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Hoyer, S.A. (author)Wind derivatives are financial contracts that can be used to hedge or mitigate wind risk. In this thesis, the focus was on pricing these wind derivatives, incorporating a seasonality effect. A new method to incorporate seasonality is suggested, and various wind derivative pricing methods are provided.master thesis 2013
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Van Tol, P.J.M. (author)A couple of topics on calculating the required capital of an insurance company are covered in this thesis. We derive a new method in order to compare correlation matrices of aggregation methods consisting of one- or two-levels. Different from earlier time series analysis, we show that a prediction for the one-year correlation can be made with...master thesis 2013
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Budimir, T. (author)Sovereign debt is often used as collateral in derivative trading and repo lending. For risk management purposes the value of the bond is not the market valuation, but rather the market valuation minus a haircut percentage, or simply termed: haircut. The haircut captures the potential risk of the change in value of the bond over a short period of...master thesis 2013
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Chenailller, A. (author)Economic Capital consists of an internally defined amount of capital that is necessary to over- come adverse market conditions. It plays an important role in risk management and business decisions. This thesis focuses on the Economic Capital of the trading book of an international bank Several types of risks need to be modelled and, in this...master thesis 2013
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- Borovykh, A.I. (author) bachelor thesis 2013
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Huijskens, T.P. (author)This thesis starts by discussing the foundations of mathematical finance and some theoretical results on backward stochastic differential equations. We discuss some examples of these equations in mathematical finance (primarily option pricing) and develop a numerical method that can approximate solutions to these equations. Subsequently, we...bachelor thesis 2013
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Wensveen, C.J. (author)In this document two ways of pricing a freight option are discussed. First of all, we derive an explicit formula for the price of freight options. In the derivation of this formula, an important approximation was made. Therefore, it is not sure whether this formula is valid for pricing freight options. To check its validity, freight options are...bachelor thesis 2013
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- Lagerweij, Z.A. (author) master thesis 2012
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Versteegh, M. (author)There are situations in which the COS method for option pricing has relatively slow convergence as a consequence of the Gibbs phenomenon. This thesis focusses on various methods to improve the convergence rate of the so called spectral methods. Note that we are not just interested in an accurate recovery, but that we also want to be able to...master thesis 2012
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De Jong, S.D. (author)Pricing American options using a sophisticated technique combining Monte Carlo simulations and least squares regressions. This way an approximation for the option price can be derived with little computational effort.master thesis 2012
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- Maree, S.C. (author) bachelor thesis 2012
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Van der Linden, J. (author)Greeks are sensitivities of option prices with respect to certain parameters. The calculation of Greeks is needed for hedge strategies and to manage or measure risk. As the underlying models get more complicated, the calculation of these Greeks can become far more difficult than the pricing of options. In this thesis we consider the Greeks of...master thesis 2011
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Wang, G. (author)This project aims to develop and validate the Heston-Hull-White model on Variable Annuities. Such a stochastic modelling assumption is crucial in pricing and hedging the long term exotic options. We calibrate the Equity and FX Heston-Hull-White model in the corresponding markets. A novel numerical integration option pricing method-COS method...master thesis 2011
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De Gooijer, S. (author)People invest in projects to make a profit. If the cost of investment is larger than the revenue, a rational person would not invest. Though these two statements may seem trivial, the reality is that it is often difficult to know what the expected costs and payoffs are. Like with any prediction in the future, there is always a level of...bachelor thesis 2011
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Stuurman, P. (author)In de financiële wereld wordt veel gehandeld in producten die opties genoemd worden. In dit onderzoek zullen we een aantal modellen analyseren die gebruikt worden om de waarde van deze producten te bepalen. Deze modellen gaan uit van stochastische differentiaalvergelijkingen om het gedrag van een aandeel te beschrijven. In sectie 2 worden opties...bachelor thesis 2011
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Hoorens, B. (author)The purpose of this thesis is to compare the Hull-White short rate model to the Cheyette short rate model. The Cheyette short rate model is a stochastic volatility model, that is introduced to improve the fit of the implied volatility skew to the market skew. Both models are implemented with piecewise constant parameters to match the term...master thesis 2011
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Van der Aa, J.J.R.J.P. (author)Certain banks offer its customers a new investment product, which is known as AEX-sparen. A minimal amount of 5000 Euro is put into a bank account and this will be returned after four months plus interest. The interest is the same as the AEX-Index has earned in the previous four months, but is maximized to 10 %. If the AEX-Index has gone down...bachelor thesis 2011
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Wadman, W.S. (author)In this thesis, an extension of the Heston model to the multi-dimensional case will be investigated. Most attention will be given to design a multi-asset Monte Carlo method, which can efficiently simulate multivariate random variables with almost no bias. The prevention of negative variance in the discretization method will be a challenge, as...master thesis 2010
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Ruijter, M.J. (author)Financial options are contracts which define rights on stocks in a financial market. Real options arise in for example economical, personal or societal context. The holder has a real option in the sense of a real `choice'. Real options appear in for example the dike height problem, where one has to make optimal choices about when to increase the...master thesis 2010
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Van der Linden, J. (author)In dit verslag wordt een methode gegeven om de swing optie te prijzen met de COS methode. Eerst zal behandeld worden wat een optie is en hoe de COS methode werkt. Daarbij zullen ook enkele andere opties aan bod komen als voorbeeld.bachelor thesis 2009