network models 

Hedging and trading models for portfolios of currency options

The application of option valuation techniques to the valuation of physical investment opportunities

Market models and exposure management in foreign exchange

Interest rate management

An analytical approach to the bond refunding problem

Risk management of crude oil using refined products

Multi-national tax structuring

Modelling interest rate swaps

Costing telecommunications services

Project evaluation and capital budgeting under uncertainty

Mean-variance hedging and pricing of contingent claims in incomplete markets

Optimal portfolios with constrained sensitivities in the interest rate market

Numerical techniques for convertible bond pricing

Pension plan liabilities and corporate financial policy

An analysis of the effects of capital structure on shareholder value and the cost of financing

Financial time series prediction and stochastic control of trading decisions in fixed income markets

Neural networks in liability management

Methodologies of computing the Black-Scholes implied volatility from option premia

Fixed rate mortgage prepayment and the term structure of interest rates

Optimal corporate structuring for multinationals

Mathematical models in international tax planning

Exotic options with stochastic dividend yields

Stochastic volatility, long-term options and discrete time problems in foreign exchange

Graph theory for financial dynamics and option pricing in imperfect markets

Choice and implementation of models for the pricing and hedging of interest rate contingent claims

Heuristics for the dynamic portfolio problem

Risk and asset/liability management of fixed income portfolios

Contingent claims analysis of investment problems under uncertainty

Liquidity risk in spot foreign exchange markets

Modelling and measuring operational risk

Interest rate models, inflation-based derivatives trigger notes and cross-currency swaptions

Bonds subject to credit risk:  new hedging strategies

Incomplete markets, volatility smiles and volatility

Portfolios of options and multivariate option pricing and hedging

Improved quasi-Monte Carlo methods for derivative pricing

Pricing options on real return distributions

Dynamic portfolio management and the pricing of options in imperfect markets

Analytic modelling for sovereign debt

Multivariate models of FX and yield curve movements applied to value-at-risk

Credit contingent claims valuation under imperfect market conditions

Optimizing portfolios of credit risks by maximizing expected return on economic capital

Pricing European and American equity options in the presence of taxes

Trees and lattices for pricing options in incomplete markets

Modelling credit risk with applications to credit derivatives

Under-pricing of initial public offerings and over-allotment options

Models for the term structure of defaultable bond prices

Asset correlation, Kalman filters and a market model for stock options

Covariance matrix estimation applied to Value-at-Risk and margin risk methodologies

Covariance approximations with a value at risk application

FX options markets and smiles:  a modern approach with stochastic volatility

Asset allocation under liquidity constraints

Dynamic programming for asset, liability and risk management

Valuing flexible investments using contingent claims analysis

Interest rate term structure models

Corporate risk management:  cash flow mapping and value at risk

Investment decisions for inter-related projects:  a real options approach

Credit risk pricing models as applied to credit trading and risk management

Insurance products for finance

The measurement and mitigation of operational risk in financial institutions

Modelling and trading of swap-rate products using Independent Components

Asset allocation algorithms

The design and construction of hedge-fund replication financial  products

New risk-management techniques considering rare events and contagion

Copula models for describing dependence between different financial markets

Fund-of-funds investments using 0-1 Neural Networks

The value of storage options for oil and gas     

Fund management of credit-related portfolios using Neural Networks and Support Vector Machines

The valuation of exploration and pipeline projects using Real-Option methodologies

Risk management methodologies using state-transition graphs

Real Option Valuation, Module 1: Modelling uncertainty

Real Option Valuation, Module 2: Introduction to Real Options

Real Option Valuation, Module 3: Multi-period Real Options

Real Option Valuation, Module 4: Full oil field valuation

Real Options Valuation of Alberta oil-sands

Signal Processing on the S&P500 time series

Hedge-fund management using 0-1 Neural Networks, State-Space mapping and Dynamic Programming for asset price prediction.

Characteristics-based portfolio construction under regime-switching

EUROSIGNAL project: Large-Scale Simulation for European Real-Time Stock Signalling

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