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Albin - Ansvarsförhållanden (This webpage has been written by Patrik Albin -
|Patrik Albin||Docent (Associate Professor)|
|Adress:|| Matematiska Vetenskaper, CTH & GU,
412 96 Göteborg, Sweden. || Rum (Room):|| 3072|
MSG400/TMS150 Stochastic Data Processing and Simulation (First Quarter, Fall 2012).
Vera Lisovskaja is the responsible teacher for this course the academic year 2012-2013.
TMS165/MSA350 Stochastic Calculus Part I (First Quarter, Fall 2012).
MVE136 Random Signals Analysis (First Quarter, Fall 2012).
MVE170/MSG800 Basic Stochastic Processes (Second Quarter, Fall 2012).
TMS170/MSA360 Stochastic Calculus Part II (This course will not be given again in the forseeable future.)
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.)
Stochastic Differential Equations (Spring 2009), Analytic Methods in Probability Theory (Fall 2008), Stochastic Processes (Spring 2007), Financial Modelling with Jump Processes (Fall 2005 and Spring 2006), Introductory Statistics (Fall 2003), Levy Processes (Fall 2002), Weak Convergence (Spring 2002), Stochastic Calculus (Spring 2001), Stochastic Simulation (Spring 2000), and Stochastic Processes Part I and Part II (Spring 1999 and Fall 1999).
Master's Thesis Projects in Stochastic Processes and Stochastic Calculus: I offer master's thesis projects that connect to the subject matter of my TMS165/MSA350- and MVE170/MSG800-courses.
Historic Master's Thesis Projects:
Adam Andersson "On Weak Differentiability of Backward SDEs and Cross Hedging of Insurance Derivatives" ps-fil pdf-fil.
Daniel Andersson and Magnus Lernvik "On Longe Range Dependence in the Returns of Risky Assets" ps-fil pdf-fil.
Alain Angeralides and Ottmar Cronie "Modelling electricity prices with Ornstein-Uhlenbeck processes" ps-fil pdf-fil.
Robin Axelsson "Stochastic modeling of electricity prices using ARMA and ARMAX models" ps-fil pdf-fil.
Andre Aydin "Modeling Swedish Interest Rates by Simulated Maximum Likelihood" ps-fil pdf-fil.
Mattias Bengtsson (now Sunden) and Viktor Olsbo "Value at Risk Using Stochastic Volatiliy Models" ps-fil pdf-fil.
Erik Brodin "On the logreturns of empirical financial data" ps-fil pdf-fil.
Yongqiang Bu "Option Pricing using Levy Processes" ps-fil pdf-fil.
Anton Crona "Numerical Methods for Infinitely Divisible Distributions" ps-fil pdf-fil.
Yan Dong "ARMA and GARCH-type Modeling (of) Electricity Prices" ps-fil pdf-fil.
Alexandre Eskinasy and Patricia Morais "3G Infrastructure Sales Forcasting: A Causal Modeling Approach" ps-fil pdf-fil.
Heiðar Ingvi Eyjólfsson "On Simulating SDEs by Transformation" ps-fil pdf-fil.
Anna Genell and David Lösaus "On the Cramer Rao Bound in Determining Scattering center Parameters using High Resolution Radar" ps-fil pdf-fil.
Elisabet Gulevska and Tomas Westman "Pricing Bivariate Rainbow Options Using a Copula-Based Approach" ps-fil pdf-fil
Gustaf Gunnarsson "Jump Modelling and Jump Risks of Exchange-Traded Certificates" ps-fil pdf-fil.
Oscar Hammar "Evaluation of Some Methods for Parameter Estimation for Stochastic Differential Equations" ps-fil pdf-fil.
Andreas Hansson "Levy process based option pricing on Swedish markets" ps-fil pdf-fil.
Fredrik Jonsson "On the Fitting of Generalized Hyperbolical Distributions to Financial Data" ps-fil pdf-fil.
Rickard Kjellin "Stepsize Controlled Schemes for Diffusions exhibiting Volatility Induced Stationarity" ps-fil pdf-fil.
David Källberg "Modeling electricity prices with seasonal long memory time series" ps-fil pdf-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-fil pdf-fil.
Jan Lennartsson and Min Shu "Copula Dependence Structure on Real Stock Markets" ps-fil pdf-fil.
John Löfgren "Backward Stochastic Differential Equations without Pain" ps-fil pdf-fil.
Hanna Mattsson and Pierre Nyqvist "A Mathematical Investigation of Breast Cancer and Tomor Growth: Statistical Analysis and Stochastic Modeling" ps-fil pdf-fil.
Fredrik Niveman "Parameter Estimation in Discretely Samples Diffusions Experiencing Volatility Induced Stationarity" ps-fil pdf-fil.
Daniel Polleryd and Nutvadee Wongtosrad "On Stochastic Volatility in Interest Rate Dynamics" ps-fil pdf-fil.
Anna Rudvik "Stochastic Integral Representation of Functionals with Option-like Structure" ps-fil pdf-fil.
Henrik Sangö "Modeling electricity prices in the German market" ps-fil pdf-fil.
Guan Shaoxuan "Copula Dependence Structure on Stock Market with Application to Risk" ps-fil pdf-fil.
Andreas Sunesson "Bootstrap of Dependent Data in Finance" ps-fil pdf-fil.
Emma Söderberg "An Evaluation of the OECD Financial Risk Score Model" ps-fil pdf-fil.
Anders Toftgård "A Relative Value Trading Strategy in Swaps and Principal Component Analysis" ps-fil pdf-fil.
Ulrika Trolle "On semi-parametric modelling of stock prices with Levy processes" ps-fil pdf-fil.
Johan Tykesson "Some aspects of Levy processes in finance" ps-fil pdf-fil.
Qiang Wang "Option Pricing on Jump-Diffusion Models" ps-fil pdf-fil.
Chen Yang Zhang "Overiew of Stochastic Models for Asset and Commodity Prices" ps-fil pdf-fil.
Jordan Zhang "Jump Modelling for Financial Asset Prices" ps-fil pdf-fil.
Hui Zheng "Modeling Dependence Structures in Electricity Price Business by means of Copula Techniques" ps-fil pdf-fil.
Simon Österberg "Sensitivity Analysis of the Exotic Option Triple Obligation & Vega-Hedging in Bates' Market Model and the Associated Transaction Cost" ps-fil pdf-fil.
Graduate Student Supervising:
Jan Lennartsson works with the project "Extreme Value Theory in Climate and Mobility". Jan presented his licentiate thesis "Modelling Percipitation in Sweden using Multiple Step Markov Chains and a Composite Model" in December 2008. Erik Brodin recived his phd-degree 9 March 2007 on the thesis "Extreme Value Statistics and Quantile Estimation with Applications in Finance and Insurance". 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.
of Scientific Publications ps-file