Searched for: contributor:"Oosterlee, Kees (mentor)"
(1 - 20 of 23)

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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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Lee, Alexander (author)
The yield curve represents market supply and demand implied expectations of future interest rates and is calibrated from the most liquidly traded interest rate derivatives like cash deposits, forward rate agreeents, swaps and futures. Due to the daily margining mechanism of futures contracts, interest rate futures require the substraction of a...
master thesis 2019
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Jonker, Hendrik (author)
Since the liberalization of the energy markets, the storage of energy is decoupled from the production and sales. In Western-Europe the storage of natural gas becomes more and more important because production fields get depleted and governments force companies to slow down their production because of tremors in the ground. Natural gas needs to...
master thesis 2019
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De Meer Pardo, Fernando (author)
The scarcity of historical financial data has been a huge hindrance for the development algorithmic trading models ever since the first models were devised. Most financial models assume as hypothesis a series of characteristics regarding the nature of financial time series and seek extracting information about the state of the market through...
master thesis 2019
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van der Meer, Remco (author)
Recent works have shown that neural networks can be employed to solve partial differential equations, bringing rise to the framework of physics informed neural networks.The aim of this project is to gain a deeper understanding of these novel methods, and to use these insights to further improve them. We show that solving a partial differential...
master thesis 2019
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van Schetsen, Anouk (author)
Predicting the trends in Bitcoin market prices is a very challenging task due to the many uncertainties and variables influencing the market value. The market is susceptible to quick changes, causing seemingly random fluctuations in the Bitcoin price. Due to the chaotic and highly volatile nature of Bitcoin behavior, investments come with high...
master thesis 2019
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Hoogendoorn, Jasper (author)
In this thesis, we study the sequential Monte Carlo method for training neural networks in the context of time series forecasting. Sequential Monte Carlo can be particularly useful in problems in which the data is sequential, noisy and non-stationary. We compare this algorithm against a gradient-based method known as stochastic gradient descent ...
master thesis 2019
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Pluim, Joost (author)
Generative Adversarial Networks (GANs) provide a new way of generating data. In this thesis, a strictly controlled parameter space is introduced from which a sample space with known underlying distributions can be generated. Having exact knowledge of the underlying distributions of the parameter space, makes that we can evaluate the quality of...
master thesis 2019
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den Haan, Tim (author)
This thesis studies the asset allocation of a DC pension investor over a long time horizon. Investors allocate their portfolio wealth between two assets: a return portfolio and a matching portfolio. Investors can adjust their allocation once a year. Several dynamic investment strategies that improve investment results compared to fixed...
master thesis 2019
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Kooijman, Iris (author)
Option valuation is one of the more applied areas of mathematics. Options are financial derivatives whose value depends on the value of an underlying asset. They are frequently used in hedging to minimize the risk when trading in the underlying stock and therefore require accurate pricing. Though quite some research has been conducted on...
bachelor thesis 2019
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Guise, Juliette (author)
In this thesis, several compound options and a real option application will be valued. First, an introduction to real options and our application will be given and bridges between financial and real options will be established. Then, an asset price model will be introduced which will be used throughout the whole thesis to value options, and...
bachelor thesis 2019
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Tijink, Jan (author)
master 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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van Tol, Lieselotte (author)
This thesis deals with different models for decision-making under risk in financial applications, mainly models that incorporate irrational human behavior. First of all, traditional expected utility theory is considered. Hereafter, two models that incorporate irrational human behavior are discussed and compared: prospect theory and cumulative...
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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de Groot, Olivier (author)
Free competition in the insurance markets increases the competitiveness and lowers the premiums. If insurers lower their premiums without having a model that accurately quantifies the expected claim size, they can be in serious trouble. This research aims to accurately model the premiums and quantify the uncertainty involved using historic...
master thesis 2017
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van Dijk, Marcel (author)
In risk-management, one typically simulates many states of the market using models that are in line with historical data, also known as real-world models. For example, new regulations require insurance companies to value their position on a 1-year horizon. Insurance companies issue guarantees that need to be valued according to market...
master thesis 2017
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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
Searched for: contributor:"Oosterlee, Kees (mentor)"
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