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 2012.



 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