Works made by my students

In the course Analytical Finance II, 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 2004 and 2016.

Analytical Finance II (2004)

			Bills, Bonds and Notes
			Interest Rate Caps, Floors and Collars
			Mortgage Backed Securities
			Swaps

Analytical Finance II (2005)

			Credit Defaults Swaps
			Credit Defaults Swaps
			Two-Factor Hull-White models
			Two-Factor Hull-White models
			Repos
			Repos
			Swaps
			Swaps
			Convertible Bonds
			Fitting Yield-Curves with Nelson-Seigel

Analytical Finance II (2006)

		Bootstrap
		Bootstrap
		Cox-Ingersoll-Ross Interest rate model
		Ho-Lee
		Ho-Lee model
		Hull-White
		Hull-White presentation
		Hull-White model
		Vasicek
		Cox-Ingersol-Ross
		CIR och Vasicek
		Nelson-Siegel parameterization
		Nelson-Siegel parameterization

Analytical Finance II (2007)

		Black-Derman-Toy
		Black-Derman-Toy
		Option Adjusted Spread (OAS)
		Option Adjusted Spread (OAS)
		Fisher-Weil duration and convexity
		Fisher-Weil duration and convexity
		Bootstrap
		Vasicek and Cox-Ingersoll-Ross
		OMXS30

Analytical Finance II (2008)

		Black-Derman-Toy
		Black-Derman-Toy
		Black-Derman-Toy
		Ho-Lee's model
		Ho-Lee's model
		Caps and Floors
		Caps and Floors
		Hull-White's model
		Hull-White's model
		Hull-White's model
		Swaps
		Swaps
		Swaps

Analytical Finance II (2009)

		An Asian Basket Multi Digital option
		Caps & Floors
		Caps & Floors
		Valuation of CDS
		Floating Rate Notes
		Floating Rate Notes
		Floating Rate Notes
		NOIS - NasdaqOMX Interest Rate Future
		NOIS - NasdaqOMX Interest Rate Future
		NOIS - NasdaqOMX Interest Rate Future

Analytical Finance II (2010)

		Swaptions with BTD
		Swaptions with BTD
		Bootstrap
		Bootstrap
		Advanced Bootstrap
		Caps and Floors with Black-76
		Credit Default Swaps
		Credit Default Swaps
		Vasicek & Cox-Ingersoll-Ross
		Vasicek & Cox-Ingersoll-Ross
		Bootstrap with Cubic Splie
		Bootstrap with Cubic Splie
		Floating Rate Notes
		Floating Rate Notes
		Floating Rate Notes-2
		Floating Rate Notes-2
		Floating Rate Notes-2
		Floating Rate Notes-3
		Floating Rate Notes-3
		Floating Rate Notes-3
		Nelson-Siegel model
		Nelson-Siegel model

Analytical Finance II (2011)

		Vasicek Model
		Vasicek Model
		Vasicek Model
		Nelson-Siegel Model
		Nelson-Siegel Model
		Nelson-Siegel Model
		Bootstrapping with Par-Rates
		Bootstrapping with Par-Rates
		Bootstrapping with Par-Rates

Analytical Finance II (2012)

		Vasicek & CIR Option Model
		Vasicek & CIR Option Model
		Bootstrapping with bond prices
		Bootstrap in a multi curve framework
		Bootstrap in a multi curve framework
		Swaps in a multi curve framework
		Swaps in a multi curve framework
		Term structure of interest rates
		Term structure of interest rates

Analytical Finance II (2013)

		Bootstrapping under Single and Multiple Curve Framework
		Bootstrapping under Single and Multiple Curve Framework
		Pricing FRA
		Pricing FRA
		Exotic Cap Pricing
		Exotic Cap Pricing
		Exotic Cap Pricing (code)
		Valuing Caps Using Monte Carlo Simulations
		Valuing Caps Using Monte Carlo Simulations

Analytical Finance II (2014)

		Bootstrapping a 3M Swap Curve using Python
		Bootstrapping a 3M Swap Curve using Python, code
		Bootstrapping Government Bonds
		Bootstrapping Government Bonds, Python code
		Nelson-Seigel Bootstrapping with Python
		Nelson-Seigel Bootstrapping with Python, code
		Nelson-Seigel Bootstrapping with Python
		Bootstrapping a Swap Curve using Python
		Bootstrapping a Swap Curve using Python, code

Analytical Finance II (2015)

		MinLookback Asian Option
		MinLookback Asian Option
		MinLookback Asian Option code
		Bond Future CTD
		Bond Futures CTD, Python code
		Credit Default Swaps
		Credit Default Swaps
		Bootstrap a Government Zero Curve
		Bootstrap a Government Zero Curve
		Bootstrap a Government Zero Curve code
		Bond Futures CTD
		Bond Futures CTD

Analytical Finance II (2016)

		Bootstrap Zero Government Curve
		Bootstrap Zero Government Curve
		Bootstrap Zero Government Curve
		Bond Future CTD
		Bond Futures CTD
		Credit Default Swaps
		Credit Default Swaps
		Interest Rate Bond Futures