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Filtering by: Advisor Sturm, Stephan Unit (Department) Mathematical Sciences Resource type Thesis

Numerical Methods for European Option Pricing with BSDEs

Keyword:

FT scheme, XVA, Linear Regression Monte Carlo method, and BSDE

Creator:

Min, Ming

Advisor:

Sturm, Stephan

Publisher:

Worcester Polytechnic Institute

Date Created:

2018-04-24

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences
Arbitrage-Free Pricing of XVA for American Options in Discrete Time

Keyword:

funding spread, XVA, American option, counterpart credit risk, and no-arbitrage

Creator:

Zhou, Tingwen

Advisor:

Sturm, Stephan

Publisher:

Worcester Polytechnic Institute

Date Created:

2017-04-26

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences
Implied Volatility and Extracted Risk Neutral Density of VIX Options during the Crisis and Relatively Calm Periods

Keyword:

VIX, VIX futures, and Implied volatility

Creator:

Santawisook, Patchara

Advisor:

Sturm, Stephan

Publisher:

Worcester Polytechnic Institute

Date Created:

2015-04-30

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences
A discrete model for the default risk of inter-banking networks

Keyword:

contagion, Networks, default, and banking system

Creator:

Andrei, Mihnea Stefan

Advisor:

Sturm, Stephan

Publisher:

Worcester Polytechnic Institute

Date Created:

2014-05-01

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences