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Articles
Realkreditrådgivning - Et studie af danskernes valg af realkreditlån og konverteringspraksis 
28/01/2011 Boligøkonomisk Videncenter i Realdania startede i maj 2010 et projekt om danskernes konvertering af realkreditlån i boligen. Projektet blev afsluttet med en rapport - Read more
The Financial Crisis and ERM
23/03/2009 This presentation looks at the Financial Crisis of 2008, what failed and what to learn from it. A subtitle for this presentation could easily be: Is it the death or Risk-Management (VaR)? - Read more
Risk Management - an Introduction
22/01/2009 The purpose of this document is to give an introduction to Risk management seen in a broad perspective. That is we do not limit ourselves to any sector (Financial, Shipping etc). - Read more
RenteDyk™
08/01/2008 This presentation take a look at the new product from Realkredit Danmark, called RenteDykTM - also referred to as a One-Way-Floater. The presentation begins with a detailed explanation of the product, which includes a survey of the exotic option – a Ratchet-option. - Read more
Inflation
20/02/2007 This presentation gives a survey of Inflation-Linked Products. The presentation includes the following topics: Inflation-Linked Bonds, Inflation-Swaps, CPI, inflation rate, implying the CPI-curve from Market-data, risk-measures (inflation and interest-rate risk). - Read more
Modelling mortgage bonds
17/06/2005 The purpose of this white-paper is to give an introduction to how FinE models prepayment behaviour. - Read more
Monte Carlo Simulation for Bermudan Swaptions (Conference Proceeding 2001)
15/07/2001 The presentation gives a survey of the different methods/models that are available for the pricing of American/Bermudan options using Monte-Carlo. - Read more
The Pricing Of Interest-rate Contingent Claims
03/09/1998 The most important result in this working paper is the construction of a multidimensional Gaussian interest-rate term structure model, where, based on a construction of equivalent martingale measures and a suitable selection of numerators, it is shown that it is possible to derive analytical expressions for a wide range of derived instruments. - Read more
The Normal Class Of Arbitrage-free Spot-rate Models
26/08/1998 In this paper we first show how to determine the T-forward adjusted risk-measure using the concept of fundamental solution to linear PDE’s. After that, relying on Fourier transformation we derive bond-and bond-option prices for the Extended Vasicek model from Hull and White (1990) and the Quadratic Interest Rate model. - Read more
Emperical Yieldcurve Dynamics
20/08/1998 This paper has two objectives. First we will construct a general model for the variation in the term structure of interest rates, or to put it another way, we will define a general model for the shift function. - Read more