Calibration of different interest rate models for a good fit of yield curves

One of the first mathematical models to describe the interest rate over time was the Vasicek model (1978). Soon after, the Cox Ingersoll Ross (CIR) model (1985) was introduced. The Vasicek model and the CIR model belong to the family of short interest rate models. Through transformation these models can be applied to compute the interest rate...

Het Ho-Lee rentemodel

Het verslag legt het rentemodel van Ho en Lee uit en bekijkt verschillende eigenschappen van dit model, waaronder het arbitragevrij zijn en de kalibratie van het model.

Optimale strategieën voor gunstige binomiale spellen

Welke strategie dient er toegepast te worden om gegeven een startkapitaal f en nog t spellen te gaan de kans dat je portfolio uiteindelijk meer dan c waard is te maximaliseren, waarbij c>f een van tevoren vastgestelde positieve constante is.

AEX-Sparen: A combination of saving and investing

A report about AEX-Sparen, a savingsaccount with variable interest for custumers.

Discounters: Risicovol of Risicoloos?

De Royal Bank of Scotland, RBS, heeft in 2010 een nieuw product op de markt gebracht, de Discounter. De Discounter is een aandeel dat je aankoopt met korting. Door de korting is er een plafond vastgelegd op de waarde van je product. Eigenlijk is het een samenstelling van opties. In mijn verslag lees je hoe de Discounter werkt, hoe je zijn waarde...

Validating a short term financial risk model

This thesis project considers validation methods for an existing solvency model for pension funds. The solvency model produces forecasts about the development of financial markets, fund investments, liabilities and, most important, the solvency of the fund. Since the model is a stochastic model, statistical inference is used to compare model...

AEX-Sparen

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...

Pricing Barrier Options in Discrete Time

This bachelor thesis deals with pricing options and specifically barrier options in discrete time. A special form of barrier options called ‘Parisian options’ will be treated in detail. A binomial tree is used to model possible developments of the price of the underlying. By using so-called risk-neutral probabilities it is possible to view the...

Stochastic Modeling of Order Book Dynamics

In this project the order book model proposed by Cont et al. [10] is used as a starting point to model order book dynamics. This model nicely combines three desirable properties from earlier studies: it is easy to calibrate, it reproduces statistical properties of the order book and it allows to make analytical computations in the order book....

Dynamic Portfolio Choice: A Simulation Approach with an Application to Multiple Assets

Replication and risks of the ATM Forward Percentage Call Spread

Risk modelling in civil and financial engineering