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Filtering by: Advisor Vermes, Domokos Remove constraint Advisor: Vermes, Domokos Collections Masters Theses Remove constraint Collections: Masters Theses

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

Keyword:

Mortgage-Backed securities

Creator:

Acheampong, Osman K

Advisor:

Vermes, Domokos

Publisher:

Worcester Polytechnic Institute

Date Created:

2003-04-30

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences
Valuation of Mortgage Backed Securities with Prepayment using BDT Model and Monte Carlo Methods

Keyword:

Monte Carlo mthoed, mortgage backed securities, and BDT model

Creator:

Tang, Yuxiao

Advisor:

Vermes, Domokos

Publisher:

Worcester Polytechnic Institute

Date Created:

2015-04-30

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences
Implementation of Some Finite Difference Methods for the Pricing of Derivatives using C++ Programming.

Keyword:

Pricing, Finite, C++, and Finite Difference

Creator:

Ampadu, Ebenezer

Advisor:

Vermes, Domokos

Publisher:

Worcester Polytechnic Institute

Date Created:

2007-05-18

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences
Portfolio Optimization Based on Robust Estimation Procedures

Keyword:

Portfolio Optimization and robust estimation

Creator:

Gao, Weiguo

Advisor:

Vermes, Domokos

Publisher:

Worcester Polytechnic Institute

Date Created:

2004-04-30

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences
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

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Acheampong, Osman K1
Ampadu, Ebenezer1
Asumeng-Denteh, Emmanuel1
Gao, Weiguo1
Krykova, Inna1
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Vermes, Domokos[remove]9

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Vermes, Domokos9

Unit (Department)

Mathematical Sciences9

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Worcester Polytechnic Institute9

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Thesis9

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