Previous Graduate Courses that has been given by Patrik Albin:
(These graduate courses have been given once only, and none of them are planned to be given again.)
Master's Thesis Projects in Stochastic Processes and Stochastic Calculus: I offer master's thesis projects that connect to the subject matter of my courses MVE170/MSG800 Basic Stochastic Processes and TMS165/MSA350 Stochastic Calculus. Often (but not always) these projets involve data sets from mathematical finance -- they can vary from rather applied invetigations to purely theoretical work.
Historic Master's Thesis Projects:
Adam Andersson "On Weak Differentiability of Backward SDEs and Cross Hedging of Insurance Derivatives" ps-filpdf-fil. Daniel Andersson and Magnus Lernvik "On Longe Range Dependence in the Returns of Risky Assets" ps-filpdf-fil. Martin Andersson "Models for the Dynamics of Implied Volatility Surfaces" ps-filpdf-fil. Alain Angeralides and Ottmar Cronie "Modelling electricity prices with Ornstein-Uhlenbeck processes" ps-filpdf-fil. Willem Armulik "Modeling of Log-Returns with Extreme Value Theory and Copulas". Rossana D'Avino "Modelling Dependence of Stock Returns through Copulas" ps-filpdf-fil. Robin Axelsson "Stochastic modeling of electricity prices using ARMA and ARMAX models" ps-filpdf-fil. Andre Aydin "Modeling Swedish Interest Rates by Simulated Maximum Likelihood" ps-filpdf-fil. Mattias Bengtsson (now Sunden) and Viktor Olsbo "Value at Risk Using Stochastic Volatiliy Models" ps-filpdf-fil. Kristina Berndtsson "ARIMA Modeling and Simulation of Currency Pairs" ps-filpdf-fil. Jakob Block. Alexander Bore "Investigation of portfolio strategies using NIG-GARCH and CIR" ps-filpdf-fil. Erik Brodin "On the logreturns of empirical financial data" ps-filpdf-fil. Yongqiang Bu "Option Pricing using Levy Processes" ps-filpdf-fil. Anton Crona "Numerical Methods for Infinitely Divisible Distributions" ps-filpdf-fil. Yan Dong "ARMA and GARCH-type Modeling (of) Electricity Prices" ps-filpdf-fil. Olle Elias "Random measures, stochastic integration and infinitely divisible processes" ps-filpdf-fil. Alexandre Eskinasy and Patricia Morais "3G Infrastructure Sales Forcasting: A Causal Modeling Approach" ps-filpdf-fil. Heiðar Ingvi Eyjólfsson "On Simulating SDEs by Transformation" ps-filpdf-fil. Anna Genell and David Lösaus "On the Cramer Rao Bound in Determining Scattering center Parameters using High Resolution Radar" ps-filpdf-fil. Emil Grimsved "Pricing and Calibration of FX Options in Hestons Stochastic Volatility Framework". Elisabet Gulevska and Tomas Westman "Pricing Bivariate Rainbow Options Using a Copula-Based Approach" ps-filpdf-fil. Gustaf Gunnarsson "Jump Modelling and Jump Risks of Exchange-Traded Certificates" ps-filpdf-fil. Luquene Gustafsson "Calibration and Pricing of CBOE Volatility Index Options using Merton's Jump-diffusion Framework" ps-filpdf-fil. Oscar Hammar "Evaluation of Some Methods for Parameter Estimation for Stochastic Differential Equations" ps-filpdf-fil. Andreas Hansson "Levy process based option pricing on Swedish markets" ps-filpdf-fil. Asma Hussein "Audio anomaly detection in cars" pdf-fil. Johan Håkansson "Option Pricing and Exponential Levy Models" ps-filpdf-fil. Fredrik Jonsson "On the Fitting of Generalized Hyperbolical Distributions to Financial Data" ps-filpdf-fil. Rickard Kjellin "Stepsize Controlled Schemes for Diffusions exhibiting Volatility Induced Stationarity" ps-filpdf-fil. Philippe Klintefelt Collet "Portfolio Insurance Strategies in an Extended Black-Scholes Framework Including Jumps in Asset Prices" ps-filpdf-fil. David Källberg "Modeling electricity prices with seasonal long memory time series" ps-filpdf-fil. Jonas Källen "Modeling the Nordic Electricity Market using Infinite-Dimensional Stochastic PDE:s" ps-filpdf-fil. Christian Källgren "Simulation and Statistical Methods
for Stochastic Differential Equations" ps-filpdf-fil. Anton Körkkö "Volatility: Estimating Quadratic Variation using Realized Variance" ps-filpdf-fil. Sara Landolsi and Kim Wiktoren "Weak Solutions of Stochastic Differential Equations with Exact Simulation" pdf-fil. Erik Landström "Architecture for Fault-tolerant Control and Construction of Bayesian Network for Diagnosis" ps-filpdf-fil. Jan Lennartsson and Min Shu "Copula Dependence Structure on Real Stock Markets" ps-filpdf-fil. Yurong Li. Gustav Lindwall "Quadratic Volatility Models Applied to the Pricing of European Options" ps-filpdf-fil. John Löfgren "Backward Stochastic Differential Equations without Pain" ps-filpdf-fil. Hannes Marling "Statistical Methods for Estimation of Paint Thickness and its Variance" ps-filpdf-fil. Hanna Mattsson and Pierre Nyqvist "A Mathematical Investigation of Breast Cancer and Tomor Growth: Statistical Analysis and Stochastic Modeling" ps-filpdf-fil. Fredrik Niveman "Parameter Estimation in Discretely Samples Diffusions Experiencing Volatility Induced Stationarity" ps-filpdf-fil. Mattias Pålsson "GARCH Volatility Modelling" ps-filpdf-fil. Daniel Polleryd and Nutvadee Wongtosrad "On Stochastic Volatility in Interest Rate Dynamics" ps-filpdf-fil. Samuel Rubenson "Portfolio Opitimization with Managed Futrures" ps-filpdf-fil. Anna Rudvik "Stochastic Integral Representation of Functionals with Option-like Structure" ps-filpdf-fil. Christos Saltapidas "Simulation of Portfolio Strategies
using Heston Stochastic Volatility and Hull-White models" ps-filpdf-fil. Henrik Sangö "Modeling electricity prices in the German market" ps-filpdf-fil. Alexander Schälin "Investigation of portfolio strategies by means of simulation" pdf-fil. Guan Shaoxuan "Copula Dependence Structure on Stock Market with Application to Risk" ps-filpdf-fil. Ruben Sharma "Stability of Traditional Portfolio Models" ps-filpdf-fil. Shervin Shojaee "Stochastic volatility enhanced L´evy processes in financial asset pricing: Pricing European call options" ps-filpdf-fil. Andreas Sunesson "Bootstrap of Dependent Data in Finance" ps-filpdf-fil. Emma Söderberg "An Evaluation of the OECD Financial Risk Score Model" ps-filpdf-fil. Stefan Tham "Modeling dependences between time series in the electricity market using copulas" ps-filpdf-fil. Anders Toftgård "A Relative Value Trading Strategy in Swaps and Principal Component Analysis" ps-filpdf-fil. Ulrika Trolle "On semi-parametric modelling of stock prices with Levy processes" ps-filpdf-fil. Johan Tykesson "Some aspects of Levy processes in finance" ps-filpdf-fil. Jonas Wallin. Qiang Wang "Option Pricing on Jump-Diffusion Models" ps-filpdf-fil. Dag Wästberg. Chen Yang Zhang "Overiew of Stochastic Models for Asset and Commodity Prices" ps-filpdf-fil. Jordan Zhang "Jump Modelling for Financial Asset Prices" ps-filpdf-fil. Xuefei Zhang "Modeling of Bivariate Stock Returns with Copulas" ps-filpdf-fil. Hui Zheng "Modeling Dependence Structures in Electricity Price Business by means of Copula Techniques" ps-filpdf-fil. Simon Österberg "Sensitivity Analysis of the Exotic Option Triple Obligation & Vega-Hedging in Bates' Market Model and the Associated Transaction Cost" ps-filpdf-fil.
Graduate Student Supervising:
Erik Brodin recived his phd-degree 9 March 2007 on the thesis "Extreme Value Statistics and Quantile Estimation with Applications in Finance and Insurance". Jan Lennartsson recived his phd-degree 31 October 2014 on the thesis "Probabilistic modelling in weather, finance and sports". Anders Muszta recived his phd-degree 1 April 2005 on the thesis "Contributions to Numerical Solution of Stochastic Differential Equations". Mattias Sunden recived his phd-degree 19 September 2008 on the thesis "Some Markov Processes in Finance and Kinetics". Ulrika Trolle recived her licentiate in June 2007 on the thesis "On Lévy Processes in Mathematical Finance".
Candidate Thesis Projects: I have had a total of 7 candidate thesis groups working with "Stochastic Modelling of Financial Time Series" during the years 2009-2011. I will not offer this or any other candidate thesis projects in the forseeable future.
