Each year a few students in our program choose to do the thesis option.  This is particularly appropriate for those students interested in research and/or pursuing a PhD.  Here is a brief description of past theses as well as links to the complete documents in UW Space.


Author Thesis
Hu , Xin A Copula-based Quantile Risk Measure Approach to Hedging under Regime Switching 
Pastor, Kyle Optimal Trading Strategies for an Asset with Disordered Return
Sun, Yuwei An Optimized Least Squares Monte Carlo Approach to Calculate Credit Exposures for Asian and Barrier Options 
Yu, Kewei An Efficient Quasi-Monte Carlo Simulation for Pricing Asian Options under Heston's Model
Chan, Pak Keung Pricing Asian Options by the Method of Moments Matching  
Wang, Qiutong Social Networks, Asset Allocation and Portfolio Diversification 
Liu, Chang Optimal Execution Strategies: A Computational Finance Approach 
Situ, Aaron Xin Convex Stochastic Control and Conjugate Duality in a Problem of Unconstrained Utility Maximization Under a Regime Switching Model


Author Thesis
Salmon-Bélisle, Louis-Étienne Static and Dynamic Modelling of Credit Default Risk: Tails, Moments, and Calibration 
Melkuev, David Asset Return Correlations in Episodes of Systemic Crises 
Ringe, Eduard  Optimal Strategies with Tail Correlation Constraints 
Jiang, Xiao Bounds on Aggregate Assets 
Zhu, Anyi Implied Volatility Modelling 


Author Thesis
Szaura, Stephen A Structural Modelling Approach to Closed End Bond Funds 
Chuah, Jue Jun Calibration and Model Uncertainty of a Two-Factor Mean-Reverting Diffusion Model for Commodity Prices 
Zhang, Min Sovereign Credit Risk Analysis for Selected Asian and European Countries
Cheng, Yin-Hei Pricing derivatives using Gram-Charlier Expansions 


Author  Thesis
Jin, Hyunjong Optimal Portfolio Rule: When There is Uncertainty in The Parameter Estimates 


Author Thesis
Bhowmick, Kaushiki Inverse Problems in Portfolio Selection: Scenario Optimization Framework 
Yang, Mu FX Spot Trading and Risk Management from A Market Maker’s Perspective
Chen, Jit Seng Suboptimality of Asian Executive Options 
Wisebourt, Shaul Sergey Hierarchical Hidden Markov Model of High-Frequency Market Regimes using Trade Price and Limit Order Book Information 


Author Thesis
Tazhitdinova, Alisa Quadratic Hedging with Margin Requirements and Portfolio Constraints 
Ruest, Eric Inflation derivatives pricing with a forward CPI model 
Gornall, William Financial Fraud: A Game of Cat and Mouse 
Cui, Zhenyu Time change method in quantitative finance 


Author Thesis
Sinclair, Andrew John The Impact of the Transfer of Intangible Assets on the Valuation Effects of High-Tech Cross-Border Mergers and Acquisitions 
Memartoluie, Amir Short Rate Models with Nonlinear Drift and Jumps 
Tayal, Aditya Regime Switching and Technical Trading with Dynamic Bayesian Networks in High-Frequency Stock Markets 

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