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Optimal Deposit Rate Modelling and Risk Assessment for Non-Maturing Deposits: an application to aggregate data of the Dutch banking sector

Oppelaar, Pieter (author)

This thesis concerns the modelling, risk analysis and deposit rate optimization for Non-Maturing Deposits (NMDs), applied on aggregate data for the Dutch banking sector. The final NMD model consists of three parts, where there is a clear separation between the model for the term structure, the deposit rate and the deposit volume. The final model...

master thesis 2024

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Green Bond Valuation: A Numerical Mathematics Perspective: Assessing the Influence of Environmental Factors

Rutten, Jurriaan (author)

This thesis presents a novel approach to the pricing of green bonds, a growing segment in financial markets with an emphasis on environmental sustainability. Unlike traditional financial instruments, green bonds uniquely incorporate environmental considerations, particularly carbon price (c_t), along with traditional factors like the short rate ...

master thesis 2024

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Estimating Option Implied Probability Distributions for Inflation

Schuttenbeld, Maarten (author)

This thesis investigates the estimation of option-implied probability density functions for inflation using inflation options, focusing not only on the expected value but the whole distribution. The aim is to identify the most effective method for measuring the market expectation of future inflation. The research explores both parametric and non...

master thesis 2023

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Computational Challenges in Risk Calculations for XVA: Likelihood Ratio Method to compute XVA Greeks for OTC derivatives

Buis, Kilian (author)

After the financial crisis, the standards for the valuation of financial derivatives were reviewed and several adjustments were made to these valuations, of which Credit Value Adjustment (CVA) is the most important one. CVA represents the price of counterparty credit risk that should be added to the default-free fair price of a financial...

master thesis 2023

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A novel cosine network for pricing European and barrier options under stochastic volatility models

Bangerter, Felix (author)

This thesis presents a comprehensive exploration of the rough Heston model as a means to enhance financial derivative pricing and calibration in the context of the complex behavior of market volatility. Recognizing the limitations of classical models, such as the Black-Scholes and the standard Heston model, which assume constant or mean...

master thesis 2023

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Solving the partial differential equation for pricing barrier options via trigonometric expansions

Marques da Rocha Feliciano Pereira, Sofia (author)

Barrier options, although highly liquid financial derivatives, present notable pricing challenges. In this thesis, we present a novel pricing approach for valuing continuously-monitored knock-out barrier options within the framework of stochastic volatility models.<br/><br/>The underlying process is firstly modelled under geometric Brownian...

master thesis 2023

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Fill Probabilities in a Limit Order Book with Applications to Foreign Exchange Spot Markets

Lokin, Felix (author)

Financial markets continue to see an increase in the share of trades executed by algorithmic trading systems. A key component of an efficient algorithmic trading system is its ability to accurately estimate the probability an order will be executed: the fill probability. This thesis aims to determine whether the dynamics of the order book can be...

master thesis 2023

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Pricing Barrier Options under Lévy Processes using Dimension-reduced Cosine Expansion

Klomp, Levi (author)

Barrier options are fundamental financial tools that give rise to pricing challenges, particularly when embedded within stochastic models. This study directs its focus towards Lévy processes as a strategic approach to navigate and resolve these intricate complexities. The model assumption adopted in this thesis is that the underlying log-asset...

master thesis 2023

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Forecasting daily month-ahead TTF gas prices using a combination of preprocessing and machine learning techniques

Vertregt, Tom (author)

Although energy commodity price forecasting has been around for quite some time, up until recently, especially in Europe, it mostly concerned other energy commodities than gas. That is why in this work, a forecasting model is presented for the single day forecast of the daily VWAP price of the TTF month-ahead gas contract from 2020/01/02 until...

master thesis 2023

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Neural Network adjusted Spatial Dynamic Factor Models for Real Estate Valuation

Zomerdijk, Koen (author)

This thesis concerns modeling residential real estate selling prices in a hedonic price model framework on a small spatial-temporal granularity. The research addresses the challenge of sparse spatial-temporal real estate data, i.e. many combinations of location and time with few or no transactions, by employing spatial dynamic factor models ...

master thesis 2023

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Multi Target XGBoost Cash Flow Prediction: An Efficient Machine Learning Algorithm For Future Liability Projections

van Schagen, Sebastiaan (author)

Insurers are required to have buffers to be able to meet financial obligations that result from their portfolios, which are determined using a cash flow model. The input of such a cash flow model consists among of things, of two mortality tables and the portfolio of an insurer. Mortality rates are simulated using the Lee-Carter model. These...

master thesis 2023

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(Dynamic) hedging of a mortgage portfolio: Investigating margin and value stability

de Vries, Lisa (author)

Banks issue mortgages with an embedded option for borrowers to prepay a part of the loan. However, this behaviour poses a risk to banks as it disrupts the level and timing of mortgage cash flows. From an earning perspective, when interest rates decrease, customers are financially incentivised to prepay their mortgages, resulting in a decrease in...

master thesis 2023

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Pricing multi-dimensional American options using kernel ridge regression

Chen, Qianqian (author)

American option pricing has been an active research area in financial engineering over the past few decades. Since no analytic closed-form solution exists, various numerical approaches have been developed. Among all proposed methods, the least square Monte Carlo(LSMC) approach is the most successful and popular. The LSMC utilizes linear...

master thesis 2023

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Private cycle detection in financial transactions

Porsius Martins, Célio (author)

Money laundering is the process of hiding the origin of funds obtained through illicit activities. It is a major problem that has significant impacts on the global financial system and undermines the integrity of financial institutions. To combat this, the Dutch government planning to make it easier for banks to share data to improve the...

master thesis 2023

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Parameter Estimation on the Partially Observed Bidimensional Ornstein-Uhlenbeck Process

Qin, Ziqiu (author)

In anti-cancer therapy, ntiangiogenic treatments are applied and take effect on the vascularization of tissue. To evaluate the efficacy of treatments, we adopt two methods to solve the physiological pharmacokinetic model’s parameter estimation problem, providing discrete, partial, and noisy observations of stochastic differential equations. One...

master thesis 2022

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Modelling stochastic volatility via factor models: An asymmetric approach

Vogel, Tim (author)

In this thesis, a factor model which estimates multivariate time series is extended to include an asymmetric relation between the returns of assets and the volatility of said assets. The model proposed in this thesis uses the classical factor model, with univariate logarithmic volatility equations to model the factors as well as the asset...

master thesis 2022

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WMR prediction using recurrent neural networks on FX limit order book data

Kortekaas, Steven (author)

This thesis investigates the application of machine learning models on foreign exchange data around the WM/R 4pm Closing Spot Rate (colloquially known as the WMR Fix). Due to the nature of the market dynamics around the WMR Fix, inefficiencies can occur and therefore some predictability might be expected. We aim to find these inefficiencies....

master thesis 2022

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Efficient Estimation of the Expected Shortfall: In a Nested Simulation Framework

van Wijngaarden, Maarten (author)

We analyze three different methods that can approximate the expected shortfall of a financial portfolio in a nested simulation. In this simulation process, the outer simulation generates risk scenarios, and the inner simulation approximates the value of the financial portfolio under each risk scenario. The first method is the most standard one,...

master thesis 2022

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Shapley Values: A Comparison of Definitions and Approximation Methods

de Jong, Jur (author)

The Shapley value method is an explanatory method that describes the feature attribution of Machine Learning models. There are three different definitions of the Shapley values, namely Conditional Expectation Shapley, Marginal Expectation Shapley and Baseline Shapley. A comparison is made between the three definitions and they are applied to one...

master thesis 2021

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Assessing the impact of wrong-way risk on valuation adjustments of a portfolio of interest rate swaps

Jonkman, Niels (author)

We study the impact of wrong-way risk (WWR) on the credit valuation adjustment (CVA) of a portfolio of interest rate swaps (IRSs), using an intensity-based reduced form model. To model WWR in IRSs we create a dependence between he underlying market risk factor of the IRS and the survival probability of the <br/>counterparty. The focus lies on...

master thesis 2021