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 inï¬nitely 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 HÃ¥kansson "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.
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.
