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Vermes, Domokos
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Résultats de recherche
Pricing Mortgage-Backed Securities using Prepayment Functions and Pathwise Monte Carlo Simulation.
Mot-clé:
Mortgage-Backed securities
Créateur:
Acheampong, Osman K
Advisor:
Vermes, Domokos
Éditeur:
Worcester Polytechnic Institute
date créée:
2003-04-30
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
Valuation of Mortgage Backed Securities with Prepayment using BDT Model and Monte Carlo Methods
Mot-clé:
Monte Carlo mthoed
,
mortgage backed securities
, and
BDT model
Créateur:
Tang, Yuxiao
Advisor:
Vermes, Domokos
Éditeur:
Worcester Polytechnic Institute
date créée:
2015-04-30
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
Risk Measures Extracted from Option Market Data Using Massively Parallel Computing
Mot-clé:
Financial risk management
,
Massively parallel GPU comtuing
,
Stochastic volatility model
, and
Black-Scholes Formula
Créateur:
Zhao, Min
Advisor:
Vermes, Domokos
Éditeur:
Worcester Polytechnic Institute
date créée:
2011-04-27
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Organization & Analysis of Stock Option Market Data
Mot-clé:
Implied volatility
and
volatility smile
Créateur:
Zhang, Jun
Advisor:
Vermes, Domokos
Éditeur:
Worcester Polytechnic Institute
date créée:
2011-01-08
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Bayesian Predictive Inference and Multivariate Benchmarking for Small Area Means
Mot-clé:
bayesian predictive inference
,
benchmarking
,
Small Area Estimation
, and
multivariate
Créateur:
Toto, Ma. Criselda Santos
Advisor:
Nandram, Balgobin
Éditeur:
Worcester Polytechnic Institute
date créée:
2010-04-20
Resource Type:
Dissertation
Degree:
PhD
Unit (Department):
Mathematical Sciences
Interdependence of US Industry Sectors Using Vector Autoregression
Mot-clé:
VaR
and
Interdependence
Créateur:
Dutta Bordoloi, Suwodi
Advisor:
Vermes, Domokos
and
Zhao, Wanli
Éditeur:
Worcester Polytechnic Institute
date créée:
2009-10-28
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Pricing of Multi-Name Credit Derivatives Using Copulas
Mot-clé:
first-to-default baskets
,
multi-name credit derivatives
, and
copula functions
Créateur:
Liu, Xinjia
Advisor:
Vermes, Domokos
Éditeur:
Worcester Polytechnic Institute
date créée:
2008-01-08
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Implementation of Some Finite Difference Methods for the Pricing of Derivatives using C++ Programming.
Mot-clé:
Pricing
,
Finite
,
C++
, and
Finite Difference
Créateur:
Ampadu, Ebenezer
Advisor:
Vermes, Domokos
Éditeur:
Worcester Polytechnic Institute
date créée:
2007-05-18
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
Portfolio Optimization Based on Robust Estimation Procedures
Mot-clé:
Portfolio Optimization
and
robust estimation
Créateur:
Gao, Weiguo
Advisor:
Vermes, Domokos
Éditeur:
Worcester Polytechnic Institute
date créée:
2004-04-30
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
Prices of Credit Default Swaps and the Term Structure of Credit Risk
Mot-clé:
Credit Default Swaps
and
Credit Risk
Créateur:
Desrosiers, Mary Elizabeth
Advisor:
Vermes, Domokos
Éditeur:
Worcester Polytechnic Institute
date créée:
2007-05-01
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
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Acheampong, Osman K
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Lipton, Robert P.
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Vermes, Domokos
14
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1
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Unit (Department)
Mathematical Sciences
16
Éditeur
Worcester Polytechnic Institute
16
Type de ressource
Thesis
9
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5
Dissertation
2