Mathematical Finance
The group consist of Erik Lindström and Magnus Wiktorsson The now finished PhD students Mats Brodén and Jonas Ströjby recently left the group for jobs in the industry. In December 2006 the group was also joined by the PhD student Johannes Sivén. After completing his Licentiate thesis in May 2008 Johannes left the group. Other previous members are Sebastian Rasmus and Martin Dahlgren. Erik and Magnus will be joined by a new PhD student Martin Jönsson in April 2012. We will then continue with new research projects.Research
Our main line of research focus on inference and calibration of financial models such as diffusions and jump-diffusions. We also work with approximation of prices and hedging portfolios for financial derivatives. See our Java-applet that calculates option prices and their Greeks for various models such as Black-Scholes, Merton, Heston, Bates, NIG and NIGCIR.
Job ads
Glossary
Interactive glossary of mathematical finance conceptsWorkshops
Links to locally organized national workshops for PhD students in mathematical finance.Math Fin workshop in Lund, 8-9 November 2007.
Math Fin workshop in Lund, 11 November 2004.
Math Fin workshop in Lund, 5 December 2003.
Seminars
- Thursday 8/10 2009 15.30, MH:227 Erik Lindström, Centre for Mathematical Sciences, Lund University Non-linear Portmanteau Tests Abstract
- Thursday 19/11 2009 15.30, MH:227 Mats Broden, Errors from discrete hedging in exponential Lévy models: the L^2 approach. Abstract
Preprint
Publications
Articles and conference contributions
- S. Rasmus, S. Asmussen and M. Wiktorsson (2004). Pricing of some exotic options with NIG-Levy input, Computational Science - ICCS 2004, Proceedings Lecture Notes in Computer Science, 3039 , 795-802, Part 4. Abstract Article: PDF
- E. Lindström, (2006). Are Option Values Stochastic? 21th Nordic Conference on Mathematical Statistics
- M. Brodén, J. Holst, E. Lindström, J. Ströjby and M. Wiktorsson (2006). Calibration of Option Valuation Models using Sequential Monte Carlo Methods, Forcasting financial markets: Advances for exchange rates, interest rates and asset management , Aix-en-Provence, France.
- M. Brodén, J. Holst, E. Lindström, Jonas Ströjby and M. Wiktorsson, (2006). Adaptive Calibration of Risk Neutral Parameters with Applications to Option Valuation. 4th World Congress of Bachelier Finance Society , Tokyo, Japan.
- M. Brodén, J. Holst, E. Lindström, J. Ströjby, and M. Wiktorsson, (2008). Sequential Calibration of Options, Computational Statistics and Data Analysis , 52 , 2877--2891. Abstract Article: Journal article
- M. Brodén and M. Wiktorsson, (2008). Hedging errors induced by discrete trading under an adaptive trading strategy , 5th World Congress of Bachelier Finance Society , London, UK.
- J. Ströjby and E. Lindström (2008). Estimating parameters in diffusion processes using an approximate maximum likelihood approach, 5th World Congress of Bachelier Finance Society , London, UK.
- Mats Brod´en and Peter Tankov (2009). Errors from discrete hedging in exponential L´evy models: the L2 approach. Preprint
- E. Lindström (2010) Implications of Parameter Uncertainty on Option Prices Advances in Decision Sciences, 2010 Article ID 598103, Journal article
- Mats Brodén and M. Wiktorsson (2010) On the convergence of higher order hedging schemes , 6th World Congress BACHELIER FINANCE SOCIETY, Toronto, June 2010. Talk given by M. Wiktorsson. Presentation
- Tracking errors from discrete hedging in exponential Lévy models (with P. Tankov), 6th World Congress BACHELIER FINANCE SOCIETY, Toronto, June 2010. Talk given by M. Brodén. Presentation
- Mats Brodén and M. Wiktorsson (2010) Convergence of an adaptive approximation scheme for the Wiener process , CMMSE 2010 : Proceedings of the 10th International Conference on Mathematical Methods in Science and Engineering, volume 3 , 272--283, Almeria, Spain, 26-30 June, 2010. PDF .
- Mats Brodén and M. Wiktorsson (2011) On the Convergence of Higher Order Hedging Schemes: The Delta-Gamma Case SIAM J. Finan. Math. 2 , 55-78 (2011). Article: Journal article
Work in progress
- M. Brodén and M. Wiktorsson. Hedging Errors Induced by Discrete Trading under an Adaptive Trading Strategy.
Education
We give the following courses related to mathematical finance:- FMS161/MASM18 Financial statistics, 7.5 ECTS CREDITS. Course plan.
- FMSN25/MASM24 Valuation of Derivative assets, 9 ECTS CREDITS. Course plan..
- FMS155 Statistical Modeling of Extreme Values , 7.5 ECTS CREDITS. Course plan.
Master's thesis
We have cooperated with a number banks and other companies through master's thesis projects:- In Scandinavia: Nordea, SEB, Swedbank, Handelsbanken, PriceWaterhouseCoopers, Öhmans Fondkommission, IPM, Systematiska Fonder, Front Sungard Arena, EON Energy Trading, Aberdeen Property Inv., Danske Bank, Vestas, Simcorp, Codan, Länsförsäkringar, If, Arca investments, Volvo Financial Services, SPP.
- Outside Scandinavia: BNP Paribas (London), Montréal stock exchange (Montréal), ABB (Zürich), Zuricher Kantonalbank (Zürich), UBS (Zürich), Deutsche Bank (London), Harcourt (Zürich), Farallon, (San Francisco).
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Last modified: Wed Jan 13 01:32:45 CET 2010 Validate: HTML CSS
Last modified: Wed Jan 13 01:32:45 CET 2010 Validate: HTML CSS
Centre for Mathematical Sciences, Box 118, SE-22100, Lund. Telefon: +46 46-222 00 00 (vx)