Master's theses related to mathematical finance

Ongoing projects

• Arzu Eski Pricing and hedging using MC-methods
  Supervisor: Magnus Wiktorsson
• Mikael Tearn, Exchange rate risk, finishing fall 2012.
  Supervisor: Magnus Wiktorsson
• Alexander Ivarsson, Hannes Sternbeck Fryxell, VaR calculations and risk estimates, finishing fall 2012.
  Supervisor: Magnus Wiktorsson Company: SHB Life
• Joachim Larsen, Art valuation from an insurance perspective, finishing fall 2012.
  Supervisor: Magnus Wiktorsson

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

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. Anna Silén, Johanna Carlsson: Credit Valuation Adjustment, Risk Capital Charge under Basel III(2012:E16),
   Supervisor: Magnus WiktorssonCompany: Ernst and Young
3. Simon Johansson: Discrete space-simulation for Lévy processes (2012:E17)
   Supervisor: Magnus Wiktorsson
4. Li Yin: GARCH-Copula Approach to Estimation of Value at Risk for Portfolios (2012:E18),
   Supervisor: Nader Tajvidi
5. John Hedestig: Pricing and Hedging of swing options in the European electricity and gas markets (2012:E20),
   Supervisor: Erik Lindström
6. Emil Jönsson, Carolina Malmberg: Risk Driving Factors for Covered Bond Issuers in Sweden (2012:E25)
   Supervisor: Magnus WiktorssonCompany: Danske Bank
7. Per Sidén Valuation and Optimization of Credit Risk using a Portfolio Model, (2012:E37),
   Supervisor:Nader Tajvidi

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
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