KTH Matematik   

Finansiell Matematik
Finished theses projects in financial mathematics


Alexander Aurell "The SVI implied volatility model and its calibration" (Handl. Boualem Djehiche)

Simon Måssebäck "A comparison of the IRB approach and the Standard Approach under CRR for purchased defaulted retail exposures" (Handl. Boualem Djehiche)

Rickard Gunnvald "Estimating Probability of Default Using Rating Migrations in Discrete and Continuous Time" (Handl. Boualem Djehiche)

Amadeus Wennström "Volatility Forecasting Performance: Evaluation of GARCH type volatility models on Nordic equity indices" (Handl. Jimmy Olsson)

Oskar Ericsson "Risk Analysis Against Electricity Market Index and Portfolio Optimisation" (Handl. Filip Lindskog)

Daniel Boros "On Lapse risk factors in Solvency II" (Handl. Boualem Djehiche)

Fredrik Giertz "Analysis and optimization of a portfolio of catastrophe bonds" (Handl. Filip Lindskog)

Andreas Lagerqvist "Parameter estimation of a non-equilibrium asset pricing model and performance analysis of the calibration in terms of sloppiness" (Handl. Filip Lindskog)

Johan Andersson "Locating Multiple Change-Points Using a Combination of Methods" (Handl. Camilla Landén)

Magnus Bergroth and Anders Carlsson "Estimation of a liquidity premium for swedish inflation linked bonds" (Handl. Boualem Djehiche)

Sara Jonsson and Beatrice Rönnlund "The new standardized approach for measuring counterparty risk" (Handl. Henrik Hult)

Fredrik Dahlin och Samuel Storkitt "Estimation of loss given default for low default portfolios" (Handl. Boualem Djehiche)

Alex Singh "A risk-transaction cost trade-off model for index tracking" (Handl. Boualem Djehiche)

Björn Skanke "Analysis of Pension Strategies" (Handl. Henrik Hult)

Peter Nguyen Andersson "Liquidity and corporate bond pricing on the Swedish market" (Handl. Camilla Landén)

Linus Lauri "Algorithmic evaluation of Parameter Estimation for Hidden Markov Models in Finance" (Handl. Boualem Djehiche)

Daniel Drugge "Allocation Methods for Alternative Risk Premia Strategies" (Handl. Filip Lindskog)

Dan Franzen och Otto Sjöholm "Credit Valuation Adjustment - Theory and Practice" (Handl. Henrik Hult)


Johan Wahlström "Operational Risk Modeling: Theory and Practice" (Handl. Filip Lindskog)

Yuya Suzuki "Rare-event simulation with Markov Chain Monte Carlo" (Handl. Henrik Hult)

Maxime Malgrat "Pricing of a “worst of” option using a Copula method" (Handl. Boualem Djehiche)

Rasmus Hansén "Allocation of Risk Capital to Contracts in Catastrophe Reinsurance" (Handl. Filip Lindskog)

Kristoffer Stenberg och Henrik Wikerman "Evaluating Regime Switching in Dynamic Conditional Correlation" (Handl. Tatjana Pavlenko)

Ina Lundström "Finding Risk Factors for Long-Term Sickness Absence Using Classification Trees" (Handl. Timo Koski)

Goran Kap och Dana Ali "Statistical analysis of computer network security" (Handl. Timo Koski)

Takeo Murase "Interest rate risk - using benchmark shifts in a multi-hierarchy paradigm" (Handl. Henrik Hult)

Laura Kremer "Assessment of a credit Value-at-Risk for corporate credits" (Handl. Henrik Hult)

Heloise de Sauvage "Analysis and comparison of capital allocation techniques in an insurance context" (Handl. Henrik Hult)

Fredrik Dacke "Non-local means denoising of projection images in cone beam computed tomography" (Handl. Timo Koski)

André Eriksson "Anomaly Detection in Machine Generated Data: A Structured Approach" (Handl. Timo Koski)

Noah Clason "Forecasting Euro Area Inflation By Aggregating Sub-components" (Handl. Tatjana Pavlenko)

Benjamin Dastmard "A Statistical analysis of the connection between test results and field claims for ECUs in vehicles" (Handl. Timo Koski)

Renée Blomberg "Who is granted disability benefit in Sweden?" (Handl. Harald Lang)

Karl Birkholz "Annuity Divisor - comparison between different computational methods" (Handl. Timo Koski)

Björn Torell "Name concentration risk and pillar 2 compliance - the granularity adjustment" (Handl. Henrik Hult)


Damr Tewolde "Pricing Inflation Derivatives" (Handl. Boualem Djehiche)

Alexander Jöhnemark "Modeling Operational Risk: a Loss Distribution Approach" (Handl. Filip Lindskog)

Persa Gobeljić "Classification of Probability of Default and Rating Philosophies" (Handl. Boualem Djehiche)

Shlok Datye "Money Management Principles for Mechanical Traders" (Handl. Filip Lindskog)

Cheung Mei Ting and Su Xun "Day-of-the-week effects in stock market data" (Handl. Filip Lindskog)

Pär Lorentz "A modified Sharpe ratio based portfolio optimization" (Handl. Boualem Djehiche)

Erik Villaume "Predicting customer level risk patterns in non-life insurance" (Handl. Henrik Hult)

Richard Koivusalo "Statistical analysis of empirical pairwise copulas for the S&P 500 stocks" (Handl. Tatjana Pavlenko)

Gustav Montgomerie-Neilson "Selecting the Worst-Case Portfolio: A proposed pre-trade risk validation algorithm of SPAN" (Handl. Tobias Rydén)

Frida Bjarnadottir "Implementation of CoVaR, A Measure for Systemic Risk" (Handl. Tobias Rydén)

Håkan Edström "A Quantitative Analysis of Liquidity and Funding Value Adjustments" (Handl. Henrik Hult)

Daniel Eliasson "Game Contingent Claims" (Handl. Harald Lang)

Lennart Mumm "Reject inference in online purchases" (Handl. Tatjana Pavlenko)

Harry Hedman "Performance evaluation of artificial neural networks in the foreign exchange market" (Handl. Timo Koski)

Fredrik Hansson "A pricing and performance study on auto-callable structured products " (Handl. Boualem Djehiche)

Rokas Serepka "Analyzing and modeling exchange rate data using VAR framework" (Handl. Tobias Rydén)

Matts Andersson "Risk assessment of portfolios of exotic derivatives" (Handl. Henrik Hult)

Erik Wiklund "The effect of volatility on the pricing of Asian options" (Handl. Henrik Hult)

Hans Edward Gennow "Valuation Adjustments of Illiquid Instruments" (Handl. Harald Lang)

Gustaf Linnell "Option Pricing with Events at Deterministic Times" (Handl. Filip Lindskog)

Maxime Vanneste "Pricing and parameters influencing the Basis: is it a profitable arbitrage opportunity?" (Handl. Filip Lindskog)

Mikael Forsman "A Model Implementation of Incremental Risk Charge" (Handl. Timo Koski)

Arnaud Blanchard "The Two-Factor Hull-White Model: Pricing and Calibration of Interest Rates Derivatives" (Handl. Filip Lindskog)

Jan Engshagen "Nothing is normal in finance!" (Handl. Filip Lindskog)

Henrik Teneberg "Pricing Contingent Convertibles using an Equity Derivatives Jump Diffusion Approach" (Handl. Filip Lindskog)

Max Lindquist "The properties of interest rate swaps - An investigation of the price setting of illiquid interest rates swaps and the perfect hedging portfolios" (Handl. Tobias Rydén)

Stefan Sandberg "Liquidity in Equity and Option Markets - A Hedging Perspective" (Handl. Boualem Djehiche)


Arnaud Gallais "CPPI Structures on Funds Derivatives" (Handl. Filip Lindskog)

Raphael Simonnet "Variance and volatility swaps: Back test of a volatility swap replication strategy" (Handl. Filip Lindskog)

Patrik Nilsson "Liquidation strategies in a long-short equity portfolio" (Handl. Filip Lindskog)

Marc Vignon "Implementing sensitivity calculations for long interest rates future" (Handl. Boualem Djehiche)

Bastien Grandet "Sensitivity analysis and stress testing in the interest rate market" (Handl. Filip Lindskog)

Rémi Guérin "Volatility surface and correlation in the commodity market" (Handl. Filip Lindskog)

Fredrik Henrikson "Characteristics of High-Frequency Trading" (Handl. Filip Lindskog)

Helena Von Feilitzen "Modeling Non-maturing Liabilities" (Handl. Filip Lindskog)

Fang Li "Predicting future returns with investor views" (Handl. Henrik Hult)

Daniel Amsköld "A comparison between different volatility models" (Handl. Harald Lang)

Jonas Bergroth "Performance and risk analysis of the Hodrick-Prescott filter" (Handl. Boualem Djehiche)

Emelie Limin "Analysis of purchase behaviors of IKEA family card users, using Generalized linear model" (Handl. Boualem Djehiche)

Fredrik Hallgren "On Prediction and Filtering of Stock Index Returns" (Handl. Boualem Djehiche)

Liang Zhong "Betting on Volatility: A Delta Hedging Approach" (Handl. Henrik Hult)

Luc Goutermanoff "Establishment of a volatility pattern on the electricity market" (Handl. Camilla Landen)

Johan Dellner "Can a simple model for the interaction between value and momentum traders explain how equity futures react to earnings announcements?" (Handl. Boualem Djehiche)

Lina Palmborg och Ebba Baldvinsdottir "On Constructing a Market Consistent Economic Scenario Generator" (Handl. Boualem Djehiche)

Karl-Sebastian Lindblad "How big is large? A study of the limit for large insurance claims in case reserves" (Handl. Harald Lang)

Andreas Wirenhammar "Modeling Downturn LGD for a Retail Portfolio" (Handl. Harald Lang)

Daniel Budai och David Jallo "The Market Graph - A study of its characteristics, structure & dynamics" (Handl. Harald Lang)

Markus Hveem "Portfolio management using structured products - The capital guarantee puzzle" (Handl. Filip Lindskog)

Peter Larsson och Leonhard Flohr "Optimal proxy-hedging of options on illiquid baskets" (Handl. Henrik Hult)

Hulda Thorbjörnsdottir "Macroeconomic multifactor model - An econometric study" (Handl. Filip Lindskog)

Carl-Johan Johansson och Greger Sundqvist "Model risk in a hedging perspective" (Handl. Harald Lang)


Mert Camlibel och Johan Lundgren "Investigation of the effect of using stochastic and local volatility when pricing barrier options" (Handl. Boualem Djehiche)

Somar Koria "The analysis of different financial risk measures in Hydro-electric portfolio optimization" (Handl. Boualem Djehiche)

Kia Karlemo "Interest rate term structure modeling in the presence of missing data" (Handl. Filip Lindskog)

Young Kim "On implementing Euro-Bund futures" (Handl. Boualem Djehiche)

Erik Johansson "Real options in energy investments" (Handl. Filip Lindskog)

Malte Obbel Forsberg "Solvency II/SST and modelling of risk aggregation" (Handl. Henrik Hult)

Oxana Tiganas "Risk modeling and pricing of Euribor futures and options using the Ho-Lee model" (Handl. Filip Lindskog)

Tobias Anglevik "En ALM modell med minimering av CVaR och krav på tillväxt" (Handl. Boualem Djehiche)

Jörg Hofmeister "Portfolio Optimization with Structured Products: A quantitative approach to rebalancing portfolios of index linked principle protected notes and non-principle protected certificates" (Handl. Filip Lindskog)

Taraneh Derayati och Harde Kader Saleh "Risk calculation of interest rate swaps" (Handl. Filip Lindskog)

Meng Bai Wang "Pricing FX barriers with local volatility surface" (Handl. Boualem Djehiche)

Joseph Abram "Implementing and Testing Replicating Portfolios for Life Insurance Contracts " (Handl. Boualem Djehiche)

Joachim Priou "GARCH models with Generalized Hyperbolic innovations with application to carbon derivative pricing" (Handl. Boualem Djehiche)

Frida Holmberg och Rasmus Thunberg "Looking Over the Hedge, Currency Hedging of Stochastic Cash Flows" (Handl. Harald Lang)

Joakim Ahlinder och Magnus Hanson "Portfolio Risk Measures over Time" (Handl. Harald Lang)

Axel Sundén "Trading based on classification and regression trees" (Handl. Boualem Djehiche)

Mattias Letmark "Robustness of Conditional Value-at-Risk (CVaR) when measuring market risk across different asset classes" (Handl. Boualem Djehiche)

Philip Hansen och Mikael Lärfars "Evaluating Long-Term Performance of Structured Products" (Handl. Harald Lang)

Philippe Muller "Computation of Risk Measures using Importance Sampling" (Handl. Henrik Hult och Filip Lindskog)

Mats Levander "Yield Curve Modeling under Cyclical Influence" (Handl. Henrik Hult)


Camille Bollengier "Modelling and pricing volatility derivatives" (Handl. Boualem Djehiche)

Alexander Wojt "Portfolio Selection and Lower Partial Moments" (Handl. Filip Lindskog)

Anna Bergfast "Automated Trading using a Dip Searching Strategy" (Handl. Henrik Hult)

Zhao Li "Importance sampling for estimating risk measures in portfolio credit risk models" (Handl. Henrik Hult)

Yuwei Zhao "Numerical algorithms for a class of obstacle problems " (Handl. Boualem Djehiche)

Johan Nykvist "Time consistency in option pricing models" (Handl. Filip Lindskog)

Alexander Argiriou "Determining margin levels using risk modelling" (Handl. Filip Lindskog)

Ieva Gediminaite "On the Prediction Error in Several Claims Reserves Estimation Methods" (Handl. Boualem Djehiche)

Jesper Frick "Modelling credit risk with macroeconomic factors" (Handl. Filip Lindskog)

Johan Obermayer "An analysis of the fundamental price drivers of EU ETS carbon credits" (Handl. Harald Lang)

David Karlgren "Random testing of a market place system. Simulation of a market place" (Handl. Timo Koski)

Nie Liping "Optimal Investment Decisions When Time-horizon is Uncertain" (Handl. Boualem Djehiche)

Philip Nicolin "Variance Risk Premiums in Currency Options" (Handl. Boualem Djehiche)

Jonas Larsson "Risk analysis of structured products" (Handl. Filip Lindskog)

Tetiana Soviak "Financial outcomes of investing into socially responsible companies" (Handl. Boualem Djehiche)

Niklas Westermark "Barrier Option Pricing" (Handl. Camilla Landén)

Xia Guo och Tao Wang "Valuation of Life Insurance Contracts with Simulated Guaranteed Interest Rate" (Handl. Boualem Djehiche)

Cecilia Pettersson "Incorporating The State of the Economy in Ratings Migration Forecasting" (Handl. Harald Lang)

Helena Nilsson "Utveckling av portföljstrategier baserade på svagt kointegrerade finansiellla instrument med AdaBoosting" (Handl. Timo Koski)

Hanna Larsson "Inter-risk Correlation within Economic Capital" (Handl. Harald Lang)

William Sjöberg "Structured products: optimal allocation in different market climates" (Handl. Henrik Hult)


Safia Djemili "Estimation of Operational Risk Capital: a Loss Distribution Approach" (Handl. Filip Lindskog)

Jérémie Finas "Forecasting power prices on the French electricity market - An overview" (Handl. Boualem Djehiche)

Peter Ragnarsson "Prissättning av vindrelaterad katastrofrisk" (Handl. Boualem Djehiche)

Mikael Hatanpää "Using Replicating Portfolios for Hedging Swedish Traditional Life Insurance Companies" (Handl. Boualem Djehiche)

Maria Jonsson "Modellering och analys av beroende mellan riskslag" (Handl. Filip Lindskog)

Martin Lillieroth "Optimal liquidation with a focus on the sample-path approach" (Handl. Boualem Djehiche)

Daniel Rufelt "Fast trading: Stochastic Modeling and Simulation of Latency in Marketplace Systems" (Handl. Harald Lang)

Peter Tram "Constructing the forward curve for the electricity market" (Handl. Ulf Brännlund)

Joel Hedlund "Exposure Model Validation within the Basel II Framework" (Handl. Filip Lindskog)

Mattias Larsson "Portfolio optimization with Structured Products using Extreme Value Theory" (Handl. Ulf Brännlund, Filip Lindskog)

Alexander Ruben "Long-term simulation of yield curves and the computation of Potential Future Exposure for counterparty risk measurements" (Handl. Camilla Landén)

Erik Svensson "Modeling of Volatility Adjusted Leverage Options" (Handl. Camilla Landén, Harald Lang)

Lilly Zuo "Diversity weighting on ETF:s" (Handl. Boualem Djehiche)

Mårten Marcus "A Volatility Approach to Constructing Real Time Probability Distributions" (Handl. Boualem Djehiche)

Victor Corzo Arellano "Life Insurance Contract Pricing Approach Considering Likelihood for Correlated Market Bankruptcy " (Handl. Boualem Djehiche)

Hanna Sahle "Pricing of Up-and-Out Options under Stochastic Volatility" (Handl. Camilla Landén)

Karl Hallberg "Valuing Forward Start CDOs and Options on CDOs using the Hull-White model" (Handl. Boualem Djehiche)

Ali Hamdi "Evaluating The Model of Lines for hedging barrier options" (Handl. Harald Lang)

Emelie Puchot "Asset Management" (Handl. Boualem Djehiche)

Inga S. Nkomo "Tests for changes in correlation in financial data" (Handl. Filip Lindskog)

Natalie Larsén "Quantile estimation with the POT method" (Handl. Filip Lindskog)


Karl Stavenberg "Trend models within the structural time series framework" (Handl. Jan Grandell)

Björn Löfdahl Grelsson "Estimating the Impact of Stop Losses on Portfolio Risk" (Handl. Boualem Djehiche)

Farid Bonawiede "Exercise boundaries for American option prices and related pro­blems" (Handl. Boualem Djehiche)

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" (Handl. Ulf Brännlund)

Christoffer Jevring "The t-distribution in latent variable models for credit risk" (Handl. Filip Lindskog)

Justine Gruel "Basel II Methodologies — Calyon Project Finance LGD Model" (Handl. Filip Lindskog)

Armin Namini och Johan Risberg "The Risk Metrics Methodology 2006" (Handl. Boualem Djehiche)

Kristofer Ericson "Modelling Aspects in Credit Investments" (Handl. Boualem Djehiche)

Johan Land "Real and Risk-Neutral Probability Distributions." (Handl. Harald Lang)

Cecilia Wingren "On Modelling the Convenience Yield in the Futures Market with application to five Consumption Commodities." (Handl. Boualem Djehiche)

Mathias Tedesund "Index Tracking under Fixed and Variable Transaction Costs." (Handl. Boualem Djehiche)

Pierrick Vacher "Pricing Adjustments for Exotic Product." (Handl. Boualem Djehiche)

Arvid Lindberg "European Embedded Value and the value of corporate reporting." (Handl. Boualem Djehiche)

Adam Lindberg "Bargaining over business units – a game theoretic approach to acquisi­tions." (Handl. Boualem Djehiche)

Frida Hjalmarsson "Kapitalkravsberäkningar med CreditRisk+ och branschkorrelationer."
(Handl. Filip Lindskog)


Erik Alexandersson "Extreme Events in a Multi-factor Affine Term Structure Model" (Handl. Filip Lindskog)

Mattia Ferrini och Valentino Grassi "Pricing Plain-Vanilla and Exotic Callable Bonds" (Handl. Harald Lang)

Eric Karlsson "Non-Parametric Scenario Simulation and Portfolio Risk Management" (Handl. Harald Lang)

Christian Carping och Jessica Ottosson "Värdering av livförsäkringskontrakt med en optionsmodell" (Handl. Boualem Djehiche)

Tomas Neuman "Finansiell riskanalys – Fjärrvärme" (Handl. Ulf Brännlund)

Christian Thulin "Pricing and Hedging of Basket Options" (Handl. Boualem Djehiche)

Johan Kilander "Dimension reduction techniques and multivariate GARCH modeling" (Handl. Filip Lindskog)


Magnus Kullberg "Valuing Credit Default Swaps" (Handl. Boualem Djehiche)

Carl Mikael Bergman: "Estimating Volatility Structures for Pricing Options with Electricity Forwards and Futures as Underlying Assets" (Handl. Camilla Landén och Harald Lang)

Johan Holtsjö: "Optimal Active Risk Budgeting Model: Applied to Sjunde AP-fonden: Theory and Implementation" (Handl. Ulf Brännlund)

Sam Nylander: "Pricing Basket Credit Derivatives using a One Factor Model" (Handl. Boualem Djehiche)

Georges Mansourati: "The Effect of Changes in the Yield Curve on Exchange Rate Depen­dence" (Handl. Boualem Djehiche)

Mattias Jansson:"On the pricing of Bermudan swaptions with an application to limited observed market data" (Handl. Boualem Djehiche)

Andreas Johansson: "Stochastic modelling of commodity prices with applications to the German market" (Handl. Boualem Djehiche)

Christian Fredriksson: "Credit Derivatives – The impact of correlation" (Handl. Mattias Jonsson)

Babak Soltani: "Estimating loss distribution for operational risk using internal and external databases" (Handl. Jan Grandell)

Mattias Lundahl: "Evaluation of Automated Portfolio Rebalancing Algorithms" (Handl. Mattias Jonsson)

Peter Englund: "Analysing High Severity Operational Losses" (Handl. Filip Lindskog)

Niclas Gregoriusson: "Hedging av råolja och raffinerade produkter samt prissättning av råoljederivat." (Handl. Harald Lang)


Eric Berglund: "Hedging Strategies for Cables and Capacities." (Handl. Gunnar Englund)

Simon Oljans: "A Liability Matching Approach Involving Structured Products." (Handl. Camilla Landén)

Marcus Josefsson: "A copula-EVT based approach for measuring tail related risk: Applied on the swedish market." (Handl. Jan Grandell)

Thomas Hugmark: "On forward curve dynamics in the electricity market – dependence on hydro balance." (Handl. Boualem Djehiche)

Louise Hellqvist: "Default risk estimation of microfinance loans." (Handl. Harald Lang)

Lisa Larsson: "Pricing Bermudan Style Swaptions Using the Calibrated Hull White Model." (Handl. Harald Lang)

Daniel Sunesson: "Two Default Risk Models" (Handl. Jan Grandell)

Karl Nygren: "Stock Prediction - A Neural Network Approach." (Handl. Torkel Erhardsson)

David Tysk: "SRB - Evaluating and extending an intensity-based credit risk model." (Handl. Harald Lang)

Göran Svensson: "Longstaff and Schwartz models for American Options." (Handl. André Jaun, NADA)

Rahul Singh: "An Extreme Value Theory Approach for Measuring Tail Related Risk: Applied on Foreign Exchange Rates." (Hand. Jan Grandell)

Panagiotis Pavlidis: "Estimation Risk in Portfolio Selection." (Handl. Torkel Erhardsson)

Jens Svensson: "Realized Volatility and Multivariate GARCH: Theory and Application to Foreign Exchange Portfolios." (Handl. Jan Grandell)

Joakim Ahlberg: "Strategy and Football: A Game Theoretic Model of a Football Match." (Handl. Harald Lang)


Kim Hansson: "Fixed Income Attribution Analysis." (Handl. Harald Lang)

Oskar Åkerblom: "To Model the Risk of Cash Flow based Finance Transactions for PFI Deals." (Handl: Harald Lang)

Mattias Karlsson: "To Model the Risk of Cash Flow based Finance Transactions for PFI Deals." (Handl: Harald Lang)

Lars Ek: "Automatic reserving of small claims — A comparison of two different approaches of small claims reserving methodology. (Handl: Jan Grandell)

Erik Larsson: "Hedge Fund Performance Evaluation." (Handl: Jan Enger)

Lars Larsson: "The Factor Exposure of Hedge Fund Indices." (Handl: Jan Enger)

Linus Kaisajuntti: "Pricing Interest Rate Derivatives with the LIBOR Market Model." (Handl: Anders Szepessy)

Ellinor Forslund: "Pricing of Unit-Linked Life Insurance Contracts." (Handl: Jan Grandell)

Anette Engström: "Huntington's Disease and Income Protection Insurance." (Handl: Boualem Djehiche)

Mikael Nowak: "Monetary Risk Measures - A Survey." (Handl: Harald Lang och Camilla Landén)

Christèle Jörud: Technical Analysis in the Financial Market; Critical Approach and Practical Improvements." (Handl: Boualem Djehiche)

Henrik Alpsten: "Pricing Bermudan swap options using the BGM model with arbitrage-free discretisation and boundary based option exercise." (Handl: Boualem Djehiche)

Lili Svensson: "Aspects and Practical Applications of Operational Risk Management for the Banking Institution" (Handl: Jan Grandell)

Katarina Åselius: "Tidsserieanalys tillämpad på spreaden SHB–SEB med införande av auto­regressiv hetero­skedastisk process för variansen" (Handl: Jan Grandell)

Martin Winiarski: "Quasi-Monte Carlo Derivative Valuation & Reduction of Simulation Bias" (gjord på NADA, Handl: Anders Szepessy)

Fredrik Solberg: "Pricing Child Health and Accident Insurance." (Handl: Boualem Djehiche)

Erik Sjöberg: "Värdering av callables: modellering och implementering" (Handl: Harald Lang)

Mårten Grebäck: "An Analytic Framework for Computing Value-at-Risk in Incomplete Markets with Credit Risk." (Handl: Harald Lang, Henrik Hult)

Anders Holst: "Utility Based Pricing of Credit Risk Derivatives in Incomplete Markets." (Handl: Harald Lang, Henrik Hult)

Fredrik Davéus: "Nonparametric local modeling of financial time series." (Handl: Jan Enger)

George Englund: "Valuing Credit Default Swaps." (Handl: Harald Lang och Jan Enger)

Petter Pettersson: "Financial Derivatives for Computer Network Capacity Markets with Quality-of-Service Guarantees." (Handl: Erik Aurell)

Martin Lundvall: "On the Risk Management and Portfolio Analysis of Hedge Funds." (Handl: Boualem Djehiche)


Monika Eriksson: "Risk in Portfolio Analysis; Measures and Computation on the Electricity Market". (Handl.: Harald Lang)

Mikael Freilich: "One step prediction of financial time series" (Handl.: Jan Enger)

Andreas Johansson: "Using Extreme Value Theory to Estimate Tails of Operational Loss Distributions" (Handl.: Jan Grandell)

Pauline Edlund: "Improved Estimation of the Covariance Matrix, a Real Estate Application" (Handl.: Ulf Brännlund)

Jonathan Wendin: "Estimation of the Spectral Measure and Tail Dependence Coefficient for Regularly Varying Random Vectors" (Handl.: Boualem Djehiche)

Lars Karlsson: "GARCH-Modelling: Theoretical Survey, Model Implementation and Robustness Analysis." (Handl.: Boualem Djehiche)

Benoît Riquet: "Elliptical distributions in risk management." (Handl.: Boualem Djehiche)

Marie-Claude Saisse: "Modelling the Time-Varying Risk Premium in a CAPM Framework." (Handl.: Boualem Djehiche)

Marcin Ciolek: "Kreditrisk - Modellering av de nya kapitaltäckningsreglerna." (Handl.: Harald Lang)

Mattias Bylund: "A comparison of margin calculation methods for exchange traded contracts." (Handl.: J. Enger)

Henrik B. Kwarnmark: "A vector-autoregressive integrated market and macro factor default model." (Handl. J. Enger: )

Mathias Barkhagen: "Value at Risk & Vega Risk - using the implied volatility surface to compute VaR for option positions." (Handl.: G. Englund)

Fredrik Strandberg: "Tails and outliers in financial time series." (Handl.: J. Grandell)

Johan Sandström: "Prissättning och hedging av temperaturberoende volymrisk på elmarknaden." (Handl.: J. Grandell)


Johan Sahlén: "Genetic Testing and Pricing of Insurance Contracts." (Handl.: B. Djehiche)

Nikolas Santikos: "Pricing Spread options on Swaps." (Handl.: B. Djehiche)

Christian Magnusson: "Hedging av optioner." (Handl.: R. Tempone, NADA)

Henrik Andersson: "Algorithms for Computing Values of Options on the Maximum or Minimum of Several Assets and Mallivian Calculus for Computing the Delta of a Binary Option". (Handl.: R. Tempone, NADA)

Arnaud Leclerc: "Pricing quanto long-term warrants on risky bonds." (Handl.: B. Djehiche)

Johan Stengård: "Dynamic Investment Policies for Property and Casualty Insurance Companies." (Handl.: J. Grandell)

Camilla Hiertner: "The Dupire volatility model versus the stochastic volatility model for European call options." (Handl.: B. Djehiche)

David Stillberger: "On pricing weather derivatives." (Handl.: B. Djehiche)

Jens Carlsson: "An Approximation Formula for an Asian Option on a Foreign Equity Basket." (Handl.: B. Djehiche)


Jon Lidefelt: "Bunden - Värdering av en implicit ränteoption." (Handl.: E. Aurell)

Per Wirsén: "The Impact of Default Risk when Pricing Bermudan Bond Options Using the Jarrow-Turnbull Approach." (Handl.: B. Djehiche)

Otto Francke: "The Impact of Default Risk when Pricing American Bond Options Using the Jarrow-Turnbull Approach." (Handl.: B. Djehiche)

Torbjörn Uddevik: "Trading rules for dynamic liability management." (Handl.: J. Enger)

Andreas Mattson: "Pricing of Bermudan Swaptions Using a Monte Carlo Simulation Approach". (Handl.: B. Djehiche)

Gustaf Unger: "Extreme Value Theory Approach to Estimate" (Handl.: U. Brännlund)

Céline Mougin och Armel Voinnesson: "On volatility surfaces for American equity options". (Handl.: B. Djehiche)

Mikael Sandberg: "Prissättning av optioner med elektricitet som underliggande vara med tidsberoende volatilitet". (Handl.: B. Djehiche)

Niklas Oreland: "The relationship between financial statements and stock returns on the European Markets". (Handl.: J. Enger)

Jenny Dennermark: "Approximation formulas for pricing Asian options." (Handl.: T. Höglund)

Henrik Waldenlind: "Managing Volatility Risk." (Handl.: J. Grandell)

Filip Lindskog: "Modelling Dependence with Copulas." (Handl.: J. Grandell)

Oskar Lagergren Bjursten: "A cointegration approach to the dynamics of savings." (Handl.: B. Djehiche)

Henrik Hult: "Quadratic hedging – An overview." (Handl.: B. Djehiche)


Pontus Lidbrink och Gustav Fyring: "Valuing and hedging Asian basket options." (Handl.: B. Djehiche)

Joacim Wiklander: "A multi-factor model for the Swedish stock market – The relationship between macroeconomic variables, financial statements and stock return". (Handl.: J. Enger)

Maria Jansson: "Pricing of interest rate derivatives using a three factor Brace-Gatarek-Musiela model". (Handl.: B. Djehiche)

Mikael Däckfors: "Extreme Value Theory Approach to Value-at-Risk with Applications to Market and Operational Risks". (Handl.: B. Djehiche)

Arun Kaul: "Liquidity Risk for portfolio transactions". (Handl.: B. Djehiche)

Yuna Cho: "On pricing mortgage backed bonds with term structure models". (Handl.: B. Djehiche)

Fredrik Wikefeldt: "Optimal portfolios and time horizons". (Handl.: B. Djehiche)

Fredrik Andersson. "A new approach for credit risk optimization based on conditional value at risk". (Handl.: U. Brännlund)

Lennart Enström: "Multispreads". (Handl.: J. Grandell)

Ji-Ung Um: "Investigating the Multifractal Model of Asset Return". (Handl.: M. Benedicks)

Peter Ekh: "Value at Risk - beräkningar på en derivatfond". (Handl.: J. Enger)

Henrik Lasu: "Kvantifiering av kreditriskpremien i räntebärande tillgångar". (Handl: B. Djehiche)

Anders Larnholt: "An alternative approach to estimating default probabilities in credit risks". (Handl: B. Djehiche)


Marcus Blomberg: "Asset liability management". (Handl.: S. Feltenmark)

Isabelle Haglund: "Pricing of insurance policies". (Handl.: U. Brännlund)

Mats Hydén : "Multifactor models of the term structure of interest rates". (Handl.: T. Björk )

Anders Martin-Löf: "Credit risk". (Handl.: T. Björk )

Roger Olmås: "Prediktering av elspotpris medelst linjär regression". (Handl.: B. Djehiche)

Marc Bohlin: "Pricing of Options with Electricity Futures as Underlying Assets". (Handl.: B. Djehiche)

Claes-Erik Rydberg: "Prissättning av caplets: Analytisk och empirisk jämförelse av olika modeller av räntan". (Handl.: T. Björk)

Mattias Andersson: "Modelling long-term capital markets". (Handl.: J. Grandell)


Nils Hast och Robert Thorén: "Multipel regression som verktyg för prediktion av svenska räntan i realtid". (Handl.: J. Enger)

Stefan Tordai: "Quantitive analysis of credit risk". (Handl.: B. Djehiche)

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