Macc - ESC Toulouse

J- RESEARCH THESIS
An important part of the OP grading concern the writing of a research thesis on a Market
Finance or Banking related subject.
General Presentation:
The primary focus of your lectures concerns practical issues on financial markets and their
instruments. The aim of this thesis is to equip you with the latest theoretical developments of
the financial literature. This thesis can thus be viewed as a perfect complement of the core
program and will develop your analytical skills.
This research thesis will be undertaken by groups of 2 students and will be written in
English or French.
Each student or group must find and choose a subject as soon as possible. Your aim in this
work is to provide a critical review of academic research on a precise development of the
financial literature. Your subject could have either an empirical basis or a theoretical
foundation (or both). An empirical contribution is appreciated.
Here are examples of possible subjects:
o Intensity Models of Credit Risk
o Performance of CPPI Strategies
o Pricing of bonds with embedded options using lattice methods
o Pricing of exotic financial products with finite differences
o Non-Parametric portfolio performance measurement
o Hedge Funds Performance Persistence
o Portfolio Performance Attribution
o …
How to find a topic?
Your first task concerns the choice of a subject. We recommend you to choose a theme that is
related to your professional project. This will guarantee your motivation to deepen your
understandings and skills on that subject.
The second step is to identify keywords that are related to the chosen subject.
The third step is to collect academic papers that deal with your topic. To do so, you might
search using your keywords in the following bibliography databases:
o http://www.ssrn.com/fen/index.html Financial Economist Network): database for
preprint articles
o Econlit & Business Source Premier (available at the Library): database for published
work
o http://scholar.google.fr/
Prospective Schedule:
o Subject Search (September): Students should send the constituted groups and
prospective subject titles to OP managers by email.
Options Professionnelles - 16 - 2011-2012