KTH Matematik
Examensarbeten - Master Theses
2014
26 augusti
Johan Olsén
Logistic regression modelling for STHR analysis
16 juni
Amadeus Wennström
Volatility Forecasting Performance: Evaluation of GARCH type volatility models on Nordic equity indices
16 juni
Oskar Ericsson
Risk Analysis Against Electricity Market Index and Portfolio Optimisation
11 juni
Daniel Boros
On Lapse risk factors in Solvency II
9 juni
Fredrik Giertz
Analysis and optimization of a portfolio of catastrophe bonds
9 juni
Andreas Lagerqvist
Parameter estimation of a non-equilibrium asset pricing model and performance analysis of the calibration in terms of sloppiness
9 juni
Johan Andersson
Locating Multiple Change-Points Using a Combination of Methods
3 juni
Magnus Bergroth and Anders Carlsson
Estimation of a liquidity premium for swedish inflation linked bonds
2 juni
Sara Jonsson and Beatrice Rönnlund
The new standardized approach for measuring counterparty risk
12 maj
Fredrik Dahlin och Samuel Storkitt
Estimation of loss given default for low default portfolios
7 april
Alex Singh
A risk-transaction cost trade-off model for index tracking
24 mars
Björn Skanke
Analysis of Pension Strategies
18 mars
Jesper Loso
Forecasting of Self-Rated Health Using Hidden Markov Algorithm
6 mars
Peter Nguyen Andersson
Liquidity and corporate bond pricing on the Swedish market
14 februari
Linus Lauri
Algorithmic evaluation of Parameter Estimation for Hidden Markov Models in Finance
10 februari
Daniel Drugge
Allocation Methods for Alternative Risk Premia Strategies
6 februari
Jean-Alexander Monin Nylund
Semi-Markov modelling in a Gibbs sampling algorithm for NIALM
27 januari
Dan Franzen och Otto Sjöholm
Credit Valuation Adjustment - Theory and Practice
2013
18 december
Johan Wahlström
Operational Risk Modeling: Theory and Practice
18 december
Yuya Suzuki
Rare-event simulation with Markov Chain Monte Carlo
29 november
Maxim Malgrat
Pricing of a “worst of” option using a Copula method
28 november
Rasmus Hansén
Allocation of Risk Capital to Contracts in Catastrophe Reinsurance
25 november
Kristoffer Stenberg och Henrik Wikerman
Evaluating Regime Switching in Dynamic Conditional Correlation
22 oktober
Ina Lundström
Finding Risk Factors for Long-Term Sickness Absence Using Classification Trees
11 oktober
Goran Kap och Dana Ali
Statistical analysis of computer network security
27 september
Takeo Murase
Interest rate risk - using benchmark shifts in a multi-hierarchy paradigm
25 juni
Laura Kremer
Assessment of a credit Value-at-Risk for corporate credits
14 juni
Daniel Krebs
Pricing a basket option when volatility is capped using affine jump-diffusion models
27 maj
Heloise de Sauvage
Analysis and comparison of capital allocation techniques in an insurance context
27 maj
Fredrik Dacke
Non-local means denoising of projection images in cone beam computed tomography
13 maj
André Eriksson
Anomaly Detection in Machine Generated Data: A Structured Approach
12 mars
Noah Clason
Forecasting Euro Area Inflation By Aggregating Sub-components
22 februari
Benjamin Dastmard
A Statistical analysis of the connection between test results and field claims for ECUs in vehicles
20 februari kl. 16:15 rum 3733
Renée Blomberg
Who is granted disability benefit in Sweden?
12 februari
Karl Birkholz
Annuity Divisor - comparison between different computational methods
10 januari
Björn Torell
Name concentration risk and pillar 2 compliance - the granularity adjustment
2012
18 december,
Damr Tewolde
Pricing Inflation Derivatives
18 december,
Alexander Jöhnemark
Modeling Operational Risk: a Loss Distribution Approach
3 december,
Persa Gobeljić
Classification of Probability of Default and Rating Philosophies
5 november,
Shlok Datye
Money Management Principles for Mechanical Traders
24 oktober,
Cheung Mei Ting and Su Xun
Day-of-the-week effects in stock market data
9 oktober,
Niclas Blomberg
Higher Criticism Testing for Signal Detection in Rare And Weak Models
8 oktober,
Pär Lorentz
A Modified Sharpe Ratio Based Portfolio Optimization
1 oktober,
Eric Villaume
Predicting customer level risk patterns in non-life insurance
20 augusti,
Richard Koivusalo
Statistical analysis of empirical pairwise copulas for the S & P 500 stocks
7 augusti,
Gustav Montgomerie-Neilson
Selecting the Worst-Case Portfolio: A proposed pre-trade risk validation algorithm of SPAN
7 augusti,
Frida Bjarnadottir
Implementation of CoVaR, A Measure for Systemic Risk
21 juni,
Håkan Edström
A Quantitative Analysis of Liquidity and Funding Value Adjustments
19 juni,
David Berglund
Analys av svenska utsläppsämnen
19 juni,
Daniel Eliasson:
Game Contingent Claims
7 juni
Lennart Mumm
Reject Inference in Online Purchases
7 juni
Harry Hedman
Performance Evaluation of Artificial Neural Networks in the Foreign Exchange Market.
28 maj
Fredrik Hansson
A pricing and performance study on auto-callable structured products
22 maj
Magnus Ekeberg
Detecting contacts in protein folds by solving the inverse Potts problem- a pseudolikelihood approach
3 maj
Rokas Serepka
Analyzing and modeling exchange rate data using VAR framework.
12 april
Matts Andersson
Risk assessment of portfolios of exotic derivatives.
12 april
Erik Wiklund
The effect of volatility on the pricing of Asian options.
3 april
Felix Leopoldo Rios
Personalized Health Care: Switching to a Subpopulation in Phase III.
28 mars
Hans Edward Gennow
Valuation Adjustments of Illiquid Instruments
19 mars
Gustaf Linnell
Option Pricing with Events at Deterministic Times
13 mars
Maxime Vanneste
Pricing and parameters influencing the Basis: is it a profitable arbitrage opportunity?
8 mars
Mikael Forsman
A Model Implementation of Incremental Risk Charge
20 februari
Arnaud Blanchard
The Two-Factor Hull-White Model: Pricing and Calibration of Interest Rates Derivatives
16 februari
Jan Engshagen
Nothing is normal in finance!
25 januari
Henrik Teneberg
Pricing Contingent Convertibles using an Equity Derivatives Jump Diffusion Approach
19 januari
Max Lindquist
The properties of interest rate swaps - An investigation of the price setting of illiquid interest rates swaps and the perfect hedging portfolios
18 januari
Stefan Sandberg
Liquidity in Equity and Option Markets: A Hedging Perspective
2011
2 december
Arnaud Gallais
CPPI Structures on Funds Derivatives
2 november
Raphael Simonnet
Variance and volatility swaps: Back test of a volatility swap replication strategy
13 oktober
Patrik Nilsson
Liquidation Strategies in a Long-Short Equity Portfolio
7 oktober
Marc Vignon
Implementing Sensitivity Calculations for Long Interest Rates Future
29 augusti
Bastien Grandet
Sensitivity Analysis and Stress Testing in the Interest Rate Market
19 augusti
Rémi Guérin
Volatility surface and correlation in the commodity market
30 juni
Fredrik Henrikson
Characteristics of High-Frequency Trading
30 juni
Helena Von Feilitzen
Modeling Non-maturing Liabilities
20 juni
Fang Li
Predicting future returns with investor views
17 juni
Daniel Amsköld
A comparison between different volatility models
9 juni
Jonas Bergroth
Performance and risk analysis of the Hodrick-Prescott filter
9 juni
Emelie Limin
Analysis of purchase behaviors of IKEA family card users, using Generalized linear model
26 maj
Fredrik Hallgren
On Prediction and Filtering of Stock Index Returns
29 april
Liang Zhong
Betting on Volatility: A Delta Hedging Approach
20 april
Pontus Lans
Leak Detection System ( System för uppdagande av läckor).
21 mars
Luc Goutermanoff
Establishment of a volatility pattern on the electricity market.
17 mars
Johan Dellner
Can a simple model for the interaction between value and momentum traders explain how equity futures react to earnings announcements?
17 mars
Lina Palmborg och Ebba Baldvinsdottir
On Constructing a Market Consistent Economic Scenario Generator
22 februari
Karl-Sebastian Lindblad
How big is large? A study of the limit for large insurance claims in case reserves
22 februari
Andreas Wirenhammar
Modeling Downturn LGD for a Retail Portfolio
8 februari
David Jallo och Daniel Budai
The Market Graph - A study of its characteristics, structure & dynamics
31 januari
Markus Hveem
Portfolio management using structured products - The capital guarantee puzzle
31 januari
Peter Larsson och Leonhard Flohr
Optimal proxy-hedging of options on illiquid baskets
26 januari
Hulda Thorbjörnsdottir
Macroeconomic multifactor model - An econometric study
26 januari
Carl-Johan Johansson och Greger Sundqvist
Model risk in a hedging perspective
2010
15 december
Mert Camlibel och Johan Lundgren
Investigation of the effect of using stochastic and local volatility when pricing barrier options
1 november
Somar Koria
The analysis of different financial risk measures in Hydro-electric portfolio optimization
1 oktober
Kia Karlemo
Interest Rate Term Structure Modeling in the Presence of Missing Data
6 september
Young Kim
On implementing Euro-Bund futures
13 augusti
Erik Johansson
Real Options in Energy Investments
28 juni
Malte Obbel Forsberg
Solvency II/SST and modelling of risk aggregation
21 juni
Oxana Tiganas
Risk modeling and pricing of Euribor futures and options using the Ho-Lee model
7 juni
Tobias Anglevik
En ALM modell med minimering av CVaR och krav på tillväxt
7 juni
Jörg Hofmeister
Portfolio Optimization with Structured Products: A quantitative approach to rebalancing portfolios of index linked principle protected notes and non-principle protected certificates
31 maj
Filip Andersson
Forward start option pricing with four different stochastic volatility models
31 maj
Taraneh Derayati och Harde Kader Saleh
Risk calculation of interest rate swaps
10 maj
Meng Bai Wang
Pricing FX barriers with local volatility surface
5 maj
Joseph Abram
Implementing and Testing Replicating Portfolios for Life Insurance Contracts
5 maj
Joachim Priou
GARCH models with Generalized Hyperbolic innovations with application to carbon derivative pricing
21 april
Frida Holmberg och Rasmus Thunberg
Looking Over the Hedge, Currency Hedging of Stochastic Cash Flows
8 april
Joakim Ahlinder och Magnus Hanson
Portfolio Risk Measures over Time
8 mars
Axel Sundén
Trading based on classification and regression trees
8 mars
Mattias Letmark
Robustness of Conditional Value-at-Risk (CVaR) when measuring market risk across different asset classes
22 februari
Philip Hansen och Mikael Lärfars
Evaluating Long-Term Performance of Structured Products
15 februari
Philippe Muller
Computation of Risk Measures using Importance Sampling
1 februari
Mats Levander
Yield Curve Modeling under Cyclical Influenc
2009
15 december
Camille Bollengier
Modelling and pricing volatility derivatives
14 december
Alexander Wojt
Portfolio Selection and Lower Partial Moments
16 november
Anna Bergfast
Automated Trading using a Dip Searching Strategy
2 november
Zhao Li
Importance Sampling for Estimating Risk Measures in Portfolio Credit Risk Models
2 november
Yuwei Zhao
Numerical algorithms for a class of obstacle problems
19 oktober
Johan Nykvist
Time consistency in option pricing models
19 oktober
Alexander Argiriou
Determining margin levels using risk modelling
5 oktober
Filip Rudzki
A Fault Isolation Model Utilising Weighted Information in Military Subsystems.
14 september
Ieva Gediminaite
On the Prediction Error in Several Claims Reserves Estimation Methods
14 september
Jesper Frick
Modelling credit risk with macroeconomic factors
7 september
Johan Obermayer
An analysis of the fundamental price drivers of EU ETS carbon credits
31 augusti
David Karlgren
Random testing of a market place system. Simulation of a market place
29 juni
Nie Liping
Optimal Investment Decisions When Time-horizon is Uncertain
15 juni
Philip Nicolin
Variance Risk Premiums in Currency Options
15 juni
Jonas Larsson
Risk analysis of structured products
1 juni
Tetiana Soviak
Financial outcomes of investing into socially responsible companies
1 juni
Niklas Westermark
Barrier Option Pricing
11 maj
Xia Guo och Tao Wang
Valuation of Life Insurance Contracts with Simulated Guaranteed Interest Rate
9 mars
Cecilia Pettersson
Incorporating the State of the Economy in Ratings Migration Forecasting.
9 mars
Helena Nilsson
Utveckling av portföljstrategier baserade på svagt kointegrerade finansiellla instrument med AdaBoosting.
2 mars
Hanna Larsson
:
Inter-risk Correlation within Economic Capital.
23 februari
William Sjöberg
Structured products: optimal allocation in different market climates.
23 februari
Akoo Hematbolland
Resource optimization in embedded systems based on data mining.
2008
22 december
Safia Djemili
Estimation of Operational Risk Capital: a Loss Distribution Approach.
11 december
Jérémie Finas
Forecasting power prices on the French electricity market - An overview.
11 december
Peter Ragnarsson
Prissättning av vindrelaterad katastrofrisk.
1 december
Mikael Hatanpää
Using Replicating Portfolios for Hedging Swedish Traditional Life Insurance Companies.
10 november
Maria Jonsson
Modellering och analys av beroende mellan riskslag.
15 september
Christian Stotzer Salmeron
Användningen av kön som riskgenererande faktor inom motorförsäkring.
1 september
Martin Lillieroth
Optimal liquidation with a focus on the sample-path approach.
10 juni
Daniel Rufelt
Fast trading: Stochastic Modeling and Simulation of Latency in Marketplace Systems.
10 juni
Magnus Carlsen
Condition Monitoring on Sub-Ice Systems.
2 juni
Peter Tram
Constructing the forward curve for the electricity market.
30 maj
Joel Hedlund
Exposure Model Validation within the Basel II Framework.
12 maj
Mattias Larsson
Portfolio optimization with Structured Products using Extreme Value Theory.
12 maj
Alexander Ruben
Long-term simulation of yield curves and the computation of Potential Future Exposure for counterparty risk measurements.
28 april
Erik Svensson
Modeling of Volatility Adjusted Leverage Options.
17 mars
Lilly Zuo
Diversity weighting on ETF:s.
3 mars
Mårten Marcus
A Volatility Approach to Constructing Real Time Probability Distributions.
11 februari
Victor Corzo Arellano
Life Insurance Contract Pricing Approach Considering Likelihood for Correlated Market Bankruptcy.
4 februari
Hanna Sahle
Pricing of Up-and-Out Options under Stochastic Volatility.
4 februari
Karl Hallberg
Valuing Forward Start CDOs and Options on CDOs using the Hull-White model.
28 januari
Ali Hamdi
Evaluating The Model of Lines for hedging barrier options.
28 januari
Emelie Puchot
Asset Management.
21 januari
Inga S. Nkomo
Tests for changes in correlation in financial data.
14 januari
Natalie Larsén
Quantile estimation with the POT method.
2007
17 december
Karl Stavenberg
Trend models within the structural time series framework.
10 december
Björn Löfdahl Grelsson
Estimating the Impact of Stop Losses on Portfolio Risk.
3 december
Farid Bonawiede
Exercise boundaries for American option prices and related problems.
26 november
Oskar Schyberg
A Monte Carlo Approach for Comparing and Evaluating Structured Equity Derivatives, Equity Linked Bonds: Principal Protected Bull Notes, using Visual Basic for Applications in Excel.
15 oktober
Niklas Hammarström
Nödvändig mätsträcka - strategi för mätning av fordonsbelastningar.
1 oktober
Johannes Thoms
Adaptive Markov Chain Monte Carlo Algorithms for improved Sampling.
3 september
Christoffer Jevring
The t-distribution in latent variable models for credit risk.
27 augusti
Justine Gruel
Basel II Methodologies - Calyon Project Finance LGD Model.
18 juni
Kristofer Ericson
Modelling Aspects in Credit Investments.
11 juni
Beatrice Unge
Aspekter på och konsekvenser av nya principer för trafikförsäkringen.
11 juni
Johan Land
Real and Risk-Neutral Probability Distributions.
2 april
Andreas Gustafsson
Prognostisering av energiförbrukning.
27 mars
Andreas Runnemo
A canonical optimal stopping problem under a double exponential jump diffusion.
27 mars
Cecilia Wingren
On Modelling the Convenience Yield in the Futures Market with application to five Consumption Commodities.
12 mars
Mathias Tedesund
Index Tracking under Fixed and Variable Transaction Costs.
5 mars
Cecilia Mellgrim
Analys av pensionsutfästelser.
5 mars
Pierrick Vache
Pricing Adjustments for Exotic Product.
26 februari
Arvid Lindberg
European Embedded Value and the value of corporate reporting.
26 februari
Adam Lindberg
Bargaining over business units - a game theoretic approach to acquisitions.
26 februari
Frida Hjalmarsson
Kapitalkravsberäkningar med CreditRisk+ och branschkorrelationer.
5 februari
Klara Persson
The exponentiated Gumbel distribution: an alternative to the generalised extreme value in wave-length modeling.
2006
11 december
Mattia Ferrini och Valentino Grassi
Pricing Plain-Vanilla and Exotic Callable Bonds.
11 december
Erik Alexandersson
Extreme Events in a Multi-factor Affine Term Structure Model.
25 september
Eric Karlsson
Non-Parametric Scenario Simulation and Portfolio Risk Management.
18 september
Andrea Lang
Estimation methods for terrain navigation.
18 september
Christian Carping och Jessica Ottosson
Värdering av livförsäkringskontrakt med en optionsmodell.
4 september
Tomas Neuman
Finansiell riskanalys - Fjärrvärme.
8 juni
Erik Nordblom
Statistical modelling of sensor response.
24 april
Christian Thulin
Pricing and Hedging of Basket Options.
21 april
Anna Sörelius
Generalized K-medians.
10 april
Robert Szulkin
Analysing transmission of cancer from blood donors to recipients using family methods.
27 mars
Anna Franzén
On the number of consecutive successes in Bernoulli trials.
20 februari
Jonas Westin
Vulnerability Analysis of Critical Infrastructures -Modeling Antagonistic Attacks Against Electric Power Grids.
20 februari
Ravi Jeswani
Calibration of the Potential Interest Rate Model.
16 januari
Johan Kilander:
Dimension reduction techniques and multivariate GARCH modeling.
2005
19 september
Magnus Kullberg:
Valuing Credit Default Swaps.
19 september
Carl Mikael Bergman:
Estimating Volatility Structures for Pricing Options with Electricity Forwards and Futures as Underlying Assets.
7 juni
Johan Holtsjö:
Optimal Active Risk Budgeting Model: Applied to Sjunde AP-fonden: Theory and Implementation.
7 juni
Sam Nylander:
Pricing Basket Credit Derivatives using a One Factor Model.
30 maj
Mikael Foghelin:
Collision probabilities between random vectors.
9 maj
Georges Mansourati:
The Effect of Changes in the Yield Curve on Exchange Rate Dependence.
18 april
Mattias Jansson:
On the pricing of Bermudan swaptions with an application to limited observed market data.
18 april
Andreas Johansson:
Stochastic modelling of commodity prices with applications to the German market.
14 mars
Christian Fredriksson:
Credit Derivatives - The impact of correlation.
14 mars
Babak Soltani:
Estimating loss distribution for operational risk using internal and external databases
28 februari
Mattias Lundahl:
Evaluation of Automated Portfolio Rebalancing Algorithms
28 februari
Peter Englund:
Analysing High Severity Operational Losses
21 februari
Niclas Gregoriusson:
Hedging av råolja och raffinerade produkter samt prissättning av råoljederivat
10 januari
Olof Werneman:
Pricing Lifelong Joint Annuity Insurances and Survival Annuity Insurances Using Copula Modeling of Bivariate Survival
2004
20 december
Eric Berglund:
Hedging Strategies for Cables and Capacities
29 november
Simon Oljans:
A Liability Matching Approach Involving Structured Products
22 november
Marcus Josefsson:
A copula-EVT based approach for measuring tail related risk: Applied on the Swedish market.
6 september
Thomas Hugmark:
On forward curve dynamics in the electricity market - dependence on hydro balance.
24 maj
Louise Hellqvist:
Default risk estimation of microfinance loans.
17 maj
Daniel Sunesson:
Two Default Risk Models.
17 maj
Lisa Larsson:
Pricing Bermudan Style Swaptions Using the Calibrated Hull White Model.
26 april
Catharina Karlsson:
Using Monte Carlo simulation in life cycle costing.
19 april
Karl Nygren:
Stock Prediction - A Neural Network Approach.
5 april
Selma Landqvist:
Jämförelse av underhållsmodeller vid de nordiska kärnkraftverken.
29 mars
Erik Jenelius:
Graph Models of Infrastructures and the Robustness of Power Grids.
29 mars
Erik Dahlin:
An evaluation of the effects of the markating campaign international marketing Öresund performed with DEA (Data Envelopment Analysis).
8 mars
Henrik Engström:
Tidsseriegranskning på Statistiska centralbyrån, Riksbankens finansmarknadsstatistik (FMR).
23 februari
David Tysk:
SRB - Evaluating and extending an intensity-based credit risk model.
13 februari
Agnieszka Zalewska:
Modeling the Price of a Credit Default Swap.
13 februari
Göran Svensson:
Longstaff and Schwartz Models for American Options.
9 februari
Rahul Singh:
An Extreme Value Theory Approach for Measuring Tail Related Risk: Applied on Foreign Exchange Rates.
9 februari
Panagiotis Pavlidis:
Estimation Risk in Portfolio Selection.
26 januari
Jens Svensson:
Realized Volatility and Multivariate GARCH: Theory and Application to Foreign Exchange Portfolios.
19 januari
Adam Jonsson Oduya:
Understanding an anomaly in the solution of a Stochastic Control problem.
19 januari
Tomas Torstensson:
Reliability in fatigue - On the choice of distributions in the load-strength model.
12 januari
Joakim Ahlberg:
Strategy and Football: A Game Theoretic Model of a Football Match.
2003
15 december
Kim Hansson:
Fixed Income Attribution Analysis.
1 december
Oskar Åkerblom:
To Model the Risk of Cash Flow based Finance Transactions for PFI Deals.
1 december
Mattias Karlsson:
To Model the Risk of Cash Flow based Finance Transactions for PFI Deals.
24 november
Lars Ek:
Automatic reserving of small claims. --- A comparison of two different approaches of small claims reserving methodology.
17 november
Erik Forssell:
Investigation of excursions in Brownian motion.
3 november
Erik Larsson:
Hedge Fund Performance Evaluation.
3 november
Lars Larsson:
The Factor Exposure of Hedge Fund Indices.
6 oktober
Ellinor Forslund:
Pricing of Unit-Linked Life Insurance Contract.
22 september
Mikael Nowak:
Monetary Risk Measures - A Survey.
6 oktober
Anette Engström:
Huntington's Disease and Income Protection Insurance.
10 juni
Christèle Jörud:
Technical Analysis in the Financial Market; Critical Approach and Practical Improvements.
10 juni
Henrik Alpsten:
Pricing Bermudan swap options using the BGM model with arbitrage-free discretisation and boundary based option exercise.
26 maj
Lili Svensson:
Aspects and practical application of operational risk management for the banking institution.
12 maj
Katarina Åselius:
Tidsserieanalys tillämpad på spreaden SHB-SEB med införande av autoregressiv heteroskedastisk process för variansen.
15 april
Fredrik Solberg:
Pricing Child Health and Accident Insurance.
14 april
Fredrik Gustavsson:
Processoptimering medelst multivariata och kombinatoriska metoder.
7 april
Mårten Grebäck:
An Analytic Framework for Computing Value-at-Risk in Incomplete Markets with Credit Risk.
7 april
Anders Holst:
Utility Based Pricing of Credit Risk Derivatives in Incomplete Markets.
3 mars
Fredrik Davéus:
Nonparametric local modeling of financial time series.
3 mars
George Englund:
Valuing Credit Default Swaps.
17 februari
Petter Pettersson:
Financial Derivatives for Computer Network Capacity Markets with Quality-of-Service Guarantees.
10 februari
Martin Lundvall:
On the Risk Management and Portfolio Analysis of Hedge Funds.
2002
10 december
Johan Sahlén:
Genetic Testing and Pricing of Insurance Contracts.
2 december
Monika Eriksson:
Risk in Portfolio Analysis; Measures and Computation on the Electricity Market.
2 december
Ronny Alvang:
Classification of protein crystal unit cells into visually distinct types by Principal Components Analysis.
25 november
Andreas Johansson:
Using Extreme Value Theory to Estimate Tails of Operational Loss Distributions.
25 november
Mikael Freilich:
One step prediction of financial time series.
14 november
Fredrik Eliasson:
A Risk Perspective on Verification and Validation Efforts in Simulation Models, Specifically on an Autonomous Co-operating Missile System.
14 november
Pauline Edlund:
Improved Estimation of the Covariance Matrix, a Real Estate Application.
28 oktober
Jonathan Wendin:
Estimation of the Spectral Measure and Tail Dependence Coefficient for Regularly Varying Random Vectors.
3 september
Gustav Teng och Magnus Wahlund:
Tillgänglighetsanalys av system SS4 i Barsebäcks reaktor 2.
14 juni
Lars Karlsson:
GARCH-Modelling: Theoretical Survey, Model Implementation and Robustness Analysis.
14 juni
Benoît Riquet:
Elliptical distributions in risk management.
14 juni
Marie-Claude Saisse:
Modelling the Time-Varying Risk Premium in a CAPM Framework.
14 maj
Marcin Ciolek:
Kreditrisk - Modellering av de nya kapitaltäckningsreglerna.
10 april
Hanna von Euler:
Attempts to select customers from a database using Artificial Intelligence and Principal Component Analysis.
21 februari
Mattias Bylund:
A comparison of margin calculation methods for exchange traded contracts.
21 februari
Henrik B. Kwarnmark:
A vector-autoregressive integrated market and macro factor default model.
18 februari
Sead Omérov:
Comparison of methods for computing total variation distance bounds for compound Poisson approximations of word counts.
28 januari
Mathias Barkhagen:
Value at Risk & Vega Risk - using the implied volatility surface to compute VaR for option positions.
14 januari
Johan Sandström:
Prissättning och hedging av temperaturberoende volymrisk på elmarknaden.
14 januari
Fredrik Strandberg:
Tails and outliers in financial time series.
2001
10 december
Johan Sahlén:
Genetic Testing and Pricing of Insurance Contracts.
20 november
Daniel Rutberg:
En studie av konjunkturberoende i svenska skadeförsäkringar.
12 november
Jonas Lundberg:
Option-pricing with a "smile" - derivation of probability distribution via relative entropy minimization.
15 oktober
Michael Hemph:
Bond trading strategies based on Term Structure Models.
15 oktober
Nikolas Santikos:
Pricing Spread options on Swaps.
8 oktober
Marcus Granstedt:
Kredit- och försäkringsderivat.
21 september
Johan Liljefors:
Static Hedging of Barrier Options under Dynamic Market Conditions.
10 augusti
Arnaud Leclerc:
Pricing quanto long-term warrants on risky bonds.
11 juni
Johan Stengård:
Dynamic Investment Policies for Property and Casualty Insurance Companies.
12 mars
Camilla Hiertner:
The Dupire volatility model versus the stochastic volatility model for European call options.
26 februari
David Stillberger:
On pricing weather derivatives.
26 februari
Jens Carlsson:
An Approximation Formula for an Asian Option on a Foreign Equity Basket.
2000
11 december
Jon Lidefelt:
Bunden - Värdering av en implicit ränteoption.
13 november
Per Wirsén
The Impact of Default Risk when Pricing Bermudan Bond Options Using the Jarrow-Turnbull Approach.
13 november
Otto Francke
The Impact of Default Risk when Pricing American Bond Options Using the Jarrow-Turnbull Approach.
16 oktober
Torbjörn Uddevik:
Trading rules for dynamic liability management.
18 september
Johan Tegin:
Statistical analysis of tunable semiconductor laser reliability data.
4 september
Andreas Mattson:
Pricing of Bermudan Swaptions Using a Monte Carlo Simulation Approach.
9 juni
Mikael Sandberg:
Prissättning av optioner med elektricitet som underliggande vara med tidsberoende volatilitet.
9 juni
Céline Mougin och Armel Voinnesson:
On volatility surfaces for American equity options.
17 april
Niklas Oreland:
The relationship between financial statements and stock returns on the European Markets.
27 mars
Carl-Magnus Fahlcrantz:
Computer-intensive methods in modern navigation.
15 mars
Jenny Dennemark:
Approximation formulas for pricing Asian options.
21 februari
Ylva Gustafsson:
Hidden Markov Models with applications in speaker verification. .
7 februari
Filip Lindskog:
Modelling Dependence with Copulas.
24 januari
Henrik Waldenlind:
Managing Volatility Risk.
17 januari
Mattias Karlsson:
Optimal Information Transmission in the Auditory System.
17 januari
Magnus Moglia:
A stochastic model for changes of wind and temperature in the atmosphere.
14 januari
Oskar Lagergren Bjursten:
A cointegration approach to the dynamics of savings.
14 januari
Henrik Hult:
Quadratic hedging - An overview.
1999
20 december
Pontus Lidbrink och Gustav Fyring:
Valuing and hedging Asian basket options.
29 november
Joacim Wiklander:
A multi-factor model for the Swedish stock market - The relationship between macroeconomic variables, financial statements and stock return.
29 november
Maria Jansson:
Pricing of interest rate derivatives using a three factor Brace-Gatarek-Musiela model.
8 november
Mikael Däckfors:
Extreme Value Theory Approach to Value-at-Risk with Applications to Market and Operational Risks.
8 november
Arun Kaul:
Liquidity Risk for portfolio transactions.
20 september
Yuna Cho :
On pricing mortgage backed bonds with term structure models
20 september
Fredrik Wikefeldt :
Optimal portfolios and time horizons .
7 juni
Lennart Enström:
Multispeads.
22 april
Henrik Lasu:
Kvantifiering av kreditriskpremien i räntebärande tillgångar.
26 mars
Per Hallberg:
On the coverage time of a point in a one-dimensional growth process.
15 mars
Peter Ekh:
Value at Risk - Beräkningar på en derivatfond
10 mars
Per Edholm:
Data envelopment analysis of incoming sales.
4 mars
Anders Larnholt:
An alternative approach to estimating default probabilities in credit risks.
15 januari
Marita Dellcrantz:
Tillförlitlighet av transformatorer
1998
7 december
Mattias Andersson:
Modelling long-term capital markets
5 oktober
Gustaf Sahlström:
Simuleringsmetoder vid driftsäkerhetsberäkningar - särskilt för armésystem.
10 juni
Yann Ollivier och Cédric Schwartzler:
Nettointäkter av spel - påverkan av spelarbeteendet och den teoretiska utdelningen.
29 maj
Claes-Erik Rydberg:
Prissättning av caplets: Analytisk och empirisk jämförelse av olika modeller för räntan.
24 april
Marc Bohlin:
Pricing of Options with Electricity Futures as Underlying Assets
24 april
Petra Nitell:
Tillgänglighetsanalys för stockholms elnät
15 april
Roger Olmås:
Prediktering av elspotpris medelst linjär regression
Till Matematisk Statistik
To Mathematical Statistics
Sidansvarig: Filip Lindskog
Uppdaterad: 14/6–2010