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1.
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
2.
Efficient Pricing of an Asian Put Option Using Stiff ODE Methods
Keyword:
option
,
differential equation
,
stiff
, and
financial mathematics
Creator:
LeRay, David
Advisor:
Walker, Homer F.
Publisher:
Worcester Polytechnic Institute
Date Created:
2007-05-09
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
3.
Predictor Selection in Linear Regression: L1 regularization of a subset of parameters and Comparison of L1 regularization and stepwise selection
Keyword:
Feature Selection
,
Covariate selection
,
LASSO
, and
L1 regularization
Creator:
Hu, Qing
Advisor:
Kim, Ryung S.
Publisher:
Worcester Polytechnic Institute
Date Created:
2007-05-11
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
4.
Pricing Security Derivatives under the Forward Measure
Keyword:
Security
,
forward
,
derivatives
,
binomial tree
, and
measure
Creator:
Twarog, Marek B
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2007-05-30
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
5.
Development of a Statistical Model for NPN Bipolar Transistor Mismatch
Keyword:
statistical model
,
bipolar transistor
, and
mismatch
Creator:
Lamontagne, Maurice
Advisor:
Wilbur, Jayson D.
Publisher:
Worcester Polytechnic Institute
Date Created:
2007-05-30
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
6.
A Parallel Implementation of an Agent-Based Brain Tumor Model
Keyword:
High-performance computing
,
Scientific computation
,
Computational biology
,
Visualization
, and
Numerical analysis
Creator:
Skjerven, Brian M.
Advisor:
Walker, Homer F.
Publisher:
Worcester Polytechnic Institute
Date Created:
2007-06-05
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
7.
Sample comparisons using microarrays: - Application of False Discovery Rate and quadratic logistic regression
Keyword:
FDR
,
Logistic regression
, and
Microarry
Creator:
Guo, Ruijuan
Advisor:
Kim, Ryung S.
Publisher:
Worcester Polytechnic Institute
Date Created:
2008-01-08
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
8.
Pricing of Multi-Name Credit Derivatives Using Copulas
Keyword:
first-to-default baskets
,
multi-name credit derivatives
, and
copula functions
Creator:
Liu, Xinjia
Advisor:
Vermes, Domokos
Publisher:
Worcester Polytechnic Institute
Date Created:
2008-01-08
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
9.
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
10.
Predicting Hearing Loss Using Auditory Steady-State Responses
Keyword:
Mixed Model
,
Repeated Measures Model
,
ASSR
,
PTA
,
EM algorithm
, and
Mixture Model
Creator:
li, yiwen
Advisor:
Petruccelli, Joseph D.
Publisher:
Worcester Polytechnic Institute
Date Created:
2009-01-14
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
11.
Study of Structural Equation Models and their Application to Fitchburg Middle School Data
Keyword:
path diagrams
,
Factor Analysis
, and
structural equation models
Creator:
Legare, Jonathan Charles
Advisor:
Kim, Ryung S.
Publisher:
Worcester Polytechnic Institute
Date Created:
2009-01-15
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
12.
Graph Decompositions and Monadic Second Order Logic
Keyword:
clique width
,
Graph Theory
,
logic
, and
tree decompositions
Creator:
Adler, Jonathan D
Advisor:
Dougherty, Daniel J.
and
Martin, William J.
Publisher:
Worcester Polytechnic Institute
Date Created:
2009-04-27
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
13.
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
14.
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
15.
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
16.
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
17.
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
18.
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
19.
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
20.
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
21.
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
22.
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
23.
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
24.
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
25.
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
26.
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
27.
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
28.
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
29.
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
30.
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
31.
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
32.
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
33.
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
34.
Portfolio Optimization, CAPM & Factor Modeling Project Report
Keyword:
Modern Portfolio Theory
,
Factor Model
,
French and Fama Model
, and
CAPM
Creator:
Xu, Chenghao
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2012-04-23
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
35.
Designing and Constructing an Animatronic Head Capable of Human Motion Programmed using Face-Tracking Software
Keyword:
RAPU
,
Visual Show Automation
,
animatronics
,
Robotics
, and
face-tracking
Creator:
Fitzpatrick, Robert J
Advisor:
Chernova, Sonia
Publisher:
Worcester Polytechnic Institute
Date Created:
2012-05-01
Resource Type:
Report
Degree:
MS
Unit (Department):
Robotics Engineering
36.
The Portfolio Optimization Project
Keyword:
CAPM
and
optimal portfolio
Creator:
Gao, Panwen
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2012-04-25
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
37.
The Portfolio Optimization Project
Keyword:
Factor Model
,
CAPM
, and
optimal portfolio
Creator:
Zhuang, Ziyi
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2012-04-25
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
38.
Investment Analysis: Evaluating the Loss and Risk of a Stocks and Options Portfolio
Keyword:
Value at Risk
,
Expected Shortfall
, and
Loss Distribution
Creator:
Infantino, Shanna
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2012-05-02
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
39.
Investment Analysis: Evaluating the Loss and Risk of a Stocks and Options Portfolio
Keyword:
Expected Shortfall
,
Loss Distribution
, and
Value at Risk
Creator:
Shah, Azuri
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2012-05-02
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
40.
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
41.
Risk Management Project
Keyword:
BIC
,
Expected Shortfall
,
AIC
,
Portfolio Optimization
,
Chi-square test
,
ARMA-GARCH
,
Value-at-risk
, and
Risk Management
Creator:
Yan, Lu
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2012-05-02
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
42.
Market and Credit Risk Models and Management Report
Keyword:
Value at Risk
,
Portfolio Optimization
,
ARMA-GARCH Model
,
Expected Shortfall
, and
Risk Reduction
Creator:
Qu, Jing
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2012-05-02
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
43.
Course Summary of Computational Methods of Financial Mathematics
Keyword:
financial mathematics
,
finite difference methods
,
Computational Methods
, and
Monte Carlo
Creator:
Copp, Jessica L.
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2009-05-05
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
44.
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
45.
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
46.
Leveraging User Testing to Address Learnability Issues for Teachers Using ASSISTments
Keyword:
A/B Testing
,
assistments
,
user interface
,
usability
,
controlled experiment
, and
User Testing
Creator:
Bodah, Joshua
Advisor:
Heffernan, Neil
Publisher:
Worcester Polytechnic Institute
Date Created:
2013-04-19
Resource Type:
Report
Degree:
MS
Unit (Department):
Computer Science
47.
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
48.
The EM Algorithm in Multivariate Gaussian Mixture Models using Anderson Acceleration
Keyword:
EM algorithm
and
Anderson acceleration
Creator:
Plasse, Joshua H
Advisor:
Walker, Homer F.
Publisher:
Worcester Polytechnic Institute
Date Created:
2013-04-25
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
49.
The Effects of a Navier-Slip Boundary Condition on the Flow of Two Immiscible Fluids in a Microchannel
Keyword:
lubrication analysis
,
laminar fluid flow
, and
linear stability
Creator:
Fisher, Charles Edward
Advisor:
Tilley, Burt S.
Publisher:
Worcester Polytechnic Institute
Date Created:
2013-04-25
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
50.
A Goodness-of-fit Association Test for Whole Genome Sequencing Data
Keyword:
genotype
,
GOFT
, and
SKAT
Creator:
Yang, Li
Advisor:
Wu, Zheyang
Publisher:
Worcester Polytechnic Institute
Date Created:
2013-04-25
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
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