Would you like to do your PhD in a community of world-renowned researchers? This exciting learning experience will introduce you to university-level research and teaching.
DescriptionEvaluation of counterparts risk, effects of netting and margin call. |
Supervising professor |
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Econometrics of financial and textual data |
DescriptionDevelopment of econometric methods and applications to financial markets, risk management, and asset allocation. |
Supervising professor |
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High frequency limit order book data |
DescriptionUnderstanding the dynamics of high frequency limit order book data and forecasting market conditions by exploiting information content of high frequency limit order book data via machine learning. |
Supervising professor |
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Mean Field Games in Energy and Financial Markets |
DescriptionModeling energy and financial markets as large-population dynamic games (more specifically mean field games) and addressing problems such as optimal trading, equilibrium pricing, and contract design. |
Supervising professor |
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Modelling extreme values – Weather derivatives and environmental issues |
DescriptionExplore how modelling of extreme values and modelling of dependence can be applied to weather derivatives and environmental issues. |
Supervising professor |
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Pricing idiosyncratic variance and jumps |
DescriptionThe trading of variance has grown exponentially in the last decade. But our understanding of what drives returns in a variance portfolio is still rudimentary. We seek to explore the pricing of variance on individual assets, accounting for potential jumps. |
Supervising professor |
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Real options and energy |
DescriptionDevelopment of dynamic optimization algorithms with hydro-power applications. Machine Learning and Approximate Dynamic Programming. Optimal design of contracts on energy markets. |
Supervising professor |
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Realized variance and particle filters |
DescriptionModel estimation using high frequency data and filtering approaches. |
Supervising professor |
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