KTH Matematik

Seminarier - Seminars 16 november Victor Tingström Sequential parameter and state learning in continuous time stochastic volatility models using the SMC2 algorithm (Master's thesis) 16 november Anton Osika Statistical analysis of online linguistic sentiment data with financial applications (Master's thesis) 10 november Simon von Metzner Risks and scenarios in the Swedish income-based pension system (Master's thesis) 22 oktober Erik Leijonmarck Exploiting Temporal Difference for Energy Disaggregation via Discriminative Sparse Coding (Master's thesis) 15 oktober Markus Andersson Multivariate financial time series and volatility models with applications to tactical asset allocation (Master's thesis) 29 september Eric Sunnegårdh and Ludvig Lamm Efficient Sensitivity Analysis using Algorithmic Differentiation in Financial Applications (Master's thesis) 28 september Markus Ahlgren Internal market risk modelling for power trading companies (Master's thesis) 28 september Alexandra Andersson Smart beta investment based on macroeconomic indicators (Master's thesis) 28 september Richard Steffen Risk premier implied by derivative prices (Master's thesis) 21 september Hampus Engsner A PIT-Based approach to Validation of Electricity Spot Price Models (Master's thesis) 9 september Martin Hellander Credit value adjustment: the aspects of pricing counterpart credit risk on interest rate swaps (Master's thesis) 9 september Annelie Johansson Claims reserving on macro- and micro-level (Master's thesis) 7 september Philip Bramstång and Richard Hermansson Extreme value theory with Markov chain Monte Carlo - an automated process for EVT in finance (Master's thesis) 26 augusti Susanna Kaas Validation of market commodity forward curves (Master's thesis) 26 augusti Lisa Wimmerstedt Backtesting Expected Shortfall: the design and implementation of different backtests (Master's thesis) 14 juni Lovisa Jangenstål Hedging interest rate swaps (Master's thesis) 12 juni Marianne Fjelberg Predicting data traffic in cellular data networks (Master's thesis) 12 juni Felix Bogren Estimation of the term structure of default probabilities for heterogeneous credit portfolios (Master's thesis) 12 juni Johan Olsson Managing clearinghouse risk for NDF cleared contracts (Master's thesis) 12 juni Gilberto Batres-Estrada Deep learning for multivariate financial time series (Master's thesis) 10 juni Oscar Blomkvist Smart Beta - index weighting (Master's thesis) 10 juni Erik Dahlberg Bayesian Inference Methods in Operational Risk (Master's thesis) 10 juni Viktor Enoksson and Fredrik Svedberg Optmimization of hydro power on the Nordic electricity exchange using financial derivatives (Master's thesis) 9 juni Ella Zackrisson Evaluation of hedging strategies of Asian options on electricity at Nord Pool (Master's thesis) 9 juni Kivan Kaivanipour Non-life insurance pricing using the generalized additive model, smoothing splines and L-curves (Master's thesis) 9 juni Oscar Hallberg and Mattias Wärmlöf Helmrich Operational Risk Modeling: Addressing the Reporting Threshold Problem (Master's thesis) 8 juni Erik Finnerman and Carl Robin Kirchmann Evaluation of alternative weighting techniques on the Swedish stock market (Master's thesis) 8 juni Niklas Lundström Viscosity solutions of oblique derivative problems for nonlinear parabolic PDEs in time-dependent domains 5 juni Johan Westerborn On particle-based online smoothing and parameter inference in general hidden Markov models (Licentiate thesis) 3 juni Anders Pettersson High-dimensional classification models with applications to email targeting (Master's thesis) 3 juni Philip Nilsson, Sebastian Nilsson Application of Poisson Regression on Traffic Safety (Master's thesis) 2 juni Ted Segerfors Spurious heavy tails (Master's thesis) 1 juni Fredrik Backman Dependence Modelling and Risk Analysis in a Joint Credit-Equity Framework (Master's thesis) 1 juni Rickard Bredeby Analysis of copula opinion pooling with applications to quantitative portfolio management (Master's thesis) 18 maj Algorithmica (internt) 11 maj KTH Insurance Mathematics Day 6 maj Patrik Gunnvald och Viktor Joelsson Analysis of Hedging Strategies for Hydro Power on the Nordic Power Market (Master's thesis) 4 maj Randall Douc Asymptotic properties of Quasi-Maximum Likelihood Estimators in Observation-Driven Time Series models 20 april Algorithmica (internt) 14 april Joakim Wininger Estimating the intrinsic dimensionality of high-dimensional data 13 april Marcus Christiansen Dynamics of solvency risk in life insurance liabilities 30 mars Sebastien Mollaret Collateral choice option valuation (Master's thesis) 30 mars Léo André Prediction of French day-ahead electricity prices: comparison between a deterministic and a stochastic approach (Master's thesis) 30 mars Zakaria El Menouni Pricing Interest Rate Derivatives in the Multi-Curve Framework with a Stochastic Basis (Master's thesis) 23 mars Maren Schmeck Electricity price modeling with stochastic time change 9 mars Martin Möllberg On calibrating an extension of the Chen model (Master's thesis) 9 mars Takayuki Yamada Statistical inference concerning normal based discriminant analysis when the dimension is large compared to sample sizes 3 mars Johan Nykvist Topics in importance sampling and derivatives pricing (Doctoral thesis) 24 februari Jonas Hallgren Continuous time Graphical Models and Decomposition Sampling (Licentiate thesis) 23 & 25 februari Tomas Björk Optimal Control and Filtering with Finance Applications (Graduate course - extra lectures) 23 februari Błazej Miasojedow MCMC algorithm for CTBN's via particle Gibbs 2 februari Tomas Björk Optimal Control and Filtering with Finance Applications (Graduate course) 23 januari Thorbjörn Gudmundsson Rare Event Simulation with Markov Chain Monte Carlo (Doctoral thesis) 15 januari Clémence Bisot Spectral Data Processing for Steel Industry (Master's thesis) Seminarier under 2013 Seminarier under 2012 Seminarier under 2011 Seminarier under 2010 Seminarier under 2009 Seminarier under 2008 Seminarier under 2007 Seminarier under 2006 Seminarier under 2005 Seminarier under 2004 Seminarier under 2003 Seminarier under 2002 Seminarier under 2001 Seminarier under 2000 Seminarier under 1999 Seminarier under 1998 Seminarier under 1997 Seminarier under 1996 Till Matematisk Statistik To Mathematical Statistics

Sidansvarig: Henrik Hult Uppdaterad: 23/12-2013