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Sturm, Stephan
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Numerical Methods for European Option Pricing with BSDEs
Keyword:
FT scheme
,
XVA
,
Linear Regression Monte Carlo method
, and
BSDE
Creator:
Min, Ming
Advisor:
Sturm, Stephan
Publisher:
Worcester Polytechnic Institute
Date Created:
2018-04-24
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
Arbitrage-Free Pricing of XVA for American Options in Discrete Time
Keyword:
funding spread
,
XVA
,
American option
,
counterpart credit risk
, and
no-arbitrage
Creator:
Zhou, Tingwen
Advisor:
Sturm, Stephan
Publisher:
Worcester Polytechnic Institute
Date Created:
2017-04-26
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
Implied Volatility and Extracted Risk Neutral Density of VIX Options during the Crisis and Relatively Calm Periods
Keyword:
VIX
,
VIX futures
, and
Implied volatility
Creator:
Santawisook, Patchara
Advisor:
Sturm, Stephan
Publisher:
Worcester Polytechnic Institute
Date Created:
2015-04-30
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
A discrete model for the default risk of inter-banking networks
Keyword:
contagion
,
Networks
,
default
, and
banking system
Creator:
Andrei, Mihnea Stefan
Advisor:
Sturm, Stephan
Publisher:
Worcester Polytechnic Institute
Date Created:
2014-05-01
Resource Type:
Thesis
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
Stochastic Controls in Competitions and Mean Field Games
Keyword:
Mutual Funds
,
Mean Field Games
,
Game Theory
,
Nash Equilibrium
,
Tax
, and
Stochastic Controls
Creator:
Ye, Jiaxuan
Advisor:
Sturm, Stephan
and
Wang, Gu
Publisher:
Worcester Polytechnic Institute
Date Created:
2022-04-26
Resource Type:
Dissertation
Degree:
PhD
Unit (Department):
Mathematical Sciences
In the Wake of the Financial Crisis - Regulators' and Investors' Perspectives
Keyword:
financial crisis
,
contagion
,
systemic risk
,
backward stochastic differential equations
,
value adjustments
,
interbank networks
,
Eisenberg–Noe clearing vector
,
option pricing
,
arbitrage pricing
, and
sensitivity analysis
Creator:
Pang, Weijie
Advisor:
Sturm, Stephan
Publisher:
Worcester Polytechnic Institute
Date Created:
2019-04-23
Resource Type:
Dissertation
Degree:
PhD
Unit (Department):
Mathematical Sciences
Quickest Change-Point Detection with Sampling Right Constraints
Keyword:
Sequential Analysis
,
Quikckest Detection
, and
Samping Right Constraint
Creator:
Geng, Jun
Advisor:
Lai, Lifeng
Publisher:
Worcester Polytechnic Institute
Date Created:
2015-01-03
Resource Type:
Dissertation
Degree:
PhD
Unit (Department):
Electrical & Computer Engineering
Stochastic Analysis of Mean-Field Games, Portfolio Optimization and Low-Rank Matrix Approximation
Keyword:
Low-Rank Matrix Approximation
,
Portfolio Optimization
,
Mean-Field Games
, and
Stochastic Analysis
Creator:
Lai, Peiyao
Advisor:
Mangoubi, Oren Rami
Publisher:
Worcester Polytechnic Institute
Date Created:
2024-04-23
Resource Type:
Dissertation
Degree:
PhD
Unit (Department):
Mathematical Sciences
Price Impact in the VIX Futures Market and Mean-Field Games in two Order Books
Keyword:
S&P500
,
VIX
,
ETFs
,
Price impact
,
ETNs
, and
VIX futures
Creator:
Santawisook, Patchara
Advisor:
Sturm, Stephan
Publisher:
Worcester Polytechnic Institute
Date Created:
2022-12-07
Resource Type:
Dissertation
Degree:
PhD
Unit (Department):
Mathematical Sciences
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PhD Dissertations
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1
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