HIPERFITPhD Defence: Lykke Rasmussen
Title: Computational Finance - on the search for performance
Thesis: PDF
Presenter: Lykke Rasmussen, PhD. Student, Math/University of Copenhagen
Time: Thursday, March 31, 2016, 13:15
Place: HCØ, Auditorium 10, Universitetsparken 5, 2100 Copenhagen Ø
Committee:
- Ass. Prof. David Skovmand (chairman), MATH, University of Copenhagen
- Prof. Natalie Packham, Frankfurt School of Finance & Management
- Antoine Savine, Chief Quantitative analyst, Danske Bank, Copenhagen
Abstract
The PhD thesis ‘Computational Finance - on the search for performance’ consists of two papers. The first examines the performance of five different methods for calibrating Dupire’s deterministic local volatility function, these are assessed in terms of accuracy, smoothness, speed and robustness. The second presents four different methods for evaluating the Greeks of an interest rate swap, these are assessed in terms of accuracy, stability and run time.
Biography
Lykke Rasmussen is a PhD student at Math/University of Copenhagen under supervision of Prof. Rolf Poulsen, Math.
Host: Math and HIPERFIT (Prof. Rolf Poulsen)