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van Lange, Dion (author)
This thesis captures the calibration of a FX hybrid model: The FX Black-Scholes Hull-White model. The main focus is on the calibration of the parameters in the Hull-White process: The mean reversion and the volatility parameter. The latter is commonly calibrated as a time-dependent parameter, whilst the mean reversion parameter is not. This...
master thesis 2020
document
van Lange, Dion (author)
In this project we looked into financial markets. The goal of this project was to find out if a bubble is forming and when the most probable time of bursting would be. that is what we call the critical time. In order to do this we studied the work of Professor Didier Sornette, who is an expert in this field of mathematics. In this bachelor...
bachelor thesis 2018