MFE Master projects

Completed projects

As an integral part of their studies MFE students must spend a period of 25 weeks as interns in the financial industry in Switzerland or abroad. During this time students learn to put in practice the skills acquired in their coursework, and write a Master Thesis under the joint supervision of an EPFL faculty member and a mentor from the host institutions.

The internship and associated master thesis may focus on various aspects of finance and financial engineering including for example credit-risk, derivatives pricing and hedging, portfolio and asset management, private equity, commodities trading, financial market organization and regulation, and corporate finance.

A full list of the Master projects completed since the creation of the program can be accessed below:

  1. Premium model and arbitrage strategy of Chinese A/H shares
  2. Bayesian networks model and application in finance with partially observed data
  3. Stochastic modelling of electricity markets
  4. Market tail risk in asset returns
  5. Added value of DCF in a sustainable listed equity investing strategy
  6. U.S. gulf soybean basis
  7. Hedge fund conviction: evidence from 13F-filings
  8. CVA modeling in oil markets
  9. Machine learning for portfolio optimization in the Chinese A-shares market
  10. Analysis of the WTI and brent markets
  11. Robust estimation and decomposition of tail risk
  12. Understanding the risk neutral distribution
  13. Operational research on robo-advisors and semi-passive investments
  14. Arbitrage-free parameterization of the implied volatility surface
  15. Research on enterprise evaluation
  16. A network analysis of stock communities and market states
  17. Liquidity drops on financial markets
  18. Bank’s exposure to the lbo loan market during the financial crisis
  19. European rates trading
  20. Multi-period wealth management: an industrial framework
  21. Derivatives trading strategies on the grain markets
  22. Minimum volatility: Long-term evidence, risk exposures, potential pitfalls and improvements.
  23. Intraday volatility patterns in FX rates
  24. Quantitative strategy allocation and portfolio construction of a fund of hedge funds
  25. Modeling foreign exchange risk exposure
  26. Credit linked notes on cds index tranches
  27. Stochastic modelling of private equity investment programs
  28. Bayesian model averaging for risk factor selection
  29. PCA mean reversion trading strategy on the futures curve
  30. Pricing of inflation-indexed derivatives
  31. Performance evaluation and risk shifting of Chinese mutual funds
  32. Economic value and market capitalization of insurance companies: a panel data analysis
  33. The research on the pe-backed going private of us-listed Chinese enterprises
  1. Modeling of a cross-asset investment strategy
  2. A dynamic portfolio allocation and behavioral analysis indicators
  3. Independent product valuation
  4. US agricultural commodities freight rates modeling
  5. Company valuation
  6. Private equity replicator
  7. Asset management
  8. Momentum investing in equities using machine learning methods
  9. Bayesian and ensemble methods for pattern recognition in financial databases
  10. Extending the risk management functionalities of convertible bonds business solution
  11. Investigation of Heston stochastic local volatility model
  12. How can statistical learning leverage data in the insurance industry?
  13. Structuring
  14. Betting against beta
  15. Volatility of fixed income markets
  16. Equity derivatives structuring
  17. The valuation of high-tech companies via DCF and comparable
  18. A quantitative analysis of hedge fund returns
  19. Credit and Funding value adjustments
  20. Effect of constraints in construction of optimal equity portfolios
  21. Quantitative analysis in asset management
  22. Derivatives pricing and creation of financial time series
  23. Risk allocation in a multi-asset framework
  24. Advanced market systematic risk indicators
  25. Market microstructure
  26. Automated algorithmic quantitative performance analysis
  27. The role of correspondent banks in capital markets
  28. Fat-tailed stochastic interest rate models
  29. Economic valuation of insurance companies
  30. Arbitrage vs. balance sheet CLOs: an empirical comparison
  31. Stress testing
  32. Returns-based style analysis of mutual funds
  33. Research on affine term structure model
  34. Investment solutions analysis
  35. Alternative investment’s factors
  36. Market consistent economic scenario generator
  1. Longevity risk in the Solvency II framework
  2. Mutual funds rating and performance persistence
  3. Private equity: how to create value for investors with sustainable finance
  4. Term premium estimation with survey data
  5. Review of a cash-flows projection tool for protection insurance business
  6. Improvement of an existing model of deal simulation
  7. Estimation and forecasting of volatility in trend-following models
  8. Microcredit loans in Latin America and Caribbean
  9. Constructing and modeling energy forward curves: the case of the UK natural gas market
  10. Impact of transaction costs on cross-sectional studies
  11. Long term return estimates
  12. A simple strategy using point-and-figure charts aimed for private banks
  13. Modeling of forward curves for oil products
  14. Market model for options on equity and volatility indices
  15. Investment funds performance analysis
  16. Value creation through mergers and acquisitions in the building materials industry
  17. A simplified approach to calculating target capital for insurance company
  18. Mortgage choice: fixed-rate or adjustable-rate?
  19. Hedging in private equity
  20. Critical observations on product costing and project management
  21. Modeling credit spreads in the microfinance industry
  22. Econometric estimation of the effect of domestic public expenditures on HIV
  23. Macroeconomic indicators and stock markets
  24. Savings project valuation using real options
  1. Delta-Hedging of Power Plants: The Case of Combined-Cycle Gas Turbine plants
  2. Portfolio Selection and Allocation: Methods and Advances from Practice
  3. Statistical Properties of an Investment Strategy in Volatility
  4. Counterparty Credit Exposure and CVA
  5. Consistent Modeling of VIX and Equity Derivatives
  6. Fixed Income Securities for Small and Medium Sized Companies
  7. Statistical Arbitrage
  8. Numerical Solution of Black Scholes Equations Arising from American Option
  9. High Frequency Dynamics of Risk Exposures in Hedge Fund Replication
  10. Analysing Private Equity: Buyout Funds versus Venture Capital Funds
  11. Risks and Rewards of Structured Products: A study of Barrier Reverse Convertibles in Swiss Market
  12. Dealing with Missing Values and Outliers in Financial and Economic Time Series
  13. The use of Risk Budgeting Methodology: A case study applied to Wealth Management
  14. Volatility Dispersion Trading: An implementation on SMI
  15. Cyclicality in Private Equity
  16. Pricing Puttable Bonds in the Chinese Market
  17. Complexity and Cross-Sectional Returns
  18. Modeling Leveraged Loan Portfolio with Prepayment Option
  19. Pricing and Hedging of FX Options
  20. New Aspects of The Replicating Portfolio for Group Life Insurance
  21. The Optimization of a Trading System using a Genetic Algorithm
  22. Portfolio optimization with market, liquidity and credit risk
  23. Creation and management of mutual pension funds
  24. Implementation of a pricing model on commodities, simulations and formulation of options strategies
  25. Theta Analysis for financial securities
  26. Risk Premia in Commodity Futures Markets
  27. Measure of counterparty risk in the Heston Model
  28. Buyers and Sellers Behavior in eBay Auctions among Categories with Different Clientele
  29. Construction and simulation of investment strategies for an eBanking solution
  1. Topics in Transaction Cost Analysis
  2. Constant Proportion Portfolio Insurance (CPPI)
  3. Pricing Trees and Local Volatility
  4. Portfolio Stress Testing Models
  5. Analysis of Leading Indicators for Commodities Positioning and Portfolio Optimization
  6. Essays on Asset Pricing with Asymmetric Information
  7. Reflective Barrier in the Swiss Exchange Rate
  8. Applications of Malliavin Calculus to the Pricing and Hedging of Derivatives
  9. Fundamentally Weighted Benchmarks for Corporate bond Portfolios
  10. Variance-Covariance Forecast Model Pooling
  11. The Development of Automated Trading Algorithms in Forex Market on the Event-Based Intrinsic Time
  12. Pricing Cross Commodity Options in Energy Market
  13. Risk Measures in Private Equity and Implications for Portfolio Management
  14. Quantitative Portfolio Management
  1. Convertible Bond Valuation
  2. Liquidity Comparison Between Different Commodity Markets: A Framework for Optimal Trading Strategies
  3. Tailoring Risks to Returns in Structured Products
  4. Quantitative Portfolio Management: An Application to the Swiss Equity Market
  5. Business Valuation Techniques: An Application to the Luxury Goods Industry
  6. Interest Rate Modelling in Insurance Risk Management
  7. Brazil and its Relationship with Modern Portfolio Theory
  8. Understanding and Pricing of Autocallable Structured Products
  9. Variance Reduction Methods for the Evaluation of Barrier Reverse Convertible
  10. Unveiling the Risks of Cliquet Options:Implications for Pricing and Hedging
  11. Performance Analysis of Alternative Strategies in Commodities
  12. Portfolio Optimization: Theories and Implementations for Hedge Funds
  13. Yield Curve in the Presence of Sentiment Risk and Excess Volatility
  14. Statistical Arbitrage on the VIX
  1. The Changing Nature of Commodity Returns
  2. Corporate Finance: From Theory to the Real World in the Context of M&As
  3. Developing Signals and Strategies for Commodity Investments
  4. Can Predictable Commodity Trading Strategies Create Profit for Sophisticated Investors?
  5. Modeling the Implied Volatility Surface for the Pricing of European Options
  6. Estimation of Correlation Based on High Frequency Data
  7. Equilibrium Analysis of Portfolio Insurance and its Effects on Option Prices
  8. The Pricing and Hedging of ASCOTS

Host institutions

The MFE has established a strong reputation in the financial industry and has an excellent track record in developing internship placements and career opportunities for graduates.

The institutions hosting MFE internships include banks and insurance companies, asset management firms and hedge funds, commodities trading firms and various other institutions that are not necessarily part of the financial industry but who face problems that our graduates can help solve using their financial engineering skills.

A complete list of the institutions having hosted MFE internships can be accessed below. We thank each of them for their support, and for providing our students with opportunities to put their skills to practice.

  • AXA Winterthur: Winterthur, Switzerland, New York, USA and Paris, France
  • Banca Comerciala Romana, Bucharest, Romania
  • Banque Internationale Arabe de Tunisie, Tunis, Tunisie
  • Banque Martin Maurel Sella, Monaco
  • Banque privée Edmond de Rothschild, Geneva, Switzerland
  • Banque Rothschild, Geneva, Switzerland
  • Banque Syz Geneva, Switzerland
  • BCV, Lausanne, Switzerland
  • Benjamin de Rothschild SA, Geneva, Switzerland
  • BNP Paribas, Geneva, Switzerland and Paris, France
  • BTG Pactual, Geneva, Switzerland
  • Credit Suisse: London, UK; Lausanne and Zurich, Switzerland
  • Deutsche Bank: Frankfurt, Germany and Geneva, Switzerland
  • Goldman Sachs, London, UK
  • Helvea, Geneva, Switzerland
  • HSBC, Paris, France
  • JPMorgan: London, UK and Geneva, Switzerland
  • Julius Baer, Zurich, Switzerland
  • La Mobilière, Nyon, Switzerland
  • Lazard Frères, Paris, France
  • Lombard Odier, Geneva, Switzerland and London, UK
  • Pictet Alternative Advisors, Geneva, Switzerland
  • Société Générale, Paris, France
  • Swiss Life, Zurich, Switzerland
  • Swiss Life Asset Managers, Zurich, Switzerland
  • Swissquote Bank, Gland, Switzerland
  • SwissRe, Zurich, Switzerland
  • UBS, Zurich, Switzerland and London, UK
  • Unigestion, Geneva, Switzerland
  • Union Bancaire Privé, Geneva, Switzerland
  • ZKB, Zurich, Switzerland
  • 4Elements, Singapore, Singapore
  • Aeris Capital AG, Pfäffikon, Switzerland
  • AXA Investment Managers, Paris, France
  • BlueCrest Capital Management, Geneva, Switzerland
  • Brevan Howard, London, UK
  • Cobe Investment Management, Shanghai, China
  • Chorus Capital, London, UK
  • Century Securities, Beijing, China
  • Dominice & Co, Geneva, Switzerland
  • DTC Investment Management, Beijing, China
  • Egerton Capital, London, UK
  • Exane Derivatives, Geneva, Switzerland and Paris, France
  • Fisch Asset Management, Zurich, Switzerland
  • Global View Investments, Geneva, Switzerland
  • Harris Lane Investments, Geneva, Switzerland
  • Jabre Capital, Geneva, Switzerland
  • Kepler Cheuvreux, Geneva, Switzerland
  • LGT Capital Management, Pfäffikon, Switzerland
  • Lyxor Asset management, Paris, France
  • Nafora, Lausanne, Switzerland
  • Novus, Zurich, Switzerland
  • Olsen, Zurich, Swizerland
  • Orient Security Company, Hong Kong, China
  • Patrimonium, Lausanne, Switzerland
  • Prestinvest, Geneva, Switzerland
  • Ping An Asset Management, China
  • Quantifusion Asset Management, Shanghai, China
  • Rothschild HDF Investment Solutions, Paris, France
  • Swiss Capital Alternative Investments, Zurich, Switzerland
  • Transmarket Group, Martigny, Switzerland
  • Tudor Capital Europe, London, UK
  • AXPO, Baden, Switzerland
  • Hellenic Petroleum SA Athens, Greece
  • Mercuria Energy Trading, Geneva, Switzerland
  • Roquette Frères, Vernier, Switzerland
  • TOTSA, Geneva, Switzerland
  • Trafigura, Geneva, Switzerland
  • Basel Economics, Basel, Switzerland
  • BIT (International Labour Office), Geneva, Switzerland
  • DataYes, Shanghai, China
  • Derivative Partners Research, Zurich, Switzerland
  • eBay International, Bern, Switzerland
  • Ernst & Young, Geneva, Switzerland
  • FIDA, Finanza Dati Analisi, Torino, Italy
  • FinLab, Geneva, Switzerland
  • Hesabi, Iran
  • Mazars, Paris, France
  • Murex, Paris, France
  • Nathal, Actuaries and consultants, Mexico City, Mexico
  • NLMK, Moscow, Russia
  • Ontonix, Como, Italy
  • Philip Morris SA Lausanne, Switzerland
  • Procter & Gamble Geneva, Switzerland
  • SAGE SA, Lausanne, Switzerland
  • Sanli, Pastore & Hill, Los Angeles, USA
  • Symbiotics SA, Geneva, Switzerland
  • SwissQuant Group AG, Zurich, Switzerland
  • Umnyah Advisors, Geneva, Switzerland
  • United Nations, Geneva, Switzerland