D. candidate are a very important part of the student’s curricula. Unfortunately most students, understandably busy to find a job, after their graduation do not have the strength or the time to publish their work on a refereed journal. So far I have been very lucky with the students that worked with me and I want to share with the whole financial community their work, since I believe it is worth being published. Be aware that some students did not translate their work in English, in this case I will provide a short summary of their work.
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Author: Edit Rroji Advisor: Marco Marchioro Language: English Keywords: risk, risk measures, phd thesis, risk decomposition, heavy tails, risk attribution, expectiles, kalman filter, tempered Stable distribution, principal component analysis, independent component analysis, user-defined factors Pdf file: Rroji-advs-Marchioro.pdf
Author: Leonardo D’Auria Advisor: Marco Marchioro Language: English Abstract In this work we describe a method to perform risk simulations of VIX futures, according to the historical-simulation model. We assume a stochastic volatility mean-reverting constant elasticity of variance pro- cess to model the VIX dynamics. Following non-arbitrage argument, the market expectation of VIX futures price […]
Italian title: Analisi della Performance di un Portafoglio Composto da Derivati Lineari su Commodities Author: Alex Molteni Advisor: Marco Marchioro Language: Italian Keywords: performance, commodities, futures, linear derivatives, performance attribution, performance contribution, hedging, returns, convenience yield, forward curve, price sensitivity, master thesis Pdf file: Molteni-advs-Marchioro.pdf
Italian title: Studio sul Rischio Relativo a Derivati Lineari su Commodities, con l’utilizzo di Simulazione Storica Author: Andrea Boschetto Advisor: Marco Marchioro Language: Italian Keywords: risk, commodities, linear derivatives, hedging, risk measures, quantlibxl, convenience yield, forward curve, historical simulation, master thesis, futures, risk decomposition Pdf file: Boschetto-advs-Marchioro.pdf