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Authored

In this paper, we obtain stability results for backward stochastic differential equations with jumps (BSDEs) in a very general framework. More specifically, we consider a convergent sequence of standard data, each associated to their own filtration, and we prove that the assoc ...

Marginal and Dependence Uncertainty

Bounds, Optimal Transport, And Sharpness

Motivated by applications in model-free finance and quantitative risk management, we consider Frechet classes of multivariate distribution functions where additional information on the joint distribution is assumed, while uncertainty in the marginals is also possible. We deriv ...

Contributed

A Novel Approach to FX Swap Portfolio Management

With an Application in Portfolio Optimization

In this thesis, we define a new concept of duration for FX Swaps and more broadly for sovereign bonds. The con-cept of duration already exists for bonds and more specifically coupon bonds, where it is also called ”Macauley Duration”. We aim to define a concept for FX Swaps with s ...
Electronic trading algorithms are at the centre of every buy-side equity trading desk. These algorithms rely often on market impact models, which are stochastic models for the stock prices that account for the feedback effects of trading. Propagator models are central tools for d ...

Electrical energy storage scheduling

Short-term scheduling for the intraday market using stochastic programming

The global push for renewable energy faces challenges due to the unpredictable and inconsistent nature of wind and solar sources. These inherent characteristics of renewable energy sources add volatility to the electricity markets. In response, electrical energy storage (EES) eme ...

(Dynamic) hedging of a mortgage portfolio

Investigating margin and value stability

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 ...

Multi Target XGBoost Cash Flow Prediction

An Efficient Machine Learning Algorithm For Future Liability Projections

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. M ...
This research project, conducted in collaboration between TU Delft and MN, a pension fund asset manager, focuses on the optimal venue selection in FX trading. The objective is to investigate how the venue selection affects trading performance and to improve MN trading execution a ...
In this research a new method for pricing continuous Arithmetic averaged Asian options is proposed. The computation is based on Fourier-cosine expansion, namely the COS method. Therefore, we derive the characteristic function of Integrated Geometric Brownian Motion based on Bouge ...
The computation of multivariate expectations is a common task in various fields related to probability theory. This thesis aims to develop a generic and efficient solver for multivariate expectation problems, with a focus on its application in the field of quantitative finance, s ...
The right to use a certain amount of capacity in an electrical cable between two countries for the purpose of trading energy is an asset that can be bought. Each hour of capacity can be seen as a real spread option with the energy prices of each country being the underlying proce ...

Spectral Calibration of Time-inhomogeneous Exponential Lévy Models

With Asymptotic Normality, Confidence Intervals, Simulations, and Empirical Results

The problem of calibrating time-inhomogeneous exponential Lévy models with finite jump activity based on market prices of plain vanilla options is studied. Belomestny and Reiß introduced an estimation procedure for calibration in the homogeneous case with one maturity. The open-e ...

Efficient Estimation of the Expected Shortfall

In a Nested Simulation Framework

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 un ...

Option Pricing Techniques

Using Neural Networks

With the emergence of more complex option pricing models, the demand for fast and accurate numerical pricing techniques is increasing. Due to a growing amount of accessible computational power, neural networks have become a feasible numerical method for approximating solutions to ...

Energy Study of Drying

Using Machine Learning to Predict the Energy Consumption of an Industrial Powder Drying Process

In this thesis, we use data science / statistical techniques to better understand the energy consumption behind a powder drying facility located in Zwolle, as part of Abbott's initiative to better manage its energy consumption. As powder drying is by far the facility's most energ ...

Improving data quality is of the utmost importance for any data-driven company, as data quality is unmistakably tied to business analytics and processes. One method to improve upon data quality is to restore missing and wrong data entries. 

Improving data quality is of the utmost importance for any data-driven company, as data quality is unmistakably tied to business analytics and processes. One method to improve upon data quality is to restore missing and wrong data entries. 

The goal of this research is construct an algorithm such that it is possible to restore missing and wrong data entries, while making use of a human adaptive framework. This algorithm has been constructed in a modular fashion and consists of three main modules: Data Transformation, Data Structure Analysis and Model Selection. Data Transformation has concerned itself with conversion of raw data to data types and forms the other modules can use.

Data Structure Analysis has been designed to deal with correctly missing data and dichotomy in the target feature by making use of three clustering algorithms: DBSCAN, K-Means and Diffusion Maps. DBSCAN is used to determine the necessity of clustering as well as the initialisation of the K-Means algorithm. K-Means and Diffusion Maps have been used as clustering methods in the one-dimensional target feature and the two-dimensional input-target feature pairs, respectively. Data Structure Analysis has further been designed to perform feature selection through three filter methods: CorrCoef, FCBF and Treelet.

Model Selection has proposed a novel approach to selection of the best model of a candidate set through the optimisation of a conditional model ranking strategy based on the prior construction of theoretical testing. Our candidate set consisted of Expectation Maximisation, K-Means, Multi-Layer Perceptron, Nearest Neighbor, Random Forest, Linear Regression, Polynomial Regression, ElasticNet Regression.

In terms of restorability, it was shown that the optimal configuration of the Cleansing Algorithm for the restoration of missing data, was provided by opting not to use clustering, using a custom alteration to the Treelet algorithm for feature selection and making use of the model selection strategy. This not only lead to the greatest restorability of 56.90% on Aegon data sets, which was an improvement of 44.83% when compared to not using the Cleansing Algorithm, but also to the reduction of computation time by over 400%. A more realistic restorability due to the presence of correctly missing data, was given by the same configuration making use of one-dimensional output clustering. This resulted in a restorability on Aegon data sets of 43.10%. As such it was deemed possible to restore missing data on Aegon data sets.

With respect to the human adaptive framework, it was determined that the construction of the algorithm be modular in the sense that any alternate feature selection or clustering approach can be implemented with ease. Furthermore, the model selection module allows us to customize the theoretical testing and choice of regression or classification models for the restoration of missing data. In doing so, the algorithm has laid the foundations for human adaptivity of the Cleansing Algorithm.

A wide range of practical problems involve computing multi-dimensional integrations. However, in most cases, it is hard to find analytical solutions to these multi-dimensional integrations. Their numerical solutions always suffer from the `curse of dimension', which means the com ...
In this research, we consider neural network-algorithms for option pricing. We use the Black-Scholes model and the lifted Heston model. We derive the option pricing partial differential equation (PDE), which we solve with a neural network, and the conditional characteristic funct ...
The VIX index, which is the expected volatility of the S&P 500 index in 30 days, is of interest to a lot of investors on the US financial market. Allowing the volatility of the financial market to be used as a trading tool gives rise to interesting investment opportunities, s ...
Computing portfolio credit losses and associated risk sensitivities is crucial for the financial industry to help guard against unexpected events. Quantitative models play an instrumental role to this end. As a direct consequence of their probabilistic nature, portfolio losses ar ...