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Blais, Marcel Y.
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31.
A Forex Trading System Using Evolutionary Reinforcement Learning
Keyword:
Algorithmic Trading
,
Machine Learning
,
Genetic Algorithms
,
Reinforcement Learning
, and
Foreign Exchange
Creator:
Song, Yupu
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2017-05-01
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
32.
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
33.
Option Pricing Using MATLAB
Keyword:
control variates
,
GBM
,
binomial model
, and
Monte Carlo simulation
Creator:
Gu, Chenchen
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2011-04-27
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
34.
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
35.
Risk Analysis for Corporate Bond Portfolios
Keyword:
Fama-French multi-factor model
,
Value at Risk
,
Credit Risk
,
liquidity risk
, and
market risk
Creator:
Zhao, Yunfeng
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2013-05-02
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
36.
Risk Analysis for Corporate Bond Portfolios
Keyword:
Credit Risk
,
Fama-French multi-factor model
,
Value at Risk
,
liquidity risk
, and
market risk
Creator:
Jiang, Qizhong
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2013-05-02
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
37.
Markowitz-style Quartic Optimization for the Improvement of Leveraged ETF Trading
Keyword:
Markowitz
,
volatility
,
tracking error
,
trading
,
leveraged ETF
,
Optimization
, and
momentum trading
Creator:
DeWeese, Jackson Paul
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2013-04-25
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
38.
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
39.
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
40.
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
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Blais, Marcel Y.
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Blais, Marcel Y.
37
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