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Filtering by: Advisor Vermes, Domokos Collections Masters Reports

Risk Measures Extracted from Option Market Data Using Massively Parallel Computing

Keyword:

Financial risk management, Massively parallel GPU comtuing, Stochastic volatility model, and Black-Scholes Formula

Creator:

Zhao, Min

Advisor:

Vermes, Domokos

Publisher:

Worcester Polytechnic Institute

Date Created:

2011-04-27

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences
Organization & Analysis of Stock Option Market Data

Keyword:

Implied volatility and volatility smile

Creator:

Zhang, Jun

Advisor:

Vermes, Domokos

Publisher:

Worcester Polytechnic Institute

Date Created:

2011-01-08

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences
Interdependence of US Industry Sectors Using Vector Autoregression

Keyword:

VaR and Interdependence

Creator:

Dutta Bordoloi, Suwodi

Advisor:

Vermes, Domokos and Zhao, Wanli

Publisher:

Worcester Polytechnic Institute

Date Created:

2009-10-28

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences
Pricing of Multi-Name Credit Derivatives Using Copulas

Keyword:

first-to-default baskets, multi-name credit derivatives, and copula functions

Creator:

Liu, Xinjia

Advisor:

Vermes, Domokos

Publisher:

Worcester Polytechnic Institute

Date Created:

2008-01-08

Resource Type:

Report

Degree:

MS

Unit (Department):

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

Keyword:

Credit Default Swaps and Credit Risk

Creator:

Desrosiers, Mary Elizabeth

Advisor:

Vermes, Domokos

Publisher:

Worcester Polytechnic Institute

Date Created:

2007-05-01

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences