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Filtering by: Advisor Roman, Luis J. Collections Masters Theses

1. The stochastic discount factor and the generalized method of moments

Keyword:: SDF, GMM, and CAPM
Creator:: Koci, Eni
Advisor:: Roman, Luis J.
Publisher:: Worcester Polytechnic Institute
Date Created:: 2006-05-31
Resource Type:: Thesis
Degree:: MS
Unit (Department):: Mathematical Sciences

2. Expected Maximum Drawdowns Under Constant and Stochastic Volatility

Keyword:: maximum drawdowns and drawdowns
Creator:: Nouri, Suhila Lynn
Advisor:: Roman, Luis J.
Publisher:: Worcester Polytechnic Institute
Date Created:: 2006-05-04
Resource Type:: Thesis
Degree:: MS
Unit (Department):: Mathematical Sciences

3. The Valuation of Credit Default Swaps

Keyword:: Credit Risk, Credit Default Swap, Merton model, and Hazard rate approach
Creator:: Diallo, Nafi C
Advisor:: Roman, Luis J.
Publisher:: Worcester Polytechnic Institute
Date Created:: 2006-01-11
Resource Type:: Thesis
Degree:: MS
Unit (Department):: Mathematical Sciences