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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
Financial Mathematics Project
Keyword:
Capital Asset Pricing Model
,
Modern Portfolio Theory
, and
multi-factor models
Creator:
Li, Jiang
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2012-04-24
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
Portfolio Optimization, CAPM & Factor Modeling Project
Keyword:
Portfolio Optimization
and
CAPM & Factor Modeling
Creator:
Zhou, Jie
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2012-04-25
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Portfolio Optimization, CAPM & Factor Modeling Project Report
Keyword:
French and Fama Model
,
Factor Model
,
CAPM
, and
Modern Portfolio Theory
Creator:
Dong, Yijun
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2012-04-23
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Survival Probability and Intensity Derived from Credit Default Swaps
Keyword:
Credit Default Swaps
and
survival probability
Creator:
Lan, Yi
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2012-01-13
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Regression Analysis of University Giving Data
Keyword:
least squares regression
,
Data Mining
,
Logistic regression
, and
Prediction
Creator:
Jin, Yi
Advisor:
Petruccelli, Joseph D.
Publisher:
Worcester Polytechnic Institute
Date Created:
2007-01-02
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Option Pricing Using Monte Carlo Methods
Keyword:
Monte Carlo
,
American put
, and
American call
Creator:
Lu, Mengliu
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2011-04-27
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Risk Measures Extracted from Option Market Data Using Massively Parallel Computing
Keyword:
Financial risk management
,
Massively parallel GPU comtuing
,
Stochastic volatility model
, and
Black-Scholes Formula
Creator:
Zhao, Min
Advisor:
Vermes, Domokos
Publisher:
Worcester Polytechnic Institute
Date Created:
2011-04-27
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Organization & Analysis of Stock Option Market Data
Keyword:
Implied volatility
and
volatility smile
Creator:
Zhang, Jun
Advisor:
Vermes, Domokos
Publisher:
Worcester Polytechnic Institute
Date Created:
2011-01-08
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Molecular Graph Theory
Keyword:
Zeolites
and
Fullerenes
Creator:
Johnson, Chase R
Advisor:
Servatius, Brigitte
Publisher:
Worcester Polytechnic Institute
Date Created:
2010-04-29
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
A Primal-Dual Approximation Algorithm for the Concurrent Flow Problem
Keyword:
network flow
and
approximation algorithm
Creator:
Nahabedian, Aaron Joseph
Advisor:
Martin, William J.
Publisher:
Worcester Polytechnic Institute
Date Created:
2010-04-29
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Restructuring Option Chain Data Sets Using Matlab
Keyword:
option chain
,
financial engineering
, and
MATLAB
Creator:
Baker, Alison M
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2010-04-29
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Exploring the optimal Transformation for Volatility
Keyword:
Empirical Bayes
,
Box-Cox transformation
,
Bayes
,
Stochastic volatility
, and
Metropolis-Hastings algorithm
Creator:
Volfson, Alexander
Advisor:
Nandram, Balgobin
Publisher:
Worcester Polytechnic Institute
Date Created:
2010-04-29
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Sample Size Determination in Auditing Accounts Receivable Using a Zero-Inflated Poisson Model
Keyword:
sample size
and
Zero-Inflated Poisson
Creator:
Pedersen, Kristen E
Advisor:
Nandram, Balgobin
Publisher:
Worcester Polytechnic Institute
Date Created:
2010-04-28
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
A Review of Linear Regression and some Basic Proofs for Lasso
Keyword:
LASSO
and
Linear regression
Creator:
He, Shiquan
Advisor:
Wu, Zheyang
Publisher:
Worcester Polytechnic Institute
Date Created:
2010-01-14
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Interdependence of US Industry Sectors Using Vector Autoregression
Keyword:
VaR
and
Interdependence
Creator:
Dutta Bordoloi, Suwodi
Advisor:
Vermes, Domokos
and
Zhao, Wanli
Publisher:
Worcester Polytechnic Institute
Date Created:
2009-10-28
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Liquidity Modeling Using Order Book Data
Keyword:
Mathematical Finance
,
Limit Order Book
, and
Liquidity
Creator:
Li, Yi
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2009-08-31
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Computational Methods in Financial Mathematics Course Project
Keyword:
monte carlo method
and
finite difference method
Creator:
lin, zhipeng
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2009-05-05
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
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2
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106
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1
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