Leveraged investments have become a fundamental feature of modern economies. The new financial products allow people to take greater-than-usual exposures to risk factors. This thesis analyzes several different aspects of the risks involved by some frequently used leveraged products: CDOs, CDSs,...

The main objective of this thesis is to develop novel Monte Carlo techniques with emphasis on various applications in finance and economics, particularly in the fields of risk management and asset returns modeling. New stochastic algorithms are developed for rare-event probability estimation,...

The aim of this thesis is to thoroughly study structural default models based on jump-diffusion processes. Jump-diffusion models were first proposed by Zhou (2001), who also showed that these models have several desirable properties, most important, positive short-term spreads. On the other...

Incomplete markets provide many challenges for both investment decisions and valuationproblems. While both problems have received extensive attention in complete markets,there remain many open areas in the theory of incomplete markets. We present the resultsin three parts. In the first essay we...

Master of Science