KTH Matematik

Seminarier 2010 - Seminars 2010 15 december Mert Camlibel och Johan Lundgren Investigation of the effect of using stochastic and local volatility when pricing barrier options (Examensarbete – Master thesis) 13 december Martin Groth Räntemodellering efter den finansiella krisen. 6 december Kaj Nyström The Skorohod Oblique Reflection Problem in Time-dependent Domains 6 december Matheus Grasselli Calibration of Chaotic Models for Interest Rates 8 november Svante Linusson Brister och möjliga förbättringar i det svenska valsystemet 1 november Somar Koria The analysis of different financial risk measures in Hydro-electric portfolio optimization (Examensarbete – Master thesis) 18 oktober Olle Häggström Statistikern och klimatdebatten 11 oktober Jörgen Blomvall Interest rate modeling and optimal investments 1 oktober Kia Karlemo Interest Rate Term Structure Modeling in the Presence of Missing Data (Examensarbete – Master thesis) 27 september Jimmy Olsson Smoothing in general hidden Markov models using sequential Monte Carlo methods 20 september Mia Deijfen Preferential attachment models and general branching processes 6 september Young Kim On implementing Euro-Bund futures (Examensarbete – Master thesis) 13 augusti Erik Johansson Real Options in Energy Investments (Examensarbete – Master thesis) 28 juni Malte Obbel Forsberg Solvency II/SST and modelling of risk aggregation (Examensarbete – Master thesis) 21 juni Oxana Tiganas Risk modeling and pricing of Euribor futures and options using the Ho-Lee model (Examensarbete – Master thesis) 8 och 10 juni Henrik Hult Four lectures on importance sampling 7 juni Tobias Anglevik En ALM modell med minimering av CVaR och krav på tillväxt (Examensarbete – Master thesis) 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 (Examensarbete – Master thesis) 31 maj Filip Andersson Forward start option pricing with four different stochastic volatility models (Examensarbete – Master thesis) 31 maj Taraneh Derayati och Harde Kader Saleh Risk calculation of interest rate swaps (Examensarbete – Master thesis) 17 maj Andreas Nordvall Lagerås Asset Liability Management for a Large Insurance Company 10 maj Meng Bai Wang Pricing FX barriers with local volatility surface (Examensarbete – Master thesis) 5 maj Joseph Abram Implementing and Testing Replicating Portfolios for Life Insurance Contracts (Examensarbete – Master thesis) 5 maj Joachim Priou GARCH models with Generalized Hyperbolic innovations with application to carbon derivative pricing (Examensarbete – Master thesis) 21 april Frida Holmberg och Rasmus Thunberg Looking Over the Hedge, Currency Hedging of Stochastic Cash Flows (Examensarbete – Master thesis) 8 april Joakim Ahlinder och Magnus Hanson Portfolio Risk Measures over Time (Examensarbete – Master thesis) 8 mars Axel Sundén Trading based on classification and regression trees (Examensarbete – Master thesis) 8 mars Mattias Letmark Robustness of Conditional Value-at-Risk (CVaR) when measuring market risk across different asset classes (Examensarbete – Master thesis) 22 februari Philip Hansen och Mikael Lärfars Evaluating Long-Term Performance of Structured Products (Examensarbete – Master thesis) 15 februari Philippe Muller Computation of Risk Measures using Importance Sampling (Examensarbete – Master thesis) 1 februari Mats Levander Yield Curve Modeling under Cyclical Influenc (Examensarbete – Master thesis) Till Matematisk Statistik To Mathematical Statistics

Sidansvarig: Gunnar Englund Uppdaterad: 20-02-2007