금융공학 추천 주제(출처 : KARP)

◆ Financial Engineering 추천 주제 ◆

 

주제	토픽
American and Russian Options	American options under stochastic volatility and stochastic interest ra
	Pricing and Sensitivity computations of American options in jump type market models
	The Pricing of Callable Russian Options
Asset Allocation and Hedging	Dynamic Asset Allocation: a Portfolio Decomposition Formula and Applications
	Quadratic Hedging Methods for Defaultable Claims
	Can the risk factors explain the cross-sectional variation of stock returns in the long run?
Greeks	A New Computational Scheme for Computing Greeks by the Asymptotic Expansion
	Optimal Greek Weights by Kernel estimation
	Accurate evalution of Greeks in continuous diffusion models via higher order weak schemes based on analytic expansions of probability densities
American Option	Enhanced policy iteration for American options via scenario selection
	The Valuation of American Spread Options under Jump Diffusion Processes
	A General Characterization of the Early Exercise Premium
	Pricing American Options under Stochastic Volatility and Jump-Diffusion Dynamics
	Fast and Accurate Pricing of Early Exercise Options with the Fast Fourier Transform
	American-style Options on Two Assets under Jump-Diffusion Processes
	American Put Option Pricing for Stochastic-Volatility, Jump-Diffusion Models
	Closed-form upper bounds for the optimal exercise boundary of American put
	Does the Early Exercise Premium Contain Information about Future Underlying Returns
	Pricing and hedging perpetual American options in jump-diffusion models: barrier, lookback, switching and credit options
	A semilinear partial integro-differential equation for American options
Optimal Portfolio Selection and Risk Measure	Futures Trading with Transaction Costs
	Convex Stochastic Optimization Associated with Portfolio Selection
Credit risk	CDS options pricing with a jump diffusion intensity model
	Elliptical distribution model for the pricing of CDOs
Convertible Bond	VALUATION AND HEDGING OF CONVERTIBLE BONDS IN THE STANDARD MARKET MODEL
	On the Valuation of Callable Convertible Bonds with Reset Clauses of Conversion Prices
Credit derivatives	Credit derivatives with recovery of market value for multiple firms
	A Mixed PDE-Monte Carlo Approach for Pricing Credit Default Swaps Portfolio Options
	Efficient Importance Sampling for Reduced Form Models in Credit Risk
	The Forward Loss Model: A Dynamic Term Structure Approach for the Pricing of Portfolio Credit Derivatives
	STOCK OPTIONS WITH UNKNOWN EXECUTIVE TYPE
Exotic Options	A New Type of Barrier Options: Lizard Option
	Valuation of exotic and credit derivatives in Levy models,
	Forward Start Option Pricing with Stochastic Volatility: a General Framework
	Valuing Continuous-Installment Options
	Exotic Options Pricing under Stochastic Volatility
	Trading Maximum Drawdown and Options on Maximum Drawdown
	Parisian barrier options and ruin probabilities
	Numerical results for rank processes
	Forward starting options in the Heston model and applications to the pricing of year-on-year-inflation options
	On the timing option in a futures contract
	Pricing Lookback Options with Knock-out Boundaries
	Optimal Importance Sampling for Pricing Rare Event Derivatives in Diffusion Models
	Static Super-Replicating Strategies for Exotic Options
	Model independent bounds for the price of arithmetic Asian options
Option Pricing	Convexity preserving jump diffusion models for option pricing
	Mispricing of S & P 500 Index Options
	Higher Order Asymptotic Option Valuation for Non-Gaussian Dependent Returns
Pricing and Illiquidity	Option Pricing Models for Illiquid Assets
	An equilibrium model for default risk (A detailed summary of results without proofs)
	Pricing and Hedging in Illiquid Financial Markets
Optimal portfolio selection	Optimal Investment with an Unbounded Random Edowment and Utility-Based Pricing Methods
	Optimal investment with an unbounded random bequest
	Portfolio Optimization under Partial Information: A hidden Markov model for Stock Returns with Jumps
Investment and Pricing	Investment Timing Problem under Tax Exemptions
	Pricing Equity Swaps in an Economy with Jumps
	Adaptive Calibration of Risk Neutral Parameters with Applications to Option Valuation
Hedging and Levy process	Optimal continuous-time hedging with leptokurtic returns
	Jump Diffusion Processes and their Applications in Insurance and Finance
	How dangerous it will be if an insurer invests its surplus into a stock market?
Hedging and Risk Measure	Static Hedging in Supermarkets
	Pricing and risk measuring in incomplete markets and context of uncertainty with extension to a dynamic framework
Hedging Strategy	Structure Equations and Options Pricing
	Optimal quadratic hedging in models with jumps
	Optimal partial hedging of options with transaction costs
High Frequency and Filtering	Estimating instantaneous rates and their volatilities from observed discretely compounded rates - A stochastic filtering approach
	Nonsynchronously observed diffusions and covariance estimation
Market Analysis	A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices
	Swaption Pricing in affine framework both in continous and discrete-time
	Interest Rate Volatility Implicit in Term Structure Data
Mortgage, Basket Option, and Pinning	Stock Pinning: Theory and Simulations
	An Improved Fixed-Rate Mortgage Valuation Methodology With Interacting Prepayment and Default Options
	A CLOSED FORM APPROACH TO VALUATION AND HEDGING OF BASKET OPTIONS
Optimal Portfolio Selection	Optimal investments with proportional profit-share fee: Analysis of the high-water-mark fee structure
	Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
	Stochastic Consumption Investment Problem with Labor Income: an Asymptotic Expansion Approach
	Portfolio Optimization under a Conditional Value-at-Risk constraint
	Portfolio optimization under constraints with an application in high dimension
	The martingale method in a Levy Market
Power and Default	Valuation of a Power Plant Under Production Constraints
	Default Risk, Bankruptcy Procedures and the Market Value of Life Insurance Liabilities
	Pricing Corporate Bonds using Dynamic Default Barriers
Pricing	The Law of One Futures Price
	Arbitrage and Approximate Arbitrage: The Fundamental Theorem of Asset Pricing
	A new method for nonparametric option pricing under constraints
Option Pricing	Option Implied PDFs': A Moment Problem Approach
	Kernel-based stochastic gradient algorithms for option pricing
	On the solvability of nonlinear Black-Scholes equations incorporating transaction costs
	A complete-market generalization of the Black-Scholes model
Risk Sharing	On the optimal risk allocation problem
	Optimal Capital and Risk Transfers for Group Diversification
	Hybrid Cat-bonds
Portfolio and Asset Allocation	Generalized Option Based Portfolio Insurance
	A benchmarking approach to robust asset allocation when there is model ambiguity
Stochastic Modeling	A market model for stochastic smile: a conditional density approach
	The Bayesian Agent and the Co-movement of Security Prices
	Heath-Jarrow-Morton Models with Regime-Switching Volatility
	Applicability of Random Matrix Theory Given the Stylized Facts of Empirical Finance
	A Bayesian Model Averaging Approach for Portfolio Selection
	On some bivariate models with NIG-marginals in finance
	A theoretical model of the limit order book and some applications
	Weak Approximations of Jump Diffusions with Applications in Finance
	Loss Analysis of a Life Insurance Company Applying Discrete-time Risk-minimizing Hedging Strategies
	Modeling the Term Structure of Defaultable Bonds under Recovery Risk
	The revisited Jarrow-Rudd and Corrado-Su models
	Quantization of the filter process and application to optimal stopping problems under partial observation
Volatility	Arbitrage Bounds for Volatility Derivatives
	Swaption Smiles and Convexity Adjustments
	Consistent Variance Curve Models
	Variance-optimal hedging in affine stochastic volatility models
	Arbitrage free interpolation of the swap curve
	Localizing Volatility
	To bias or not to bias? - Exact or biased simulation of stochastic volatility models
	Measuring Realized Volatility with Partial High-Frequency Data
Volatility Smile	Wishart Multidimensional stochastic volatility models
	Constructive theory of general market models for IR derivatives: graph theory, admissible sets of swap rates and smile modelling
	A JUMP-DIFFUSION LIBOR MODEL AND ITS ROBUST CALIBRATION
Volatility and MEMM	The minimal entropy martingale measure and numerical option pricing for the Barndorff-Nielsen & Shephard stochastic volatility model
	Volatility Smile/Smirk Properties of [GLP &MEMM] Models
	Jump-diffusion Processes and Optimal Hedging &The Minimal Entropy Martingale Measure for General Barndorff-Nielsen/Shephard Models
Optimization	An application of multiperiod optimization methods to currency hedging strategies
	Multi-period arbitrage and the marginal utility of optimal inter-temporal wealth
	Optimal Dividend Policy and Growth Option