Works made by my students


In the course Analytical Finance I, the students made a work in a group. These works is the published in reports and presented at a seminal. Some of these reports are presented below. They are made between 2003 and 2015.



 Analytical Finance I (2003 - 2004)

   Binomial models in Matlab
   Limitations in Black-Sholes model (1)
   Limitations in Black-Sholes model (2)
   Option Adjusted Spread
   Strategies with Options (1)
   Strategies with Options (2)
   Exotic Options
   Calculations with binomial models


 Analytical Finance I (2005)

   Exotic options I
   Exotic options II
   Exotic options II
   Strategies with Options
   Strategies with Options
   Poisson processes and jump-diffusion models
   Poisson processes and jump-diffusion models
   Weather derivatives
   Weather derivatives
   Trading at London Metal Exchange
   Trading at London Metal Exchange


 Analytical Finance I (2006)

   American Options (BAW)
   Calculations with BAW
   A study of Binomial models
   A study of Binomial models - presentation
   Calculations with Binomial models
   Exotic options
   Asian optiona
   Barriäroptioner
   Digital options
   Hedging
   Hedging
   Black-Scholes and Hopscotch
   Black-Scholes and Hopscotch
   Monte-Carlo simulations
   Monte-Carlo simullations
   Monte-Carlo simulations - 2


 Analytical Finance I (2007)

   Binomialmodell and Convergence
   Binomial Model with pegged strike
   Binomial Model with pegged strike
   Monte Carlo
   Monte Carlo
   Implied Volatility
   Implied Volatility


 Analytical Finance I (2008)

   Binomial models
   Binomial models
   Binomial models
   Monte Carlo for Asian Baskets
   Monte Carlo for Asian Baskets
   Monte Carlo for Asian Baskets
   Hedging with Options
   Hedging with options
   Lookback Options
   Lookback Options
   Monte Carlo with Matlab
   Monte Carlo with Stochastic Volatility
   Monte Carlo with Stochastic Volatility
   Monte Carlo of European Options
   Monte Carlo of European Options
   European Monte Carlo
   European Monte Carlo
   European Monte Carlo


 Analytical Finance I (2009)

   Currans modell
   Hopscotch
   An Asian Basket Multi Digital option
   An Asian Basket Multi Digital option


 Analytical Finance I (2010)

   Curran Model for Asian Options
   Barier Options
   Barier Options
   American Options
   American Options
   Black-Sholes PDE
   Black-Sholes PDE (matlab code)
   Curran's Model
   Curran's Model
   Digital Options
   Digital Options
   Exotic Options
   Exotic Options
   Dynamic Hedging
   Dynamic Hedging (matlab code)
   Monte-Carlo with Black-Scholes
   Options On Options
   Options On Options
   Pay Later Options
   Pay Later Options
   Volatility on the Swedish market
   Volatility on the Swedish market
   The problem with Volatility
   The problem with Volatility
   Roll-Geske-Whaley
   RGW (matlab code)


 Analytical Finance I (2011)

   Asian Lookback Minimum
   Asian Lookback Minimum
   Asian Lookback Minimum (matlab code)
   Barrier Option Valuation with Binomial Model
   Barrier Option Valuation with Binomial Model
   Barrier Option Valuation with Binomial Model (matlab code)
   Bermudan Options with the Binomial Model
   Bermudan Options with the Binomial Model
   Bermudan Options with the Binomial Model (matlab code)
   Hedging with Black-Scholes
   Hedging with Black-Scholes
   Hedging with Black-Scholes
   Barrier Options
   Barrier Options
   Problem with Volatility
   Problem with Volatility
   Monte-Carlo simulation with Black-Scholes
   Monte-Carlo simulation with Black-Scholes
   Pay Later Options
   Pay Later Options


 Analytical Finance I (2012)

   Valuation of Asian Options
   Valuation of Asian Options
   Valuation of Asian Options (matlab code)
   Asset-or-Nothing Digitals
   Asset-or-Nothing Digitals
   Asset-or-Nothing Digitals
   Bermudan Option Pricing
   Bermudan Option Pricing
   Bermudan Option Pricing (matlab code)
   European and American Options
   European and American Options
   European and American Options
   Exotic Options
   Exotic Options
   Exotic Options
   Strategies with Options
   Strategies with Options
   Strategies with Options (matlab code)
   Strategies with Options Instructions
   Strategies with Options #2
   Strategies with Options #2
   Volatility Surface
   Volatility Surface
   Volatility Surface

 Analytical Finance I (2013)

   Monte-Carlo application for Value-at-Risk on a portfolio of Options, Futures and Equities
   MC application for VaR on a portfolio
   MC VaR application
   MC VaR-2 application
   THE BLACK-SCHOLES MODEL When the underlying pays dividends
   Option Pricing With Dividends
   Barrier Option Pricing
   Barrier Option Pricing
   Barrier Option Pricing
   CCR vs. Black-Scholes with dividends
   CCR vs. Black-Scholes with dividends
   CCR vs. Black-Scholes with dividends
   Bose Vandermark (Lehman) Method
   Bose Vandermark (Lehman) Method
   Black-Scholes formula with dividends
   Black-Scholes formula with dividends
   MC VaR on Portfolios
   MC VaR on Portfolios
   MC VaR on Portfolios

 Analytical Finance I (2014)

   How Black-Scholes converge to the hockey stick, made in Python.
   How the B-S converge to the hockey stick, the Python code.
   A Black-Scholes implementation in Python.
   Black Scholes Call Option in Python.
   Black Scholes Put Option in Python.
   A Binomial implementation in Python.
   A Binomial implementation in Python, the code.
   A Monte-Carlo similation in Python.
   A Monte-Carlo similation in Python presentation.
   A Monte-Carlo similation in Python code.
   Pricing Barrier options with Python.

 Analytical Finance I (2015)

   Monte Carlo Simulation in Python and Excel.
   Monte Carlo Simulation in Python code.
   Monte Carlo Simulation in Python and Excel.
   CRR and American Options.
   CRR and American Options, Python code.
   Black-Scholes converge in Python.
   Black Scholes converge in Python code.
   Implementing the Black-Scholes in Python.
   Implementing the Black-Scholes in Python code.
   Pricing Barrier options using Python.
   Pricing Barrier options using Python code.