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Filtering by: Advisor Vermes, Domokos

1. Evaluation Bench for Portfolio Optimization

Creator:: Holban, Emilia Daniela
Advisor:: Vermes, Domokos
Publisher:: Worcester Polytechnic Institute
Date Created:: 2008-04-24
Resource Type:: Major Qualifying Project

2. 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

3. 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

4. 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

5. 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

6. 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

7. 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

8. 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

9. 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

10. 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