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Sturm, Stephan
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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
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Creator
Andrei, Mihnea Stefan
1
Min, Ming
1
Santawisook, Patchara
1
Zhou, Tingwen
1
Advisor
Sturm, Stephan
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4
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Sturm, Stephan
4
Unit (Department)
Mathematical Sciences
4
Publisher
Worcester Polytechnic Institute
4
Resource type
Thesis
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