Mikkel Svenstrup

M.Sc. (Mathematical Economics),  Phd






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.



International Refereed Journals

Publications in Danish Journals


Working papers


Interest Rate Derivatives - Valuation and Applications (pdf)

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