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Sturm, Stephan
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Dissertation
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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
,
Eisenberg–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
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Creator
Pang, Weijie
1
Santawisook, Patchara
1
Ye, Jiaxuan
1
Advisor
Sturm, Stephan
[remove]
3
Wang, Gu
1
Contributor
Blais, Marcel Y.
1
Capponi, Agostino
1
Cialenco, Igor
1
Osterrieder, Jörg
1
Papanicolaou, Andrew
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Unit (Department)
Mathematical Sciences
3
Publisher
Worcester Polytechnic Institute
3
Resource type
Dissertation
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3