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 was 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.

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Glossary

Interactive glossary of mathematical finance concepts

Workshops

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.

Publications

Publications

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, 7.5 ECTS CREDITS. Course plan..
• FMS155 Statistical Modeling of Extreme Values , 7.5 ECTS CREDITS. Course plan.
• FMSN15 Statistical Modelling of Multivariate Extreme Values , 7.5 ECTS CREDITS. Course plan.

As a preparation for the above courses it is good to read the following courses:

• FMSF05/MASC01 Probability theory, 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).

Master theses (2004-2012)