MSc Theses, with Kees Oosterlee

Eric Schols (2016):
Radial Basis Functions for Option Pricing in Insurance Liabilities (with Ortec Finance)

Luuk Frankena (2016):
Pricing and Hedging Options in a Negative Interest Rate Environment (with ABN AMRO bank)

Dirk Hazenoot (2016):
Reduction of Computing Time for Numerical Pricing of European Multi-dimensional Options based on the COS Method (with Alvaro Leitao)

Max de Groot (2015):
Arbitrage-Free Approaches for Pricing Interest Rate Derivatives under the SABR Model (with ING Bank)

Stef Maree (2015):
Numerical Pricing of Bermudan Options with Shannon Wavelet Expansions (with Luis Ortiz @ CRM Barcelona)

Mitchell Boelee (2015):
Explaining Interest Rate Spreads from a Debt Sustainability Indicator (with Ortec Finance)

Jillis Ooms (2015):
Interest Rate Modelling for Counterparty Credit Risk (with Rabobank)

Nathan Meibergen (2015):
Continuous Term Structures for Implied Recovery (with EY)

Zaza van der Have (2015):
Arbitrage-Free Methods to Price European Options under the SABR Model (with Rabobank)

Sebastiaan Borst (2014):
The Efficient Pricing of CMS and CMS Spread Derivatives (with Rabobank)

Merel Stout (2014):
Numerical Pricing of Equity Barrier Options with Local Volatility (with ABN AMRO bank)

Steven Hoyer (2013):
Wind derivatives: Hedging Wind Risk (with Mercurious)

Pieter-Jan van Tol (2013):
Calculating the Required Capital of an Insurance Company by means of Elliptical Copulas (with Delta Lloyd)

Toni Budimir (2013):
Evolving Yield Curves of Sovereign Debt Issuers for Computing Haircuts on Bond Valuations (with RBS)

Adrien Chenailler (2013):
Economic Capital for the Trading Book (with Rabobank)

Claus Jaroschek (2013):
Evaluating Hybrid Smiles by Inverse Transforms (for Oxford University)

Zoe Lagerweij (2012):
Detecting a Risk Mismatch between Actual Investment Portfolio and its Strategic Asset Allocation (with Ortec Finance)

Mark Versteegh (2012):
The Gibbs Phenomenon in Option Pricing Methods: Filtering and Other Techniques applied to the COS Method (supervision with M. Ruijter)

Suzanne de Jong (2012):
Pricing American options using the Stochastic Grid Method with Bundling (supervision with S. Jain)

Steven ten Have (2012):
Le'vy processes and Option Pricing (with Optiver)

Jan van der Linden (2011):
Monte Carlo Greeks in the Lognormal Libor Market Model (with Rabobank)

Guolun Wang (2011):
An Equity and Foreign Exchange Heston-Hull-White model for Variable Annuities (with NN)

Bart Hoorens (2011):
On the Cheyette Short Rate Model with Stochastic Volatility (with ING bank)

Wander Wadman (2010):
An Advanced Monte Carlo Method for the Multi-Asset Heston Model (with Rabobank)

Marjon Ruijter (2010):
Numerical treatment of stochastic control problems by Fourier-cosine series expansions: The dike height problem (with CWI)

Stefan Singor (2009):
Efficient Simulation and Valuation of Embedded Options using Monte Carlo Simulations (with Ortec Finance)

Jiayuan Li (2009):
The Heston Model with Term Structure (with ABN AMRO bank)

Yu Tian (2009):
Market Liquidity Risk and Market Risk Measurement (with ABN AMRO bank/RBS)

Adriaan Krul (2008):
Calibration of Stochastic Convenience Yield Models for Crude Oil Using the Kalman Filter (with ING bank)

Bin Chen (2007):
Calibration of the Heston Model with Application in Derivative Pricing and Hedging (with Rabobank)

Eelse-Jan Stutvoet (2007):
Fitting Financial Models to Market Data Using Kriging

Jan de Kort (2007):
Pricing Multi-Asset Financial Products with Tail Dependence using Copulas (with ABN AMRO bank)

Floris Naber (2007):
Fast Solver for the Three-Factor Heston-Hull-White Problem (with ING bank)

Zhengwei Han (2007):
Option Pricing with The Fourier Transform Method, Based on The Stochastic Volatility Model (for Uni. Erlangen)

Frank Bervoets (2006):
Model Risk for Exotic Equity Options (with Rabobank)

Tom J"onsth"ovel (2006):
Improvement of a Multigrid Solver for 3D EM Diffusion (with Shell)

Fang Fang (2006):
Pricing Bermudan and American Options Using the FFT Method (for Uni. Erlangen)

Xinzheng Huang (2005):
Numerical Valuation of American Options under Exponential Le'vy Processes

Qi Cao (2005):
Computation of Implied Dividend based on Option Market Data

Coen Leentvaar (2003):
Numerical Solution of the Black-Scholes Equation with a Small Number of Grid Points

J"org Frisch (2001):
Anwendung eines Mehrgitterverfahrens auf partielle Differentialgleichungen fuer Asiatische Optionen unter Verwendung einer modernen Zeitdiskretisierung (bei Uni. Koeln)

Tanja Clees Fuellenbach (1996):
Mehrgitterverfahren fuer die zwei- und drei-dimensionale Poissongleichung mit periodischen Randbedingungen und eine Anwendung in der Molekulardynamik (bei Uni. Koeln)

Roman Wienands (1996):
Multi-Stage-Jacobi Glätter in Mehrgitterverfahren zur Lösung der inkompressiblen Navier-Stokes-Gleichungen (bei Uni Koeln)

Andre Klaren (1992):
Discretization of incompressible Navier-Stokes equations in general coordinates (TU Delft)

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