Kurser

Kurser på grundnivå

  1. Analytical finance with MATLAB (2007, 2008).
  2. Basic course in mathematics (2003).
  3. Calculus I (2004, 2009, 2010, 2011).
  4. Calculus II (2003, 2005, 2006).
  5. Introduction to financial mathematics (2004).
  6. Mathematics I, track 2 (2003).
  7. Mathematics II, track 2 (2003).
  8. Mathematics for economics and business (2004, 2006, 2007).
  9. Numerical methods with MATLAB (2002, 2003, 2008).
  10. Probability (2006).
  11. Basic vector algebra (2013).
  12. Numerical methods (2012).
  13. Simulation (2012, 2013).

Kurser på avancerad nivå

  1. Abstract algebra (2007). 
  2. Complex Analysis (2002). 
  3. Differential Geometry (2003).
  4. Financial and Risk Management Software (2005, 2006, 2007, 2008).
  5. Java in Analytical Finance (2004, 2005, 2006, 2007, 2008).
  6. Stochastic processes (2009, 2010, 2011, 2012, 2013).
  7. Time Series Analysis (2008, 2009, 2010, 2011).
  8. Actuarial mathematics (2012).

Kurser på forskarnivå

  1. Levy processes in finance (University of Tartu, January 2010) with financial support of Nordplus Framework project HE-2009_1-17657,  Lecture 1, Lecture 2, Lecture 3, Lecture 4
  2. Malliavin calculus in finance (Riga Technical University, October 2010) with financial support of Nordplus Framework project HE-2010_1a-21005 , Lecture 1, Lecture 2, Lecture 3, Lecture 4.
  3. Lectures on cubature methods in finjancial engineering (Mälardalen University, May 2011) with financial support of Nordplus Framework project HE-2010_1a-21005, Lecture 1, Lecture 2, Lecture 3, Lecture 4

Handledare av examensarbeten på kandidatnivå

  1. 11.09.2013 (co-supervisor with Lars Pettersson) Basirat Sunbo Bolarinwa and Keegan Muluh Cheh, Black--Litterman vs Traditional Mean-Variance model.
  2. 10.09.2012 Amirhossein Heydarizadeh and Sheila Farrahi, MATLAB GUI for Pricing European Call Option in Heston Model by the Generalized Marsaglia Method.
  3. 03.09.2012 Liu Zihao and Zhang Zhuozhuo, A Matlab GUI Program for
    Pricing an Asian Call Option in the Heston Model by the Generalized Fujiwara
    Scheme.
  4. 19.12.2011 Emmanuel Nguanji and Oluwayinka Adesoji Ogunniyi,
    Numerical Computation of Theta in a Jump-Diffusion Model by Monte Carlo
    Simulations - A MATHLAB GUI application.
  5. 19.10.2011 Yawei Wang and Shunyi Zhou, MATLAB GUI for numerical
    analysis and simulation of option pricing problems modelling illiquid
    markets.
  6. 20.06.2011 Chizheng Miao and Zitao Yang, Pricing a European put
    option under the Heston and Nandi GARCH model.
  7. 13.06.2011 Daria Novoderezhkina and Dmytro Sheludchenko, Pricing
    American options using approximations by Kim integral equations.
  8. 13.06.2011 Thu Huong Do and Shasha Li, Pricing European call
    option in the stochastic $\alpha\beta\rho$ model.
  9. 22.12.2010 Diego Calvo Solis, Matlab GUI For Pricing Down and Out
    Barrier Call Options.
  10. 24.06.2010 Rahul Duggal and Hayat Haseeb, Valuation of exotic
    options under the constant elasticity of variance model by exact Monte Carlo
    simulation --- a MATLAB GUI application.
  11. 17.06.2009. Franklin Kigha Nubitgha and Juan Marcelo Tames Blanco, A MATLAB GUI program for valuation of American swing put options, passed with distinction.
  12. 09.06.2009. Wang Wei and Zhao Hailong, Pricing American Put Options Under Transaction Costs, passed with distinction.
  13. 08.06.2009. Maierdan Halifu and Qi Zhao, MATLAB Application for Pricing Asian Options by Exact Monte Carlo Simulation, passed with distinction.
  14. 24.04.2009. Chukwuemeka Okoye, Two Methods of Pricing Multi-Assets Asian Options Using Matlab, passed.
  15. 27.03.2009. Shao Yankai, The Java Applet for Valuation of Defaultable Callable Bonds within the CIR Framework, passed with distinction.
  16. 10.09.2008. Vitaliy Drozdenko, Premium calculations in insurance, passed with distinction.
  17. 09.06.2008. Michail Musatov, Romans Obrezkovs, A Java applet for approximate American option valuation, passed with distinction.
  18. 09.06.2008. Auyuk Leonel Taku, The MATLAB GUI program for pricing American put options using a short-maturity asymptotic expansion, passed with distinction.
  19. 09.06.2008. Jörg Hofmeister (co-supervisor with Dmitrii Silvestrov), A MATLAB GUI for hedging digital options under the constant elasticity of variance model, passed with distinction.
  20. 14.05.2008. Coline Emadione Sume, A Java applet for calculating the exact value for European options on a stock paying a discrete dividend, passed with distinction.
  21. 14.05.2008. Boyko Vasilev, Pricing Asian options under Heston's model using the new Ninomiya weak approximation scheme, passed with distinction.
  22. 25.04.2008. Victor Taku Mbi, A Java applet for pricing European options in the Schöbel-Zhu model, passed with distinction.
  23. 21.11.2007. Michail Kalavrezos, Pricing caps in the Heath, Jarrow and Morton framework using Monte Carlo simulations in a Java applet, passed with distinction.
  24. 04.06.2007. Mbecho Techago Emmanuel, The Java applet for valuation American options by Bjerksund-Stensland model, passed with distinction.
  25. 14.05.2007. Sophia Abdi Hassan, The Java applet for Monte Carlo simulation of bond prices in the Ho and Lee model, passed with distinction.
  26. 14.12.2006. Folke Dahlgren and Oscar Karlsson, A study of melting problems using level set method, passed with distinction.
  27. 31.05.2006. Song Yue, Pricing Put Options Using Explicit Finite Difference Method in JAVA Graphical User Interface, passed with distinction.
  28. 31.05.2006. Ren Minyi and Basil Wakid Hassan, Pricing Futures Using the Two-period Binomial Model in Java, passed with distinction.
  29. 01.03.2006. Katya Vasileva, Pricing American options by the Barone-Adesi and Whaley approximation in MATLAB GUI, passed with distinction.
  30. 01.03.2006. Peter Malosha Mayunga and Charles Etang Ntui, The MATLAB GUI for pricing Bermudan put options by the binomial approximation, passed.
  31. 21.09.2005. Ikran Abdi and Stephanie Luong, Stock price calculations with binomial lattices using Java applet, passed with distinction.
  32. 20.05.2005. (co-supervisor with Dmitrii Silvestrov) Malin Andersson, Experimental studies for Monte Carlo algorithm for pricing a European option, passed with distinction.
  33. 06.05.2005. Isaac Acheampong, Option pricing and analysis using Jarrow-Rudd and Cox-Ross-Rubinstein model in MATLAB Graphical User Interface, passed with distinction.
  34. 25.02.2005. Jonas Gustavsson and David Hefner, Calculations of net present value and internal rate of return in MATLAB GUI, passed with distinction.
  35. 01.10.2004. Vera Petrova, Computation and visualization of depreciation streams with MATLAB GUI, passed with distinction.
  36. 17.09.2004. Zhang Lei, Simulation of log-normal distribution in MATLAB GUI, passed with distinction.

Handledare av examensarbeten på masternivå

  1. 11.09.2013 Valery Carine Ngami Tchouatchoua, Pricing continuously monitored knock-in payer triggered swaps under LIBOR market model.
  2. 12.06.2012 Henry Obeng Tawiah, Peterson Owusu Junior, Pricing
    interest rate caplets in a two-factor Heath--Jarrow--Morton model.
  3. 18.06.2010. Nazmul S.M. Hoque, Hailong Zhao, Pricing European Call Option in Scott’s Stochastic Volatility Model, passed with distinction.
  4. 17.06.2010. Diego R. Calvo, Michail Musatov, Pricing American Style Asian Options Using Dynamic Programming, passed with distinction.
  5. 25.05.2010. Thanasunun Suntayodom,WeiWang, Pricing Options Embedded in Bonds in the Vasicek Model, passed
    with distinction.
  6. 30.04.2010. Apiwat Pongpala, Valuation of American options in a stochastic interest rate model, passed with distinction.
  7. 21.01.2010. Benchaphon Chiamruchikun and Chutima Klongprateepphol, A Java applet for numerical solution of the jump-diffusion LIBOR market model, passed with distinction.
  8. 02.09.2009. Vitaliy Drozdenko, Premium calculation principles and their properties, passed with distinction.
  9. 09.06.2009 Victor Efite Taku Mbi and Xiadong Xu, A Java Applet for Pricing Variable Annuities in the Singular Stochastic Control Model, passed with distinction.
  10. 09.06.2009. Wen Chang and King Fu, Optimal Quantisation For The Pricing Of Swing Options, passed with distinction.
  11. 08.06.2009. Sylvester Jarlee and Fan Wei, Hedging Portfolios for European and Exotic options in a Levy Stochastic Market, passed with distinction.
  12. 24.04.2009. Izabela Matusiak, The Java applet for pricing Inflation-Indexed Caps and Floors under Second Market Model, passed with distinction.
  13. 20.02.2009. Sophia Abdi Hassan, Pricing a European call option in the Schöbel-Zhu-Hull-White model, passed with distinction.
  14. 01.12.2008. Dong Liang and Zhi Xu, The Java applet for option pricing in jump diffusion and exponential Levy models, passed with distinction.
  15. 09.06.2008. Mbecho Techago Emmanuel, The Java applet for pricing variable annuities with a guaranteed minimum withdrawal benefit, passed with distinction.
  16. 09.06.2008. Wang Zheng and Mehmet Yasin Hurata, The Java applet for valuation commodity-based swing options, passed with distinction.
  17. 21.11.2007. Peter Malosha Mayunga, Pricing an American call on a dividend paying stock, passed with distinction.
  18. 16.05.2007. Wang Janjun, A Java applet for pricing options by finite difference methods, passed with distinction.
  19. 23.01.2007. Basil Wakid Hassan, A Java applet for simulation of economy with borrowers under costly defaults, passed with
  20. distinction.
  21. 12.12.2006. Charles Etang Ntui, A Java applet for pricing convertible bonds with credit risk, passed with distinction.
  22. 29.11.2006. Benjamin Amoako Osei Kwesi, A Java applet for credit risk estimation with Wishart multivariate stochastic volatility, passed with distinction.
  23. 25.08.2006. Cecilia Isaksson, Pricing convertible bonds with Monte Carlo simulations, passed with distinction.
  24. 31.05.2006. (co-supervisor with Dmitrii Silvestrov) Youmbi Etien Kalame, A Java program for pricing options using the trinomial tree, passed.
  25. 31.05.2006. (co-supervisor with Dmitrii Silvestrov) Grace Andersson and Neelima Srivastava, Pricing barrier options using Monte Carlo simulations in MATLAB GUI, passed with distinction.
  26. 22.03.2006. Isaac Acheampong, Java Applet for the Pricing of Exotic Options by Monte-Carlo Simulations in a Levy market with Stochastic Volatility, passed with distinction.
  27. 03.02.2006. (co-supervisor with Dmitrii Silvestrov) Gao YongJie, Experimental studies of auto-regressive equations and ruin events with SMIB programming system, passed with distinction.
  28. 20.12.2005. (co-supervisor with Dmitrii Silvestrov) Ying Ni, Modeling Insurance Claim Sizes using the Mixture of Gamma and Reciprocal Gamma Distributions, passed with distinction.
  29. 11.10.2005. (co-supervisor with Dmitrii Silvestrov) Aminur Roshid, Simulation of short rate in Hull and White model and pricing bond options by Java applet, passed with distinction.
  30. 20.06.2005. Rafael Vides, Program realisation of statistical test for normality in Java, passed with distinction.
  31. 15.06.2005. Natalie Spaska and Olexander Sheychenko, A Java applet for simulation of interest rates in Vasicek model, passed with distinction.
  32. 13.06.2005. (co-supervisor with Dmitrii Silvestrov) Mai Xin, Monte Carlo Simulation on historical data: a Java based solution, passed with distinction.
  33. 20.09.2004. (co-supervisor with Dmitrii Silvestrov) Robin Lundgren, Jump-diffusion modeling of pricing processes, passed with distinction. 

Assisterande handledare av doktorander

  1. From January, 2013 Oskar Schyberg, defended licentiate thesis
    April 12, 2013.
  2. From January, 2013 (assistant supervisor to Sergei Silvestrov)
    Gyan Thapa.
  3. From July, 2012 (assistant supervisor to Sergei Silvestrov) Betuel
    Canhanga.
  4. From January, 2012 (assistant supervisor to Sergei Silvestrov)
    Karl Lundengård.
  5. From September, 2011 (assistant supervisor to Sergei Silvestrov)
    Christopher Engström.
  6. From January, 2009 (assistant supervisor to Dmitrii Silvestrov): Oskar Schyberg.
  7. From August, 2006 (assistant supervisor to Dmitrii Silvestrov)
    Ying Ni, defended licentiate thesis May 7, 2010, defended PhD thesis October
    28, 2011.
  8. From August, 2005 (assistant supervisor to Dmitrii Silvestrov)
    Robin Lundgren, defended licentiate thesis April 23, 2009, defended PhD
    thesis November 12, 2010.
  9. From August, 2005 (assistant supervisor to Dmitrii Silvestrov): Myroslav Drozdenko, defended PhD thesis November 23, 2007.