Index Catalog // Digital WPI

Start Over

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

1. Price Impact in the VIX Futures Market and Mean-Field Games in two Order Books

Keyword:: S&P500, VIX, ETFs, Price impact, ETNs, and VIX futures
Creator:: Santawisook, Patchara
Advisor:: Sturm, Stephan
Publisher:: Worcester Polytechnic Institute
Date Created:: 2022-12-07
Resource Type:: Dissertation
Degree:: PhD
Unit (Department):: Mathematical Sciences

2. Stochastic Controls in Competitions and Mean Field Games

Keyword:: Mutual Funds, Mean Field Games, Game Theory, Nash Equilibrium, Tax, and Stochastic Controls
Creator:: Ye, Jiaxuan
Advisor:: Sturm, Stephan and Wang, Gu
Publisher:: Worcester Polytechnic Institute
Date Created:: 2022-04-26
Resource Type:: Dissertation
Degree:: PhD
Unit (Department):: Mathematical Sciences

3. In the Wake of the Financial Crisis - Regulators' and Investors' Perspectives

Keyword:: financial crisis, contagion, systemic risk, backward stochastic differential equations, value adjustments, interbank networks, Eisenbergâ€“Noe clearing vector, option pricing, arbitrage pricing, and sensitivity analysis
Creator:: Pang, Weijie
Advisor:: Sturm, Stephan
Publisher:: Worcester Polytechnic Institute
Date Created:: 2019-04-23
Resource Type:: Dissertation
Degree:: PhD
Unit (Department):: Mathematical Sciences

4. 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

5. 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

6. 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

7. 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

8. Barrier Option Pricing under SABR Model Using Monte Carlo Methods

Keyword:: SABR, Black-Scholes, Monte Carlo, and Barrier Option
Creator:: Hu, Junling
Advisor:: Sturm, Stephan
Publisher:: Worcester Polytechnic Institute
Date Created:: 2013-05-02
Resource Type:: Report
Degree:: MS
Unit (Department):: Mathematical Sciences