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Filtering by: Advisor Roman, Luis J. Unit (Department) Mathematical Sciences

The stochastic discount factor and the generalized method of moments

Keyword:

SDF, GMM, and CAPM

Creator:

Koci, Eni

Advisor:

Roman, Luis J.

Publisher:

Worcester Polytechnic Institute

Date Created:

2006-05-31

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences
Expected Maximum Drawdowns Under Constant and Stochastic Volatility

Keyword:

maximum drawdowns and drawdowns

Creator:

Nouri, Suhila Lynn

Advisor:

Roman, Luis J.

Publisher:

Worcester Polytechnic Institute

Date Created:

2006-05-04

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences
The Valuation of Credit Default Swaps

Keyword:

Credit Risk, Credit Default Swap, Merton model, and Hazard rate approach

Creator:

Diallo, Nafi C

Advisor:

Roman, Luis J.

Publisher:

Worcester Polytechnic Institute

Date Created:

2006-01-11

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences