Computational Finance - on the search for performance.

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.

Supervisor: Prof. Rolf Poulsen, Math, University of Copenhagen

 Assessment 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