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Asymptotic Methods for Stochastic Volatility Option Pricing: An Explanatory Study
Keyword:
asymptotic expansion
and
stochastic volatility option pricing
Creator:
Chen, Lichen
Advisor:
Sayit, Hasanjan
Publisher:
Worcester Polytechnic Institute
Date Created:
2011-01-13
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Portfolio Optimization, CAPM & Factor Modeling Project
Keyword:
Portfolio Optimization
and
Factor Model
Creator:
Zhao, Zhen
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2012-04-25
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Minimizing the Probability of Ruin in Exchange Rate Markets
Keyword:
optimal investment
,
stochastic calculus
, and
Stochastic Optimal Control
Creator:
Chase, Tyler A.
Advisor:
Sayit, Hasanjan
Publisher:
Worcester Polytechnic Institute
Date Created:
2009-04-30
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
A Modified Clenshaw-Curtis Quadrature Algorithm
Keyword:
Quadrature
,
Clenshaw-Curtis
, and
Chebyshev Polynomials
Creator:
Barden, Jeffrey M.
Advisor:
Humi, Mayer
Publisher:
Worcester Polytechnic Institute
Date Created:
2013-04-24
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Financial Mathematics Project
Keyword:
Modern Portfolio Theory
,
Fama French Model
, and
CAPM
Creator:
Dang, Zhe
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2012-04-24
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
GPU computing of Heat Equations
Keyword:
linear systems.
,
Heat equation
,
CPU
, and
GPU
Creator:
Zhang, Junchi
Advisor:
Olson, Sarah D
Publisher:
Worcester Polytechnic Institute
Date Created:
2015-04-29
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Hedge Funds' Performance Fees and Investments
Keyword:
Moral Hazard
,
High-water Mark
, and
Hedge Fund
Creator:
Gong, Yuhui
Advisor:
Wang, Gu
Publisher:
Worcester Polytechnic Institute
Date Created:
2017-04-27
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Popping Bubbles: Cryptanalysis of Homomorphic Encryption
Keyword:
homomorphic encryption
and
cryptanalysis
Creator:
Steele, Corre
Advisor:
Martin, William J.
Publisher:
Worcester Polytechnic Institute
Date Created:
2016-04-28
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Learning Curves in Emergency Ultrasonography
Keyword:
general linear models
,
generalized estimating equations
,
inverse interval estimation
, and
Logistic regression
Creator:
Brady, Kaitlyn
Advisor:
Petruccelli, Joseph D.
Publisher:
Worcester Polytechnic Institute
Date Created:
2012-12-29
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Comparative Analysis of Ledoit's Covariance Matrix and Comparative Adjustment Liability Management (CALM) Model Within the Markowitz Framework
Keyword:
covariance matrix estimation
,
CALM
,
shrinkage parameter
,
Ledoit's model
, and
forward looking signal
Creator:
Zhang, Yafei
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2014-05-08
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Barrier Option Pricing under SABR Model Using Monte Carlo Methods
Keyword:
SABR
,
Black-Scholes
,
Monte Carlo
, and
Barrier Option
Creator:
Hu, Junling
Advisor:
Sturm, Stephan
Publisher:
Worcester Polytechnic Institute
Date Created:
2013-05-02
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
A Review of Causal Inference
Keyword:
Noncounterfactual
and
Counterfactual
Creator:
LIU, DAYANG
Advisor:
Petruccelli, Joseph D.
Publisher:
Worcester Polytechnic Institute
Date Created:
2009-01-09
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
An Adaptive Mixed Finite Element Method using the Lagrange Multiplier Technique
Keyword:
a posteriori error estimate
,
adaptive
,
lagrange multiplier
,
Finite Element Method
, and
mesh refinement
Creator:
Gagnon, Michael Anthony
Advisor:
Sarkis-Martins, Marcus
Publisher:
Worcester Polytechnic Institute
Date Created:
2009-05-04
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
A Card-based Detective Game Editor
Keyword:
Unity
,
Game engine
,
Detective stories
,
Chinese culture
,
Game development
, and
Game design
Creator:
Aixinjueluo, Qihuan
Advisor:
deWinter, Jennifer
Publisher:
Worcester Polytechnic Institute
Date Created:
2021-08-18
Resource Type:
Report
Degree:
MS
Unit (Department):
Interactive Media & Game Development
Risk Management Project
Keyword:
Value-at-risk
,
BIC
,
ARMA-GARCH
,
Portfolio Optimization
,
Chi-square test
,
AIC
,
Risk Management
, and
Expected Shortfall
Creator:
Shen, Chen
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2012-05-02
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Bayesian Predictive Inference for Nonprobability Samples
Keyword:
Superpopulation
,
Bayesian inference
, and
Spatial correlation
Creator:
Cao, Hanqi
Advisor:
Nandram, Balgobin
Publisher:
Worcester Polytechnic Institute
Date Created:
2019-04-28
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Electrophysiological Studies of a Retinal Prosthetic Prototype
Keyword:
Self Assembled Monolayer
and
Electrophysiology
Creator:
Huang, Fei
Advisor:
Lambert, Christopher R.
Publisher:
Worcester Polytechnic Institute
Date Created:
2012-08-24
Resource Type:
Report
Degree:
MS
Unit (Department):
Chemistry & Biochemistry
Comparative Analysis of Ledoit's Covariance Matrix and Comparative Adjustment Liability Model (CALM) Within the Markowitz Framework
Keyword:
covariance matrix estimation
,
shrink-
, and
Ledoit's model
Creator:
McArthur, Gregory D
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2014-05-09
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Computational Methods for Option Pricing
Keyword:
Monte Carlo GBM
Creator:
Fei, Bingxin
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2011-04-27
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Prices of Credit Default Swaps and the Term Structure of Credit Risk
Keyword:
Credit Default Swaps
and
Credit Risk
Creator:
Desrosiers, Mary Elizabeth
Advisor:
Vermes, Domokos
Publisher:
Worcester Polytechnic Institute
Date Created:
2007-05-01
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
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