Searched for: contributor:"Oosterlee, C.W. (mentor)"
(1 - 20 of 55)

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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, K.B. (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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Peeters Weem, J.M. (author)
In this thesis we discuss a framework for life-cycle construction. For the construction of life-cycles we use mean-variance optimization. Mean-variance optimization is a portfolio selection method used to find a combination of asset classes that has an optimal risk-return trade-off. We choose the replacement ratio, the pension income as fraction...
master thesis 2017
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Alberts, J.S.C. (author)
This thesis discusses dimension reduction of the risk drivers that determine embedded option values by using the class of State Space Hidden Markov Models. As embedded options are typically valued by nested Monte Carlo simulations, this dimension reduction leads to a major reduction in computing time. This is especially important for insurance...
master thesis 2016
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Sun, L. (author)
master thesis 2016
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Hendriks, S. (author)
master thesis 2016
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Tijink, J.J. (author)
bachelor thesis 2016
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van der Zwaard, T. (author)
This thesis addresses the calibration of the Heston model with term structure (i.e. with piecewise constant parameters) to a set of European option prices from the FX market. Several option pricing methods are discussed and compared, among which the COS method, Lewis' method and the Andersen QE Monte Carlo scheme. Several modifications are...
master thesis 2016
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Schols, E. (author)
This thesis discusses the valuation of embedded options in insurance liabilities using radial basis functions. For insurance companies, the valuation of embedded options is an important topic within risk management. This valuation can become too computationally heavy when nested Monte Carlo simulations are used. To overcome this computational...
master thesis 2016
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Frankena, L.H. (author)
This thesis is about pricing interest rate options in a negative interest rate environment and about pricing foreign exchange barrier options. Conventional interest rate option pricing models are unable to price interest rate options in the current negative interest rate environment. Displaced versions and free boundary versions of the...
master thesis 2016
Searched for: contributor:"Oosterlee, C.W. (mentor)"
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