Contents
Research Interests
Publications
Talks and Posters
CV
Contact Information
Research interests
- Financial Engineering
- Quantitative Finance
- Computational Finance
- Mathematical Finance
- Valuation Adjustments
- Derivative Pricing
Publications
2024
- “On the Hull-White model with volatility smile for Valuation Adjustments” T. van der Zwaard, L.A. Grzelak, C.W. Oosterlee Submitted, March 2024
2023
- “Efficient Wrong-Way Risk Modelling for Funding Valuation Adjustments” T. van der Zwaard, L.A. Grzelak, C.W. Oosterlee Submitted, March 2023
2022
- “Relevance of Wrong-Way Risk in Funding Valuation Adjustments” T. van der Zwaard, L.A. Grzelak, C.W. Oosterlee Finance Research Letters, October 2022, Preprint on arXiv
2021
- “A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting” T. van der Zwaard, L.A. Grzelak, C.W. Oosterlee Applied Mathematics and Computation, 391, February 2021, Preprint on arXiv
Talks and posters
- ‘Short-rate models with smile and applications to Valuation Adjustments’, International Conference on Computational Finance 2024 (ICCF24), Amsterdam, the Netherlands, April 2024.
- ‘Valuation Adjustments with an Affine-Diffusion-based Interest Rate Smile’, 21st Winter School of Financial Mathematics, Soesterberg, the Netherlands, January 2024.
- ‘Valuation Adjustments with an Affine-Diffusion-based Interest Rate Smile’, 2nd Dutch Math Finance Afternoon, Utrecht, the Netherlands, November 2023.
- ‘Valuation Adjustments with an Affine-Diffusion-based Interest Rate Smile’, TopQuants Autumn Event 2023, Amsterdam, the Netherlands, November 2023.
- ‘Incorporating Smile in Valuation Adjustments Through the Mixture of Short-Rate Models’, minisymposium ‘Interest Rate Models and Efficient Simulation in Modern Risk Management’, SIAM Conference on Financial Mathematics and Engineering 2023 (FM23), Philadelphia, USA, June 2023.
- ‘Wrong-Way Risk in Funding Valuation Adjustments’, minisymposium ‘Aspects of XVA and Computations’, International Conference on Computational Finance 2022 (ICCF2022), Wuppertal, Germany, June 2022.
Posters
- Poster ‘Valuation adjustments and the hedging thereof in practice’, 19th Winter School of Financial Mathematics, Lunteren, the Netherlands, January 2020.
CV
Work Experience
Senior Quantitative Analyst
- 2016 - present,
- Pricing Model Validation, Rabobank.
PhD Candidate
- 2018 - 2020, Delft Institute of Applied Mathematics, Delft University of Technology,
- 2021 - present, Mathematical Institute, Utrecht University.
Education
MSc Applied Mathematics
- 2014 - 2016,
- Delft University of Technology,
- Thesis at NAG ltd: “The heston model with Term Strucutre: Option Pricing and Calibration”.
BSc Applied Mathematics
- 2011 - 2014,
- Delft University of Technology,
- Thesis: “Pricing Bitcoin options under jump-diffusion processes”.