Master's theses related to financial mathematics

Ongoing projects

  • Benjamin Kraska A comparison between Fourier based derivative pricing methods Finishing fall 2015.
    Supervisor: Magnus Wiktorsson
  • Jonas Berglund, Modelling of Retail Loans Compatible with IFRS9 Finishing fall 2015.
    Supervisor: Magnus Wiktorsson
  • Gustaf Säfwenberg, Randomised Quasi Monte Carlo Mathods for Value at Risk Estimation. Finishing fall 2015.
    Supervisor: Magnus Wiktorsson
  • Johan Gustavsson, Counterparty Credit Exposure for Interest Rate Derivatives using the Stochastic Grid Bundling Method and Measure Change. Finishing fall 2015.
    Supervisor: Magnus Wiktorsson

Finished projects
(2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004)

2015

  1. Lovisa Thordin: Analysing Customer Behaviour in the FX Market Using Order Flow Data and Machine Learning Techniques (2015:E3)
    Supervisor: Erik Lindström
  2. Petter Svensson: A Bayesian Approach to Modeling Operational Risk when Data is Scarce. (2015:E7)
    Supervisor:Nader Tajvidi
  3. Henrik Paldynski: Modelling Large Claims in Property and Home Insurance - Extreme Value Analysis(2015:E8)
    Supervisor:Nader Tajvidi
  4. Caroline Olofsson: Pricing swing options in the electricity market (2015:E9)
    Supervisor:Magnus Wiktorsson
  5. Martin Almqvist: Active Management of Non-Granular Loan Portfolios (2015:E10)
    Supervisor: Erik Lindström
  6. Martin Jacobsson: Forecasting commodity futures using Principal Component Analysis and Copula (2015:E11)
    Supervisor:Nader Tajvidi
  7. Fredrik Persson, Michael Montag: Model risk quantification in option pricing (2015:E19)
    Supervisor:Magnus WiktorssonCompany: Nordea (Cph)
  8. Henrik Bosaeus, Anna Sandström: On Modelling Extreme Foreign Exchange Volatility Using Copulas (2015:E24)
    Supervisor:Nader Tajvidi
  9. Per Möller: Valuing Credit Default Swaps with a Structural Approach (2015:E26)
    Supervisor:Magnus Wiktorsson
  10. Samare Jarf, Pontus Hultkrantz: Credit Value Adjustment (2015:E29)
    Supervisor:Magnus WiktorssonCompany: Danske Bank
  11. Axel Spångberg, Philip Landén: Factors driving the Euro senior funding costs for Swedish Banks (2015:E33)
    Supervisor:Erik Lindström
  12. Emilie Rosenlund Soysal: Wind power and its impact on power prices in Denmark (2015:E35)
    Supervisor:Erik Lindström
  13. Andreas Nyström: Inference and hedging of the Heston model under P (a simulation study) (2015:E36)
    Supervisor:Magnus Wiktorsson
  14. Alexandra Böttern: Calculation of Value-at-Risk and Expected Shortfall under model uncertainty (2015:E37)
    Supervisor:Erik Lindström

2014

  1. Erik Höög Modelling prices of in-play football betting (2014:E3)
    Supervisor:Magnus Wiktorsson
  2. Simon Koskinen Rosemarin Responding to the Eurozone Crisis - Applying the Shadow Rating Approach to Determine Economic Capital for Sovereign Exposures (2014:E4)
    Supervisor:Magnus Wiktorsson
  3. Fredrik Danielsson Implementation of a Funds Transfer Pricing model with stochastic interest rates (2014:E7)
    Supervisor:Nader Tajvidi Company: Ernst&Young
  4. Patrik Petersson Support Vector Machines in the FX market: A study of predictability and profitability (2014:E8)
    Supervisor:Magnus Wiktorsson
  5. Marta Ruiz Chaparro A new dimension to Risk Assessment (2014:E9)
    Supervisor:Magnus Wiktorsson Company: Ernst&Young, Cph
  6. Annika Johansson A Copula Approach to Modeling Extreme Values of Exchange Rates (2014:E10)
    Supervisor:Nader Tajvidi
  7. Janis Müller Pricing Timer Options under Jump-Diffusion Processes (2014:E15)
    Supervisor:Magnus Wiktorsson
  8. Tone Pedersen Forecasting model of electricity demand in the Nordic countries (2014:E17)
    Supervisor: Erik Lindström
  9. Arzu Eski Pricing and Hedging using Hedge Monte-Carlo method (2014:E22)
    Supervisor:Magnus Wiktorsson
  10. Nina Rodling, Ebba Linde Improving Portfolio Performance (2014:E23) Supervisor:Magnus Wiktorsson Company: SHB Stockholm
  11. Linn Kallio, Paulin Frennberg A Copula Approach to Modeling Operational Risk (2014:E24)
    Supervisor:Nader Tajvidi
  12. Carl Åkerlindh: Commodity Pricing in a Discrete Markov Chain Framework (2014:E25)
    Supervisor: Erik Lindström
  13. Albin Ädel, Madelene Larsson: What Drives the Difference in Probability of Default from Reduced Form- and Structural Approaches (2014:E27)
    Supervisor: Erik Lindström
  14. Pauline Lidberg, Christian Green: Approximating Capital Requirement Due to Name Credit Concentration Risk, - A Comparison of Two Methodologies, the Standardised Approach and A Selected IRB Approach; A Granularity Adjustment.(2014:E31)
    Supervisor: Erik Lindström
  15. Theodor Bjarnason, Marcus Sjögren: Insurance Loss Reserving, A Run-Off Triangle Approach Using Copulas With Non-Stationary Marginal Distributions (2014:E32)
    Supervisor:Nader Tajvidi
  16. Max Nyström Winsa: Forecasting Foreign Exchange Rates, A comparison between forecasting horizons and Bayesian vs. Frequentist approaches(2014:E38)
    Supervisor:Magnus Wiktorsson Company: Lynx Asset Management, Sthml
  17. Marcus Kylberg, John Jansson: Forbearance Policy in an Asset Quality Review Framework (2014:E39)
    Supervisor:Magnus Wiktorsson Company:Ernst&Young, Cph
  18. Hanna Wu: Fast Valuation of Options under Parameter Uncertainty (2014:E41)
    Supervisor: Erik Lindström
  19. John Hedestig: Pricing and Hedging of Swing Options in the European Electricity and Gas Markets (2014:E42)
    Supervisor: Erik Lindström
  20. Daniel Engström: Pricing of Liqueed Petroleum Gas in North-West Europe (2014:E44)
    Supervisor: Erik Lindström
  21. David Bergstrand: The Johansen-Ledoit-Sornette Model as a Tool to Predict Crashes and Rebounds (2014:E46)
    Supervisor:Magnus Wiktorsson
  22. Fredrik Alsin: Using GEV-regression to improve accuracy of probability of default in low default portfolios (2014:E47)
    Supervisor:Nader Tajvidi
  23. Andreas Melin: Closing Time Effects on Derivative Pricing and Risk Measurement (2014:E48)
    Supervisor: Erik Lindström
  24. Sanna Bryngelsson, Emanuelle Alm: SprinkleBit - The Impact of Social Trading (2014:E59)
    Supervisor: Erik Lindström
  25. Mikael Teern: Modeling Copper Prices and Risk Management (2014:E62)
    Supervisor:Magnus Wiktorsson
  26. Erik Kivilo, Carl Olofsson Prudent Valuation & Model Risk Quantification (2014:E64)
    Supervisor:Magnus Wiktorsson

2013

  1. Eugene Agyeman-Prempeh Hedging under Parameter Uncertainty (2013:E4),
    Supervisor:Magnus Wiktorsson
  2. Jingyi Guo: Simultaneous Calibration and Hedging of Options (2013:E5),
    Supervisor: Erik Lindström
  3. Hannes Sternbeck Fryxell, Alexander Ivarsson: Evaluating Market Risk in a Portfolio with Heavy-Tailed Risk Factors using Monte-Carlo Methos (2013:E8),
    Supervisor:Magnus Wiktorsson Company: SHB Life
  4. Fredrik Olsen Similarity-based Grouping of a Universe of Securities (2013:E14)
  5. Madeleine Hage: Copula Approach to Modelling Insurance Claims (2013:E18),
    Supervisor:Nader Tajvidi
  6. Joacim Larsen: Unlimited Prices: An Extreme Value Distribution Approach to Estimating Art Prices (2013:E20), Supervisor:Magnus Wiktorsson
  7. Kristoffer Fagerström, Anders Gustafsson: Modelling Risk in forest Insurance - Extreme Value and Frequency Analysis of Insurance Dlaims Due to Storm Damaged Forest (2013:E23),
    Supervisor:Nader Tajvidi
  8. Henrik Skiöld,Jimmy Lundberg Optimising revenue by efficient credit scoring (2013:E26)
  9. Anders Persson Calibration of FX options and pricing of barrier options (2013:E33
    Supervisor:Magnus Wiktorsson
  10. Christian Hultin, Eirikur Arnljots Mitigating Procyclicality due to Minimum Capital Requirements in the Swedish Banking Sector (2013:E35)
  11. Martin Carlson Marknadsrisk i livförsäkringsprodukter med garanti. En optionsreplikations-studie av "Nya Världen" (In Swedish) (2013:E40)
    Supervisor:Magnus Wiktorsson
  12. Malick Seghore Modeling Swedish government yields with the Dynamic Nelson Siegel and the Dynamic Nelson Siegel Svensson Model (2013:E43)
    Supervisor:Magnus Wiktorsson
  13. Erik Andreasson Pricing of American Options (2013:E44)
    Supervisor:Magnus Wiktorsson
  14. Johan Hedberg Operationalization of Risk Appetite - Balance Sheet Projections of Banks (2013:E48)
  15. Philip Sandwall, Oscar Ågren Evaluating Capital Allocation Below Portfolio Level (2013:E49)
  16. Pontus Montgomery Modeling cross-selling success in the insurance industry - Using Generalized Linear Models (2013:E50)
  17. Johan Ahlberg Credit Value Adjustment (2013:E52)
    Supervisor: Erik Lindström
  18. Filip Erntell On modeling insurance claims using copulas (2013:E55)
    Supervisor:Nader Tajvidi
  19. Vicke Norén Modelling Power Spikes with Inhomogeneous Markov-Switching Models (2013:E66)
    Supervisor: Erik Lindström

2012

  1. Joakim Mossberg: Modeling of Policyholders Fund Switching Behavior within the Swedish Unit Linked Market (2012:E6),
    Supervisor: Magnus WiktorssonCompany: SEB Trygg Liv
  2. Oscar Garrido Short Term Load Forecasting with Neural Networks, (2012:E10),
    Supervisor: Erik Lindström
  3. Zhichen Zhao On Parametric Modeling of Bivariate Extreme Value Distributions (2012:E15),
    Supervisor: Nader Tajvidi
  4. Anna Silén, Johanna Carlsson: Credit Valuation Adjustment, Risk Capital Charge under Basel III(2012:E16),
    Supervisor: Magnus WiktorssonCompany: Ernst and Young
  5. Simon Johansson: Discrete space-simulation for Lévy processes (2012:E17)
    Supervisor: Magnus Wiktorsson
  6. Li Yin: GARCH-Copula Approach to Estimation of Value at Risk for Portfolios (2012:E18),
    Supervisor: Nader Tajvidi
  7. John Hedestig: Pricing and Hedging of swing options in the European electricity and gas markets (2012:E20),
    Supervisor: Erik Lindström
  8. Emil Jönsson, Carolina Malmberg: Risk Driving Factors for Covered Bond Issuers in Sweden (2012:E25)
    Supervisor: Magnus WiktorssonCompany: Danske Bank
  9. Ylva Nordlund, Sara Johansson: Koncept för abonnemangsoptimering och riskanalys, En studie på E.ON Elnäts effektabonnemang i anslutningspunkter mot andra nätägare (2012:E35),
    Supervisor:Erik Lindström
  10. Per Sidén Valuation and Optimization of Credit Risk using a Portfolio Model, (2012:E37),
    Supervisor:Nader Tajvidi
  11. Johan Westerborn: Efficent Online Smoothing in General Hidden Markov Models (2012:E46),
    Supervisor:Jimmy Olsson

2011

  1. Aleksej Akopian St. Petersburg Paradox, A VaR approach, (2011:E3)
  2. Stéphanie Axelsson, Annie Krantz, Risk Analysis of Raw Material Purchase , (2011:E7),
    Supervisor: Erik Lindström
  3. Gustaf Karlsson(I-06) and Christian Nordqvist, (I-06) Foreign Exchange Value at Risk , (2011:E8),
    Supervisor: Magnus Wiktorsson, Company: Scania Finance Södertälje.
  4. Johan Wikmark (Pi-06): Calibration and Hedging of Swaptions using the SABR model, (2011:E10),
    Supervisor: Magnus Wiktorsson
  5. Markus Wahlgren, Credit Risk Classification, An Empirical Approach(2011:E23),
  6. Zhao Rushi (Nfak) A Variance Based Efficiency Test of the OMX Index Option Market, (2011:E29) ,
    Supervisor: Magnus Wiktorsson
  7. Porya Aminpour, CDS Pricing Using Bond Market Data, (2011:E33) ,
    Supervisor: Erik Lindström
  8. Philipp Nowak, Maximum Likelihood Estimation of Jump Diffusions, (2011:E34)
    Supervisor: Erik Lindström
  9. Johan Rydin (Pi) Pricing and and hedging in Lévy driven models (2011:E:35),
    Supervisor: Magnus Wiktorsson
  10. Simon Eriksson, Portfolio Dedication Using Fixed-Income Securities, (2011:E39), Handelsbanken liv (sthml),
    Supervisor: Magnus Wiktorsson
  11. Otto Rosendahl (I-05): Prediction of prices for raw materials (Bachelor thesis),
    Supervisor: Magnus Wiktorsson
  12. Erik Vildhede, Performance of Higher Order Hedging Strategies when Considering Transaction Costs , (2011:E42)
    Supervisor: Magnus Wiktorsson
  13. Jonas Hallgren Calibration of Stochastic Volatility Models Using Particle Markov Chain Monte Carlo, (2011:E44),
    Supervisor: Jimmy Olsson
  14. Tobias Werner, A comparison between parameter risk and latent variable risk, Danske Bank (CPH),(2011:E55)
    Supervisor: Magnus Wiktorsson; Company:Danske Bank (Cph)

2010

  1. Claes Wachtmeister (I-05): High Frequency Contrarian Strategies, (2010:E2)
    Supervisor: Erik Lindström
  2. Staffan Jönsson (I-05), Axel Granlund (I-05): Optimization of Capital Structures, (2010:E3)
    Supervisor: Hossein Asgharian
  3. Staffan Herbst (I-05), Filip Nordström (I-04): Modelling of Losses and Capital Reserves for Assets in Eastern Europe, (2010:E4)
    Supervisor: Magnus Wiktorsson; Company: Volvo Financial Services
  4. Olof Hellquist (F-05): Likelihood Inference in Jump Diffusion Driven SDE's , (2010:E5)
    Supervisor: Jonas Ströjby
  5. Louise Granath (I-04) and Ebba Schmiterlöw: The Impact of non-SRI Shorting Constraints, (2010:E7)
    Supervisor: Erik Lindström
  6. Stefan Hägnesten (F-04): Calibration of Financial Hidden Markov Models Using Iterated Filtering, (2010:E8)
    Supervisor: Jimmy Olsson
  7. Anna Dehn (I-04) and Rikard Jacobsson (I-05): Credit and Interest Rate Risk in a Tracking Bond Portfolio, (2010:E9)
    Supervisor: Erik Lindström
  8. Hampus Lingnardz (I-05) and Tor Johansson (I-05): Evaluation of Equity-Linked Notes, An Empirical Study of SEB Equity-Linked Notes, (2010:E10)
    Supervisor: Erik Lindström Company: SEB
  9. Mikael Henriksson and Fredrik Hedberg: Hedging of Hedge-fund Portfolios, (TM Master's thesis)
    Supervisor: Magnus Wiktorsson; Company: Farallon, San Francisco.
  10. Fredrik Ekenstierna (F-04): Multiresolution Analysis and Wavelet Coefficient Denoising as Tools for Improving Prediction of Long Term Electricity Price Movements , (2010:E18)
    Supervisor: Magnus Wiktorsson; Company: EON Energy Trading
  11. Maria Emanuelson (I-05): Solvency II, Impact on the Capital Requirement for Swedish Life Insurance Companies, (2010:E24)
    Supervisor: Magnus Wiktorsson; Company: SEB Life, Sthml.
  12. Erik Bergström (I-05) and Erik Bertilsson (I-05): Investing in Distressed Hedge Funds, Identifying Top Performers using Quantitative Screening, (2010:E25)
    Supervisor: Magnus Wiktorsson; Company: Arca investments, Sthml.
  13. Minh-Hang Palmgren (I-05) and Johan Petersson (I-05): Triggering Hot Markets, A Study of Investment Trends on the Nordic Private Equity Scene , (2010:E26)
  14. Daniel Gabriel (I-04) and Daniel Johansson (I-05): Finding Drivers of Growth in Microfinance Institutes, (2010:E29)
    Supervisor: Björn Hansson; Company: Investment AB, Kinnevik.
  15. Filip Henrysson (I-04) and Erik Holmstrand (F-02): Prediction of Foreign Exchange Rates, (2010:E30)
    Supervisor: Magnus Wiktorsson; Company: Danske Capital, Cph
  16. Andrea Frecassetti(Erasmus): Option Pricing in Lévy Driven Stock Models,(2010:E32)
    Supervisor: Magnus Wiktorsson
  17. Fredrik Regland: Independent Spike Model, Estimation and Application, (2010:E33)
    Supervisor: Erik Lindström
  18. Carl-Johan Rosenvinge (Π-05), Sara Tapper (Π-05): Fund Management Using Surprise Index (2010:E35)
    Supervisor: Per H Ivarsson; Company: RPM Risk & Portfolio Management
  19. Martin Jönsson Calibration and pricing under a stochastic volatility jump diffusion model with time-dependent parameters (2010:E37)
  20. Ramus Ericsson (I-05): Hedging of FX-options, (2010:E42)
    Supervisor: Magnus Wiktorsson; Company: UBS Zürich.
  21. Peter Carlstedt (I-05): Modelling of Credit Migration, (2010:E44)
    Supervisor: Magnus Wiktorsson; Company: SEB, Sthml.
  22. Manne Sporre Rasmussen (I-04): Practical Implemenatation of the Black-Litterman Model with Application to Hedge Funds, (2010:E46)
    Supervisor: Magnus Wiktorsson; Company: Harcourt Zürich.
  23. David Christopherson, Johannes Rylander: Modeling Operational Risk Using Fisher Information in the Logistic Model (2010:E49)
    Supervisor: Nader Tajvidi
  24. Viking Jacobsson: An Extreme Value Theory Approach to Modeling Operational Risk (2010:E48)
    Supervisor: Nader Tajvidi

2009

  1. Mattias Sander (I-04): Bondesson's Representation of the Variance Gamma Model and Monte Carlo Option Pricing (2009:E2)
    Supervisor: Krzysztof Podgorski
  2. Ellen Grumert (Π-03): Wind Modelling (2009:E3)
    Supervisor: Erik Lindström
  3. Gustav Lundqvist (I-03), Henric Hansson (I-04): Quadratic Hedge Strategies, A Cross Model Performance Evaluation (2009:E5)
    Supervisor: Jonas Ströjby, Mats Brodén
  4. Tina Lindhqvist (I-03), Daniel Quach (I-03): Portfolio Optimization with a Carry Trading Strategy (2009:E9)
    Supervisor: Tobias Rydén
  5. Gustav Björck (I-04) and Erik Åkerlund : Contracts for Difference, En studie av handelsmönster på den nordiska marknaden (In Swedish) (2009:E10)
    Supervisor: Tobias Rydén
  6. Stefán Ingi Adalbjörnsson (Π-03), Matias Quiroz (Π-03): Discrete Space Simulation with Applications to Barrier Options (2009:E13)
    Supervisor: Magnus Wiktorsson
  7. Henrik Herbst (I-05), Mikael Ingelson (I-05): Non-Parametric Regression of the Relationship between Company Performance and Capital Structure (2009:E19)
    Supervisor: Dragi Anevski
  8. Patrik Karlsson (D-04): FX Basket Options, Approximation and Smile Prices (2009:E25)
    Supervisor: Magnus Wiktorsson Company: Nordea (Cph)
  9. Arbnora Reci (nv): EXAMINE WHAT DRIVES THE ELECTRICITY PRICE AND FORECASTING THE ELECTRICITY PRICE ON A LONG TERM HORIZON (2009:E27)
    Supervisor: Erik Lindström
  10. Maria Nilsson (Π-03), Sara Jönsson (Π-04): Portfolio Optimization, How to maximize your expected utility (2009:E29)
    Supervisor: Erik Lindström
  11. Malin Norberg , (I-04) Vanessa Sternbeck Fryxell (I-04): Trading Correlated Credit During a Financial Crisis (2009:E30)
    Supervisor: Magnus Wiktorsson Company: Danske Bank (Cph)
  12. Karl Johan Sundin (M-03): Monte Carlo Based Collateralized Loan Obligation (CLO) Valuation under Different Copulas (2009:E31)
    Supervisor: Hossein Asgharian; Company: Deutsche Bank AG
  13. Johan Rasmusson (I-03): Two Short Rate Models with Numerical Swaption Pricing Procedures (2009:E33)
    Supervisor: Tobias Rydén; Company: SPP
  14. Pierre-Jean Campigotto: MARKOV-SWITCHING MODELS IN FOREIGN EXCHANGE, How to benefit from trends in the market? (2009:E34)
    Supervisor: Magnus Wiktorsson
  15. Philip Wahlström (I-04), Magnus Sjörén (I-04): Replicating Hedge Fund Indexes Using Regime-Switching Risk Factors and Macroeconomic Factors(2009:E35)
    Supervisor: Magnus Wiktorsson; Company: IPM

2008

  1. Per Nyström (I-04), Stefan Johansson (I-04): Modelling Correlated Time Series of Wind Speed for Estimation of the Distribution of Power for a Set of Wind Turbines (2008:E51)
    Supervisor: Georg Lindgren
  2. Hedda Giaever (I-04), Hanna Karlsson (I-03): Component Based Loan Pricing, A generic approach to price credits (2008:E50)
    Supervisor: Magnus Wiktorsson; Company: Öhrlings PriceWaterhouseCoopers
  3. Erik Grahn (I-05), Jonas Rodling (I-04): Estimating Liquidation Value, A framework for determining haircut on equity collateral (2008:E49)
    Supervisor: Erik Lindström; Company: SEB
  4. Erik Wallerstein (Π-02): A Hedge Fund Investment Model (2008:E47)
    Supervisor: Rajna Gibson; Company: University of Zürich
  5. Filip Nilsson (Π-02): Modelling LGD with Survival Analysis (2008:E45)
    Supervisor: Magnus Wiktorsson; Company: Swedbank
  6. Andreas Larsson (I-02): Credit Default Swap Valuation in the Constant Elasticity of Variance Model, Sequentially Calibrated on Equity Options (2008:E44)
    Supervisor: Jonas Ströjby; Company: Data Care Innovation
  7. Christoffer Ramsden (I-03): Capturing Nonlinearities of Financial Assets Using Interpolation Methods in Risk Calculations (2008:E43)
    Supervisor: Magnus Wiktorsson; Company: UBS AG Zürich
  8. Mats Ehnbom (I-03), Karin Ramberg (I-03): An Approach to Price Virtual Power Plant Options (2008:E32)
    Supervisor: Jonas Ströjby
  9. Mari Halvorsdatter Hodnekvam (F-02): Evaluation of Hedging Strategies (2008:E30)
    Supervisor: Mats Brodén; Company: Handelsbanken
  10. Johan Strålfors (I-03): Calibration of a Dynamically Weighted Heston and Finite Moment Log Stable Model Using the Iterated Extended Kalman Filter (2008:E28)
    Supervisor: Erik Lindström
  11. Mårten Waern (Π-02), Fredrik Svedberg (Π-02): Analyzing Foreign Exchange Rates: A Neural Network Approach (2008:E24)
    Supervisor: Jonas Ströjby; Company: Nordea
  12. Carl Thornberg (M-03): Portfolio Optimization using Hidden Markov Models (2008:E23)
    Supervisor: Erik Lindström
  13. Dag Lyberg (nv): Neural Network and Wavelet Transform Modeling of Energy Demand (2008:E21)
    Supervisor: Georg Lindgren; Company: Energy Opticon AB
  14. Konstantin Moraidis (nv): Portfolio optimization in a Lévy market (2008:E20)
    Supervisor: Magnus Wiktorsson
  15. Erik Adelsohn (I-03), Christian Eriksson (I-03): Two approaches to oil price modelling (2008:E19)
    Supervisor: Erik Lindström; Company: Öhmans Fondkommission
  16. Jakob Moberg (Π-03): Calibration of Short Rate Models with Finite Difference Methods (2008:E17)
    Supervisor: Magnus Wiktorsson; Company: Simcorp
  17. Niklas Norén (I-03): SEC Market Risk Disclosures, - What Do Investors Really Learn? (2008:E16)
    Supervisor: Hossein Asgharian; Company: ABB Zürich
  18. Caroline Lundkvist (Π-02): Probability distributions of maxima of Stochastic Processes and Financial Indices (2008:E15)
    Supervisor: Magnus Wiktorsson
  19. Thorbjörn Wallentin (F-02), Martin Andersson (I-03): Systematic Carry Trading with Technical Analysis and Volatilty Filters (2008:E14)
    Supervisor: Magnus Wiktorsson; Company: SEB
  20. Rickard Rönblom (I-02): Interpreting the Relative Spread. Recovery rate modeling based on senior and subordinated CDS spreads (2008:E12)
    Supervisor: Magnus Wiktorsson; Company: Nordea
  21. Johan Jerntorp (I-03): Introduction and Application of Hybrid Liability Management (2008:E8)
    Supervisor: Erik Lindström; Company: BNP Paribas
  22. Daniel Bertland (F-00): "The perfect portfolio" (2008:E5)
    Supervisor: Erik Lindström; Company: Aberdeen Property Investors AB
  23. Johan Claesson (I-02), Sara Berger (F-02): Conditional Methods for Predicting Scenarios for Market Risk Factors (2008:E3)
    Supervisor: Erik Lindström; Company: Handelsbanken

2007

  1. Andreas Andersson (I-03): Credit Migration Derivatives, Modelling of the Underlying Credit Migration Matrices (2007:E43)
    Supervisor: Erik Lindström; Company: Zürcher Kantonalbank, Schweiz
  2. Aron Moberg (Π-02): Pricing and hedging of Credit Default Swaps using the CEV-model (2007:E39)
    Supervisor: Magnus Wiktorsson
  3. Karin Östling (D-01), Helena Wiedling Fernandes (M-02): Hantering av operationella risker ~ komplexiteten kring identifiering och kvantifiering (2007:E29)
    Supervisor: Tobias Rydén Company: if
  4. Cecilia Adamsson (I-01): Equity Linked Notes - a Comparison of the Products on the Swedish Market (2007:E26)
    Supervisor: Magnus Wiktorsson; Company: Swedbank Markets
  5. Peter Persson (I-02): Implementation of a Risk Based Solvency Model (2007:E24)
    Supervisor: Mats Brodén; Company: Länsförsäkringar Liv
  6. Theodora Jung (I-02): Inflation Market Modelling (2007:E21)
    Supervisor: Erik Lindström; Company: Bnp Paribas, London Branch
  7. Erik Svensson (I-02): Risk Aggregation and Dependence Modelling with Copulas (2007:E15)
    Supervisor: Erik Lindström; Company: Svenska Handelsbanken
  8. Caroline Karlsson (I-02): Examining Affine General Equilibrium Models (2007:E12)
    Supervisor: Erik Lindström
  9. Rickard Davidsson (E-99): Option Pricing in Equity Linked Notes - SPAX ex post (2007:E11)
    Supervisor: Magnus Wiktorsson; Company: Swedbank Markets
  10. Catrin Jansson (F-00): Reconstructing the Risk Premium under the UIP condition with hidden Markov models (2007:E9)
    Supervisor: Tobias Rydén
  11. Niklas Rönnberg (I-01): The Pricing of Standard and Non-Standard Synthetic CDO Tranches Using the Normal Inverse Gaussian Copula (2007:E8)
    Supervisor: Magnus Wiktorsson; Company: Nordea
  12. Johan Ericson Thordenberg (I-02), Martin Nilsson (I-02): Exchange-traded funds and portfolio insurance strategies (2007:E6)
    Supervisor: Magnus Wiktorsson; Company: SEB
  13. Axel Wåhlin (I-01): Estimation, Examination and Extensions of SPDs, Empirical Study on the Nordic Option Market (2007:E5)
    Supervisor: Erik Lindström
  14. Erik Lindgren (I-02): Calibration of Heston´s Stochastic Volatility Model Using the Extended Kalman Filter (2007:E4)
    Supervisor: Erik Lindström; Company: Front Arena, Stockholm
  15. Elisabeth Diehl (I-02): Implementation and Evaluation of a New Volatility Index Methodology (2007:E1)
    Supervisor: Erik Lindström

2006

  1. Henrik Brunlid (Π-02), Oskar Arnoldsson (nv): CDO Pricing Using the Normal Inverse Gaussian Copula and Fast Fourier Transforms (2006:E34)
    Supervisor: Erik Lindström
    Company: SEB
  2. Lina Åkerlund (F-00): Comparison of the Compound Correlation and Base Correlation Approach of Valuing CDO Tranches (2006:E33)
    Supervisor: Erik Lindström
    Company: Nordea
  3. Henrik Malmberg (E-01): Detecting Shortages of Wind Power in a Small System (2006:E32)
    Supervisor: Georg Lindgren
  4. Mikael Gunnarsson (I-01): Call Option Pricing in the Regime Swithching Lévy Market (2006:E29)
    Supervisor: Sebastian Rasmus
  5. Linus Svensson (I-01): Negativ autokorrelation vid externa prisförändringar på valutamarknaden (2006:E21)
    Supervisor: Erik Lindström
    Company: Systematiska Fonder, Lund
  6. Christian Iorizzo (nv): A Comparison of Risk Measures on the Power Market (2006:E20)
    Supervisor: Jan Holst
  7. Martin Englund (F-00), Fredrik Thuring (F): Erfarenhetstariffering i en hierarkisk kredibilitetsstruktur (2006:E18)
    Supervisor: Nader Tajvidi
    Company: Codan Forsikring A/S
  8. Pia Stene (nv): Monte-Carlo baserade hedgemetoder (2006:E17)
    Supervisor: Magnus Wiktorsson
  9. Marcus Bellander (I-00): Non-linear Optimization using Constrained Neural Networks with Applications on the Nordic Energy Market (2006:E16)
    Supervisor: Jan Holst
    Company: Sydkraft
  10. Kristina Haglind (I-01): Riskmodellering av svenska aktieportföljer (2006:E15)
    Supervisor: Tobias Rydén
    Company: SEB Stockholm
  11. Ulrica Müntzing (Π-02), Joakim Hansson (F-00): Prediktion av priser på el-termin (2006:E12)
    Supervisor: Tobias Rydén
  12. Gustav Bengtsson (I-01), Camilla Bjurhult (F-01): Aktiemodellering för prissättning av kreditderivat (2006:E8)
    Supervisor: Magnus Wiktorsson
    Company: Nordea
  13. Thomas Rådberg (I-01), Oskar Rundlöf (I-01): Pricing of Himalaya Option Using Local Volatility (2006:E6)
    Supervisor: Erik Lindström
    Company: Öhman J:or fondkommission
  14. Victor Lang (I-01), Richard Setterwall (I-01): Bond Portfolio Diversifaction (2006:E2)
    Supervisor: Erik Lindström
    Company: SEB

2005

  1. Andreas Kamvissis (I-01): Stokastiska metoder för korttidsoptimering i kraftsystem (2005:E31)
    Supervisor: Jan Holst, Roger Halldin
    Company: Optimization Partner
  2. Carl Johan Hegerin (E-00), Jonas Gustafsson (E-00): Ett ramverk för modellering och filtrering av FX-data (2005:E29)
    Supervisor: Jan Holst
    Company: SEB
  3. Jonas Ströjby (F-99): Modelling Non-Linear Stochastic Dynamic Systems with Recurrent Neural Networks and Non-Linear Filters with Applications in Energy Trading (2005:E19)
    Supervisor: Jan Holst, Christian Jacobsson
  4. Pelle Bergsten (I-99), Thomas Gunnarsson (I-00): Validation of Credit Risk Models, A Sensitivity Analysis of the Validation Methods and Estimation of a Logistic Regression Model (2005:E13)
    Supervisor: Jan Holst
  5. Jim Gustafsson (nv): A Semiparametric Approach to Loss Distribution Modelling with Application to Operational Risk Assessment (2005:E12)
    Supervisor: Nader Tajvidi
  6. Hannes Lindbeck (D-98), Per Ranebo (I-99): Predicting the Aluminium Spot Price on the London Metal Exchange (2005:E11)
    Supervisor: Jan Holst
  7. Daniel Lönnborg (I-00), Patrik Nevsten (I-00): A Credit Risk Model for Real Etate Lendig Portfolios, Implemented on the Swedish Residential Market (2005:E9)
    Supervisor: Jan Holst

2004

  1. Mutshinda Mwanza: Coverage Accuracy of Confidence Intervals for Parameters and Quantiles in Extreme Value Distributions (2004:E47)
    Supervisor: Nader Tajvidi
  2. Ronny Alex, Anders Evenås: Hedging Strategy Optimization under Proportional Transaction Costs (2004:E44)
    Supervisor: Sebastian Rasmus, Magnus Wiktorsson
  3. Mats Brodén: Portfolio Optimization at Fixed Transaction Days (2004:E39)
    Supervisor: Jan Holst, Martin Dahlgren, Rolf Korn
  4. Kristian Åkesson: Modelling Dependence with Archimedian Copulas (2004:E35)
    Supervisor: Jan Holst, Erik Lindström, Nader Tajvidi, Roger Halldin
  5. Camilla Rasmusson: Using Non-Linear Kalman Filtering for Inflow Modeling (2004:E34)
    Supervisor: Jan Holst, Roger Halldin
  6. Martin Sandberg:
  7. Siri Francke: Utvärdering och förbättring av en prognosmodell för vindkraft (2004:E20)
    Supervisor: Jan Holst
  8. Henric von der Groeben, Martin Torell: Deriving Explanatory Factors for Stock Returns, Using Multi-Factor Cross-Sectional Regression and Mimicking Portfolios (2004:E11)
    Supervisor: Jan Holst
  9. Jonas Berg, Torbjörn Kronblad: Forecasting Electricity Spot Prices Using Futures Contracts and Energy Reservoir as External Signals, A Discrete Time Heteroscedastic Approach (2004:E3)
    Supervisor: Jan Holst

 

Questions: Magnus Wiktorsson
Last update: 2010-08-06 Validate: HTML CSS

Top of page
Centre for Mathematical Sciences, Box 118, SE-22100, Lund. Telefon: +46 46-222 00 00 (vx)