Searched for: cirillo
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Wesel, Frederiek (author)
In financial applications it is often necessary to determine conditional expectations in Monte Carlo type of simulations. The industry standard at the moment relies on linear regression, which is characterized by the inconvenient problem of having to choose the type and number of basis functions used to build the model, task which is made harder...
master thesis 2019
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Dedja, Klest (author)
Since the last decade, we are assisting a widespread use of “black box” Machine Learning algorithms, these are algorithms with excellent performance but whose outcomes are hard to understand to a human agent. However, there are some situation when it is important to understand why a certain output is given,<br/>and the field of explanability in...
master thesis 2019
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Mokhov, Peter (author)
In this thesis we statistically analyze violent conflicts. The main focus lies on the risk of occurrence of large wars. We collected data that provides the total amount of casualties, for every known war, in the time span 768CE - 2019. The distribution of the data suggests a presence of a long right tail. We have used different graphical tools...
bachelor thesis 2019
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Hartel, Wout (author)
This thesis is a research into the relationship between performance and sales of new financial contracts of financial products providers in the employer’s market. This thesis is written in collaboration with IG&amp;H Consulting. Combining the performance scores given by advisors on financial providers and the production of new contracts over the...
master thesis 2019
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Verberne, Stijn (author)
Clients with a mortgage loan may prepay a part of their loan before the contractual date. This is called prepayment. In the case of a prepayment, the bank who issued the loan earns less interest than ini- tially agreed. It is therefore essential to build accurate models for predicting prepayment behavior. In this thesis, machine learning models...
master thesis 2019
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Michael, Gavriella (author)
When dealing with datasets where the observations are obtained from the same cross-sectional units at multiple time points, most of the times, heterogeneity arises across he cross-sectional units. If one ignores this heterogeneity, assuming that the data are pooled, the parameters estimations run the risk of being inconsistent. This thesis...
master thesis 2019
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Bertoncini, Chiara (author)
Three interest rate models are researched: Displaced Exponential-Vasicek, Hull-White one factor and Hull-White two factors with time-dependent volatility parameters. The motivation for this is two-fold: firstly, we would like to understand how the capital calculations would be impacted when yield curves are modelled under the three different...
master thesis 2018
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Cirillo, Raffaello (author)
Nowadays an increasing number of offshore wind farms (OWF) is getting built. Several disciplines are considered into this subject. The manual and sequential design approach used so far is not sufficient to guarantee optimized systems because interactions between the different components are disregarded. Therefore, engineering companies are...
master thesis 2018
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Schutte, Heleen (author)
In the Netherlands Dutch pension funds perform the feasibility test. This test is originally designed for DB pension schemes. Nowadays DC pension schemes are getting a more prominent role in the Dutch pension system. Therefore an improved design of the feasibility test for DC pension schemes would be beneficial. In this research we search for a...
master thesis 2018
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Zoutendijk, Joran (author)
This thesis is on the subject of modelling the probability of default in a low default portfolio. In these portfolios there is a high risk of underestimating the true probability of default. Two models are considered, a Gaussian one factor model and a Poisson model with Gamma mixture. Classical estimation methods as the maximum likelihood are...
master thesis 2018
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Leeuwestein, Linda (author)
In this research, the returns of four cryptocurrencies (Bitcoin, Litecoin, Ripple and Ethereum) were analyzed in order to answer the following research question: “How do the returns of Bitcoin and other altcoins behave over time, and what can we say about extreme values for losses and profits?” With respect to volatility, cryptocurrencies can...
bachelor thesis 2018
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Saito, Taiyo (author)
The aim of this thesis is to forecast the evolution of the prepayment rate in a mortgage portfolio. In the Netherlands, people with a loan have the possibility to repay (part of) their outstanding loan before the due date. These prepayments make the length of the portfolio of loans stochastic, which creates problems in the refinancing policy of...
master thesis 2018
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Koopman, Daan (author)
This thesis adds to quantitative literature on terrorism by examining the relationship between various annual country statistics and the number of terrorist attacks. In addition, it assesses the potential of forecasting terrorism. Combining an extensive review of literature from social science, with data analysis of the Global Terrorism Database...
master thesis 2018
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Casamassima, Emanuele (author)
Forecasting the prepayments is essential for any financial institution providing mortgages, and it is a crucial step in the hedging of the risk resulting from these unexpected cash flows. The way in which the prepayment rate is predicted impacts on the hedging strategy. For example, if the prepayment model is deterministic only the average...
master thesis 2018
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Verkade, Joost (author)
Managing credit risk is a vital part of financial institutions. While the research into credit risk models is extensive, transaction data is a relatively untapped data source in these models. We investigate the explanatory value of transaction data for the Bank by developing default classification models for their small medium enterprises (SME)...
master thesis 2018
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de Vries, Tjeerd (author)
This thesis develops a continuous time framework to value deferred taxes using<br/>Black and Scholes (1973) type option pricing techniques. The valuation renders a<br/>market consistent pricing procedure, which avoids the necessity of subjective accounting principles. Our framework is flexible enough to value deferred taxes like carry forward,...
master thesis 2018
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Wagner, Emma (author)
This work is on the extension of the SWIFT method to option pricing problems where the sum of lognormals occurs. The SWIFT method (ShannonWavelet Inverse Fourier Technique) is extended to the valuation of geometric Asian options and arithmetic Asian options with a Lévy process as underlying price process and the valuation of European options...
master thesis 2017
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Draijer, Mats (author)
The aim of this thesis is to provide a formula for the value of a correlation swap. To get to this formula, a model from an article by Bossu is inspected and its resulting expression for fair the fair value of a correlation swap is simulated. The Jacobi process will be defined and two discretization schemes will be compared for it. Methods are...
bachelor thesis 2017
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van der Weijst, Roel (author)
This thesis is about pricing European options and forward start options under the Heston LSV model. The impact of conditionally calibrating the Heston parameters on the satisfaction of the Feller condition and thereafter correcting with a local volatility surface is investigated here. The results show that this approach is computationally time...
master thesis 2017
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Deckers, Joeri (author)
A medium size Dutch insurance company with third-party car insurance products initiated questions on whether the premium can be based on a statistical analysis where the expected future liabilities are taken into account. These questions are as follows:<br/>• Which statistical models can be used to base the premiums on expected future...
master thesis 2017
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