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Filtering by: Advisor Vermes, Domokos Unit (Department) Mathematical Sciences

Pricing Mortgage-Backed Securities using Prepayment Functions and Pathwise Monte Carlo...

Valuation of Mortgage Backed Securities with Prepayment using BDT Model and Monte Carl...

Risk Measures Extracted from Option Market Data Using Massively Parallel Computing

Organization & Analysis of Stock Option Market Data

Interdependence of US Industry Sectors Using Vector Autoregression

Pricing of Multi-Name Credit Derivatives Using Copulas

Implementation of Some Finite Difference Methods for the Pricing of Derivatives using ...

Portfolio Optimization Based on Robust Estimation Procedures

Prices of Credit Default Swaps and the Term Structure of Credit Risk

Value at Risk Models for a Nonlinear Hedged Portfolio