Searched for: contributor%3A%22Oosterlee%2C+C.W.+%28mentor%29%22
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Huistra, Mark (author)
In the fight against money laundering, demand for data-driven Anti-Money Laundering (AML) solutions is growing. Particularly anomaly detection algorithms have proven effective in the detection of suspicious customer behaviour, as well as observing patterns otherwise hidden in customer transaction data. In this thesis, the Isolation Forest...
master thesis 2021
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Keim, Josephine (author)
Interest rate products form a large segment of over-the-counter derivatives. When the interest rate became negative, for the first time, in July 2009, interest rate models needed to adjust. Where first a log-normal model, as the Brace Gatarek Musiela (BGM) model, might have seemed logical for interest-rate products, as they were<br/>bounded by...
master thesis 2021
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Hack, Tim (author)
Interbank-offered-rates play a critical role in the hedging processes of banks, hedge funds or institutional investors. However, the financial stability board recommended to replace these rates by alternative risk-free-rates at the end of 2021. The new rates will be backward-looking rates and therefore, the payoff definitions of interest rate...
master thesis 2021
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Montana, J Rhet (author)
By sampling financial correlation matrices over sliding windows, it has been shown in recent work that the quantum majorization induced partial ordering on this space of correlation matrices known as the "quantum Lorenz ordering" (QLO) can be used to characterize systemic risk by clustering correlation matrices according to their degree...
master thesis 2021
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Ochalhi, Redouan (author)
In this research, different models are used to construct volatility surfaces and these models are compared with each other in terms of accuracy. The models range from the SSVI to neural networks. Specifically, we look at the SSVI, the feedforward neural network and the gated neural network. Attention is also paid to the incorporation of...
master thesis 2021
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de Miranda, Lisa (author)
This thesis is devoted to option pricing on backward-looking rates. For the last decades, interest rate products were often linked to IBOR rates. IBORs are short-term borrowing rates charged between global banks in the unsecured interbank market. The purpose of this thesis is to compare the Hull-White model to the Black-Karasinski model for the...
master thesis 2021
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Steenbergen, Randy (author)
Currently, quantitative asset pricing models are often not equipped to deal with merger and acquisition events. In such cases, portfolio managers make the assumption that the model is not working and they override its decisions for an entire year. This thesis studies the performance of quantitative models after these events and provides research...
master thesis 2020
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van Rhijn, J. (author)
Generative adversarial networks (GANs) have shown promising results when applied on partial differential equations and financial time series generation. This thesis investigates if GANs can be used to provide a strong approximation to the solution of stochastic differential equations (SDEs) of the Ito type. Standard GANs are only able to...
master thesis 2020
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Aupérin, Alizée (author)
Demand deposits modeling is of top importance for banking institutions and usually represents a large part of a bank portfolio. Even though these products seem rather simple at first glance, demand deposits are without a fixed maturity, generating uncertainties in the model. A significant amount of academic literature on this subject is...
master thesis 2020
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Négyesi, Bálint (author)
Backward stochastic differential equations (BSDE) are known to be a powerful tool in mathematical modeling due to their inherent connection with second-order parabolic partial differential equations (PDE) established by the non-linear Feynman-Kac relations. The fundamental power of BSDEs lies in the fact that with them one does not merely obtain...
master thesis 2020
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Hermse, Femke (author)
In this thesis we build a goal based planning framework that takes into account goal priorities. Goal based planning is a type of personal wealth planning, with a focus on the feasibility of an investor's goals. Currently, to take goal priorities into account a dynamic asset allocation is created. We focus on incorporating goal priorities by...
master thesis 2020
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Boonstra, B.C. (author)
In this thesis we introduce valuation techniques to price electricity storage contracts, where the electricity prices follow a structural model based on polynomial processes. In particular we focus on a Fourier-based pricing method known as the COS method, which performs impressively to price the contracts accurately. We provide details on how...
master thesis 2020
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Bergþórsdóttir, Kristin (author)
Machine learning methods like outlier detection are becoming increasingly more popular as tools in the fight against money laundering. In this thesis, we analyse the Isolation Forest outlier detection algorithm in detail and introduce a new local explanation method for Isolation Forest, the MI-Local-DIFFI (Multiple Indicator Local-DIFFI) method....
master thesis 2020
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Rood, N.M. (author)
In this study, two interest rate models are analysed in context of counterparty credit risk. The goal of the study is to find a model that performs well on historical simulation for the PFE and EPE. The two models analysed are the Dynamic Nelson-Siegel model and the Displaced Diffusion model.<br/>In the Dynamic Nelson-Siegel model, a Nelson...
master thesis 2020
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Bacci di Capaci, G. (author)
The bond market is affected by the shortage of liquidity problem, which means that many bonds are not frequently traded. This implies that market data for these bonds are missing. This lack of data represent a problem for financial risk measures such as Value at Risk (VaR). This research provides the framework for the construction of a proxy...
master thesis 2020
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Erkan, K.E. (author)
This thesis is about pricing European options using a Fourier-based numerical method called the COS method under the rough Heston model. Besides examining the efficiency and accuracy of the COS method for pricing options under the rough Heston model, it is also investigated if the rough Heston model produces the advantages of the so-called rough...
master thesis 2020
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de Boer, S.G. (author)
This thesis showcases a rather contemporary method of solving a generalized system of stochastic differential equations (SDE's) comparable to the SABR model. The solution is derived from a stochastic-local volatility (SLV) model in which the local volatility (LV) component is kept general. This generality is maintained throughout all derivations...
master thesis 2020
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Blok, S.A.W. (author)
In financial and egineering problems, we are often faced with solving Partial-Integro Differential Equations (PIDEs). Rarely we can find an analytic solution in a closed form expression for these PIDEs, hence we turn to numerical schemes to accurately approximate the solution instead. Classically these methods are based on finite difference...
bachelor thesis 2020
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Kirana, Marco (author)
The aim of this thesis is to model fully collateralized exposures in the presence of the Margin Period of Risk, i.e., the time between the last successful collateral call to the time where the amount of the loss crystallizes. We start with introducing a closed-form expression to model fully collateralized exposures for fixed versus floating...
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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