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Filtering by: Advisor Sturm, Stephan Collections PhD Dissertations

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
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
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