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 2015.



 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