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Vermes, Domokos
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Value at Risk Models for a Nonlinear Hedged Portfolio
Keyword:
Risk Management
,
Risk Measure
,
Value at Risk
, and
Hedging
Creator:
Liu, Guochun
Advisor:
Vermes, Domokos
Publisher:
Worcester Polytechnic Institute
Date Created:
2004-04-30
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
HISTORICAL RISK ASSESSMENT OF A BALANCED PORTFOLIO USING VALUE-AT-RISK
Keyword:
Monte Carlo Simulations
,
Value-at-risk
, and
Portfolio Risk
Creator:
Malfas, Gregory P.
Advisor:
Vermes, Domokos
Publisher:
Worcester Polytechnic Institute
Date Created:
2004-04-30
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
Transaction costs and resampling in mean-variance portfolio optimization
Keyword:
Portfolio Optimization
,
Transaction Costs
,
Resampling
, and
Mean-Variance Optimization
Creator:
Asumeng-Denteh, Emmanuel
Advisor:
Vermes, Domokos
Publisher:
Worcester Polytechnic Institute
Date Created:
2004-04-30
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
Evaluating of path-dependent securities with low discrepancy methods
Keyword:
path-dependent securities
,
Quasi- Monte Carlo
,
low-discrepancy methods
, and
variance-reduction techniques
Creator:
Krykova, Inna
Advisor:
Vermes, Domokos
Publisher:
Worcester Polytechnic Institute
Date Created:
2004-01-13
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
Risk Measurement of Mortgage-Backed Security Portfolios via Principal Components and Regression Analyses
Keyword:
Mortgage-Backed securities
,
portfolio risk decomposition
,
principal components regression
, and
principal components analysis
Creator:
Motyka, Matt
Advisor:
Vermes, Domokos
Publisher:
Worcester Polytechnic Institute
Date Created:
2003-04-29
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
Optimal Design of Gradient Fields with Applications to Electrostatics
Keyword:
gradient fields
,
optimal design
,
laminates
, and
functionally graded materials
Creator:
Velo, Ani P.
Advisor:
Lipton, Robert P.
Publisher:
Worcester Polytechnic Institute
Date Created:
2000-06-16
Resource Type:
Dissertation
Degree:
PhD
Unit (Department):
Mathematical Sciences
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Acheampong, Osman K
1
Ampadu, Ebenezer
1
Asumeng-Denteh, Emmanuel
1
Desrosiers, Mary Elizabeth
1
Dutta Bordoloi, Suwodi
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Lipton, Robert P.
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Nandram, Balgobin
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Vermes, Domokos
14
Zhao, Wanli
1
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Choi, Jai Won
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Gatsonis, Nikolaos A.
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Heinricher, Arthur C.
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Katzoff, Myron
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Unit (Department)
Mathematical Sciences
16
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Worcester Polytechnic Institute
16
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Thesis
9
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