Pricing multi-dimensional American options using kernel ridge regression

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...

Feasibility test for Defined Contribution pension schemes

In the Netherlands Dutch pension funds perform the feasibility test. This test is originally designed for DB pension schemes. Nowadays DC pension schemes are getting a more prominent role in the Dutch pension system. Therefore an improved design of the feasibility test for DC pension schemes would be beneficial. In this research we search for a...

A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs

We develop a Fourier method to solve backward stochastic differential equations (BSDEs). A general theta-discretization of the time-integrands leads to an induction scheme with conditional expectations. These are approximated by using Fourier cosine series expansions, relying on the availability of a characteristic function. The method is...

Contributions to the financial mathematics of energy markets

This thesis provides several contributions to quantitative finance for energy markets: electricity price modelling, implying oil price volatilities, pricing and hedging of exotic commodity options. Electricity spot prices are characterized by spikes (jumps) because electricity is non-storable. A widely used model for stochastic component of...