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Meibergen, N.J. (author)Credit risk pricing models assume recovery to be at its \textit{historical} average (historical recovery assumption). However, the effect of this assumption is not completely understood. The heard of this thesis lies in constructing a new pricing model for Credit Default Swaps (CDS), in particularly allowing for negative correlation between...master thesis 2015
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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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Sol, M.K. (author)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...bachelor thesis 2011
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De Jesus Ladeira de Abreu Clemencia, C.O.I.A. (author)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....master thesis 2011