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GARCH modeling

In this thesis we survey GARCH modelling with special focus on the fitting of GARCH models to financial return series.

Valuation of Callable Bonds

This master’s thesis explores pricing of callables.

A note on maximum-smoothness approximation

Maximum smoothness approximation of forward interest rate is considered.

Monte Carlo simulation techniques

Master Thesis researching the possibilty to create a general monte carlo simulation framework using low discrepancy sequences.

Algorithmica releases a short primer on Dual Bootstrap construction

A short presentation on the basic building blocks of creating forward swap yield curves after the credit crisis.