Announcement about Topics for Final Thesis for FERM students

Announcement about Topics for Final Thesis for FERM students

The followings are the topics proposed by Lecturers for you to choose for your final thesis (obligation for all of you). Some more topics will be announced later.  You can choose one of the topics listed below and then contact the supervisor (for the materials etc).  It should be helpful if you choose a topic and a supervisor as soon as possible.

Supervisor:  Dr. Nguyen Phuong Anh 
(npanh@hcmiu.edu.vn)

Risk Management: credit risk: modeling, simulation, data analysis.
Software: R
Reference book: Quantitative Risk Management, P. Embrechs et al.

Risk management: liquidity risk: models, simulation, data analysis.
Software: R
Reference book: Quantitative Risk Management, P. Embrechs et al.

Banking efficiency with risk control variables: modeling, data analysis.
Software: R or Stata or Matlab

Risk Management in (or Efficiency of) Insurance company.
Software: R

Supervisor: Dr. Diep Ho 
(hdiep@hcmiu.edu.vn)

Some topics that I have referred my students to can be found from the link: http://www.diepho.info/publications

Typical topics include: 

Risk Management Modeling
Description: perform: VAR, stress testing, monte-carlo analysis, option pricing, mortality methodologies, copulas and other tools to analyze risk in banks and finance companies

Quantitative Finance or Computational Finance
Description: Programming intensive research using: python, R, Matlab, cython, artficial neural network, genetic algorthm, and statistics in high freq. trading
Venture Capital/Mutual Fund/Privat Equity
Description: qualitative research via interviewing portfolio managers, investors, portfolio companies and other stake holders
Entrepreneurship
Description: qualitative research via interviewing entrepreneurs, incubators, accelerators, angel investors and other stake holdersSupervisor: Dr. Ha Binh Minh 
(minh.ha.hust@gmail.com)

Project 1: Heston model and application in derivative pricing
Description: The price of derivatives, e.g. European option, can be obtained by solving the Black-Scholes PDE. Unfortunately, the Black-Scholes’ assumption requires the volatility would be constant, which is not the case as market prices show in reality. It comes to the class of models with stochastic volatility, and among them, the Heston model could be the candidate due to its fast and easily implemented. The problems involved to Heston model can be stated as follows:
1. Parameter Estimation for Heston model
2. Numerical Methods for Option Valuation
3. The Quality of Fitting the Heston model to the option prices
Number of students for this project: 1 or 2
Project 2: Spatial statistics and application in real estate market
Description: People working in real estate market always say that ‘‘The three most important things in real estate are location, location and location.’’ Is it true? And how it can be represented mathematically? With the help of spatial statistics the questions could be solved somehow. We would like to investigate some problems rising in real estate market:
1. Collecting real estate data
2. Characterizing real estate zone
3. Pricing models for real estate
Number of students for this project: 1 or 2

[To be updated…]

By anhkhoa | 18/07/2024 | Academic |

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