www.nielsrom.com
Personal homepage for Niels Rom
Papers and Notes
I hold a PhD from Copenhagen Business School, Department of Finance, my thesis adviser was Professor Carsten Sørensen. I graduated in April 2006. My thesis contains 3 articles within the field of computational Finance. Below you find papers and notes on different financial problems. Also, a copy of my dissertation is available.
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My PhD contains 3 articles;
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This note describes how to construct
and decompose a return index for a bond. Payments from the bond -
coupons and redemptions - are reinvested in the bond at the current
market price. This include scheduled payments as well as payments from
called loans.
Return Index
In this note many trivially (and some
advanced) calculations in the Hull-White interest rate model are done.
Please let me know if there are any errors.
Calculations in the Hull-White Model
The following presentation have been given for several
years for industry people at
the Summer School at
Copenhagen Business School in the course Modelling, Pricing and
Management of Interest Rate Risk. It describes how to build a model for
pricing Fixed Rate Callable Mortgage Backed Securities. Unfortunately
it's still in Danish.
MBS Pricing
An incomplete note on how financial pricing measures
are constructed.
Construction of Pricing
Measures
A very short note on the relation between a swaption's
BPV and it's delta.
Swaption BPV and Delta
A note on convexity adjustment of the forward rate and
how to calculate the value today of a rate that is not known until a
future date.
Convexity Adjustment
Pricing of non-callable Xibor products using the
convexity adjustment approach developed above. Unfortunately, its only
in Danish.
Prisfastsættelse af Cibor Producter
About me
In 1993 I graduated as Master of Economics and Mathematics from University of Southern Denmark.
I took my Ph.D. at Copenhagen Business School, Institute of Finance in 2006. My thesis contains 3 papers on computational finance.