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Filtering by: Contributor Vermes, Domokos Resource type Thesis

1. Pricing Mortgage-Backed Securities using Prepayment Functions and Pathwise Monte Carlo Simulation.

Keyword:: Mortgage-Backed securities
Creator:: Acheampong, Osman K
Advisor:: Vermes, Domokos
Publisher:: Worcester Polytechnic Institute
Date Created:: 2003-04-30
Resource Type:: Thesis
Degree:: MS
Unit (Department):: Mathematical Sciences

2. Valuation of Mortgage Backed Securities with Prepayment using BDT Model and Monte Carlo Methods

Keyword:: Monte Carlo mthoed, mortgage backed securities, and BDT model
Creator:: Tang, Yuxiao
Advisor:: Vermes, Domokos
Publisher:: Worcester Polytechnic Institute
Date Created:: 2015-04-30
Resource Type:: Thesis
Degree:: MS
Unit (Department):: Mathematical Sciences

3. Implementation of Some Finite Difference Methods for the Pricing of Derivatives using C++ Programming.

Keyword:: Pricing, Finite, C++, and Finite Difference
Creator:: Ampadu, Ebenezer
Advisor:: Vermes, Domokos
Publisher:: Worcester Polytechnic Institute
Date Created:: 2007-05-18
Resource Type:: Thesis
Degree:: MS
Unit (Department):: Mathematical Sciences

4. Portfolio Optimization Based on Robust Estimation Procedures

Keyword:: Portfolio Optimization and robust estimation
Creator:: Gao, Weiguo
Advisor:: Vermes, Domokos
Publisher:: Worcester Polytechnic Institute
Date Created:: 2004-04-30
Resource Type:: Thesis
Degree:: MS
Unit (Department):: Mathematical Sciences

5. Value at Risk Models for a Nonlinear Hedged Portfolio

Keyword:: Risk Management, Risk Measure, Value at Risk, and Hedging
Creator:: Liu, Guochun
Advisor:: Vermes, Domokos
Publisher:: Worcester Polytechnic Institute
Date Created:: 2004-04-30
Resource Type:: Thesis
Degree:: MS
Unit (Department):: Mathematical Sciences

6. HISTORICAL RISK ASSESSMENT OF A BALANCED PORTFOLIO USING VALUE-AT-RISK

Keyword:: Monte Carlo Simulations, Value-at-risk, and Portfolio Risk
Creator:: Malfas, Gregory P.
Advisor:: Vermes, Domokos
Publisher:: Worcester Polytechnic Institute
Date Created:: 2004-04-30
Resource Type:: Thesis
Degree:: MS
Unit (Department):: Mathematical Sciences

7. Transaction costs and resampling in mean-variance portfolio optimization

Keyword:: Portfolio Optimization, Transaction Costs, Resampling, and Mean-Variance Optimization
Creator:: Asumeng-Denteh, Emmanuel
Advisor:: Vermes, Domokos
Publisher:: Worcester Polytechnic Institute
Date Created:: 2004-04-30
Resource Type:: Thesis
Degree:: MS
Unit (Department):: Mathematical Sciences

8. Evaluating of path-dependent securities with low discrepancy methods

Keyword:: path-dependent securities, Quasi- Monte Carlo, low-discrepancy methods, and variance-reduction techniques
Creator:: Krykova, Inna
Advisor:: Vermes, Domokos
Publisher:: Worcester Polytechnic Institute
Date Created:: 2004-01-13
Resource Type:: Thesis
Degree:: MS
Unit (Department):: Mathematical Sciences

9. Risk Measurement of Mortgage-Backed Security Portfolios via Principal Components and Regression Analyses

Keyword:: Mortgage-Backed securities, portfolio risk decomposition, principal components regression, and principal components analysis
Creator:: Motyka, Matt
Advisor:: Vermes, Domokos
Publisher:: Worcester Polytechnic Institute
Date Created:: 2003-04-29
Resource Type:: Thesis
Degree:: MS
Unit (Department):: Mathematical Sciences