Mikkel Svenstrup

M.Sc. (Mathematical Economics),  Phd

 

 

Mailto: mikkel@svenstrup.net

 

 

 


Research Interests

Interest rate derivatives, Hedging, American Options,

Computational Finance, Financial Engineering, Model Risk,

Mortgage Backed Securities, Prepayment modeling and Mortgage Choice, Asset-Liability modeling.

 

Publications

International Refereed Journals

Publications in Danish Journals

 

Working papers

Phd-Thesis

Interest Rate Derivatives - Valuation and Applications (pdf)

Submitted December 2nd 2002, Public Defense May 9th, 2003