Supervision/Examiner of the following PhD, Diploma and Master Thesis Projects:
Supervisor
University of Cape Town
“Quantization Techniques”, PhD
“The Trolle-Schwartz Model”, MSc
“Money Market Basis Spreads”, MSc
“Modern Pricing of Caps”, MSc
“Collocation Methods in Finance”, MSc
University of Oxford
„Pricing CMS Spread Options using Copulas”, MSc
„Pricing of CMS Spread Options under Stochastic Volatility”, MSc
University of Bremen
„Stochastic Volatility using Riemannian Geometry”, MSc
Frankfurt School
„Analyse von strukturierten Sparprodukten am Beispiel des Gold-Sparens“ , MSc
University of Applied Science Koblenz
„Early Exercise in StochVolatility Libor Models”, MSc
„Policy Iteration for Exotic American Options“, MSc
„Optimization and Calibration“, MSc
„Asset Allocation and Copulae“, MSc
„Optionsbewertung mittels Fouriertransformation“, MSc
University of Konstanz
„Lévy Prozesse und exotische Derivate“, Diploma
University of Wuppertal
„Zeitabhängiges Heston Modell“, Diploma
University of Bonn
„Exotische Aktienderivate und Stochastische Volatiliät“, Diploma
„Bermudan Swaptions in Short Rate Models“, Diploma
University of Applied Science Cologne
„Eigenkapitalunterlegung bei Kreditderivaten”, Master
Examiner
University of Cape Town
“Affine Models”, PhD
University of Wuppertal
“Volatility and Correlation Modelling”, PhD
University of Cape Town
“Efficient Implementation of the Heston-Hull-White Model”, MSc
University of Stellenbosch
„ Monte Carlo pricing of American options in jump models”, PhD
University of the Witswatersrand
„Stochastic Volatility Models: Calibration, Pricing and Hedging”, MSc
University of Cape Town
„A survey of some modern fast Fourier Transform-based methods to value vanilla early exercise options“, MSc