Works made by my students

After the courses Analytical Finance I & II, some students made a thesis. Some of these reports are presented below. They are made between 2003 and 2017.

Examensarbeten

A Java-Applet for Black-Derman-Toy by Zhang Lei.

BDT Java Applet

A web based mini system for bonds by Fred Takoeta and Hamaounde Hamadoe.

To application

Valuing of exotic Convertible Bonds by Kwok-wai Choy.

To application

Analyzing the Term Structure of Credit Spreads on Corporate Bonds over Treasury Using the Extended Nelson-Siegel Model by Helena Frisk and Victoria Hallin.

Analysis, programming and evaluation of calculation methods for Value-at-Risk involving risk-factor models with heavy tails. ay Natalia Arango Mesa and Danuwat Weereerat.

Characterizatio of Parameter for Delta and Delta-Gamma Neutral Hedging. by Elvan Toygarlar.

Valuation of cancelable interest rate swaps via Hull-White trinomial tree model. by Sergii Gryshkevych.

VALIDATING THE WILLOW TREE MODEL USING JAVA. by Hayford Gyasi and Kwame Bonsu.

Model risk in a hedging perspective. by Carl-Johan Johansson and Greger Sundqvist.

Pricing cancellable swaps using tree models calibrated to swaptions. by Karolin Friberg and Matilda Rappe.

A Step-By-Step Procedure to The Numerical Solution for Time- Dependent Partial Derivative Equations in Three Spatial Dimensions. by Xi Wang and Xinyan Lin.

Stochastic Volatility Models in Option Pricing. by Michail Kalavrezos and Michael Wennermo.

Yield Curve Construction. by Jing Li and Simei Deng.

To application

Lattice approximations for Black-Scholes type models in Option Pricing. by Anne Karlen and Hossein Nohrouzian.

Risk Measures with Normal Distributed Black Options Pricing Model. by Wenqing Huang.

The SABR Model Calibrated for Swaption’s Volatility Smile. by Nguyes H. Tran and Anton Weigardh.

Mispricing Due to Nelson-Siegel-Svensson model. by Neda Kazemie.

To application

Lattice approximations for Black-Scholes type models in Option Pricing. av Anne Karlen och Hossein Nohrouzian.

Risk Measures with Normal Distributed Black Options Pricing Model. av Wenqing Huang.

The SABR Model Calibrated for Swaption’s Volatility Smile. av Nguyes H. Tran och Anton Weigardh.

Mispricing Due to Nelson-Siegel-Svensson model. av Neda Kazemie.

To application

Swaption Pricing under Hull-White Model using Finite Dfference Method with Extension to Cancellable Swaps av Xinyan Lin.

To application part 1

To application part 2

An Introduction to Modern Pricing of Interest Rate Derivatives by Hossein Nohrouzian

An Introduction to Modern Pricing, presentation by Hossein Nohrouzian

Kim Model, An Analytic Valuation of American Obtions by Jing Li and Simei Deng

Bridging the Gap: An Analysis into the relationship between Duration and Key Rate Duration by Andile Dumisani Ndiweni

Swaptions pricing under the single factor Hull-White Model through the Analytical formula and Finite Diffrence Methods by Victor Lopez