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Filtering by: Contributor Blais, Marcel Y. Remove constraint Contributor: Blais, Marcel Y. Unit (Department) Mathematical Sciences Remove constraint Unit (Department): Mathematical Sciences

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Price Impact in the VIX Futures Market and Mean-Field Games in two Order Books

Keyword:

S&P500, VIX, ETFs, Price impact, ETNs, and VIX futures

Creator:

Santawisook, Patchara

Advisor:

Sturm, Stephan

Publisher:

Worcester Polytechnic Institute

Date Created:

2022-12-07

Resource Type:

Dissertation

Degree:

PhD

Unit (Department):

Mathematical Sciences
Portfolio Construction Using Principle Component Analysis

Keyword:

Principle Component Analysis

Creator:

Chen, Huanting

Advisor:

Blais, Marcel Y.

Publisher:

Worcester Polytechnic Institute

Date Created:

2014-08-06

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences
Modeling Volatility Derivatives

Keyword:

Modeling Volatility Derivatives

Creator:

Carr, Justin P

Advisor:

Blais, Marcel Y.

Publisher:

Worcester Polytechnic Institute

Date Created:

2011-12-16

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences
Pricing Options with Monte Carlo and Binomial Tree Methods

Keyword:

The Monte Carlo Methods

Creator:

Sun, Xihao

Advisor:

Blais, Marcel Y.

Publisher:

Worcester Polytechnic Institute

Date Created:

2011-05-03

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences
Option Pricing Using Monte Carlo Methods

Keyword:

GBM.Monte Carlo

Creator:

Wang, Junxiong

Advisor:

Blais, Marcel Y.

Publisher:

Worcester Polytechnic Institute

Date Created:

2011-04-26

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences
Computational Methods for Option Pricing

Keyword:

Monte Carlo GBM

Creator:

Fei, Bingxin

Advisor:

Blais, Marcel Y.

Publisher:

Worcester Polytechnic Institute

Date Created:

2011-04-27

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences
Identifying and Evaluating Early Stage Fintech Companies: Working with Consumer Internet Data and Analytic Tools

Keyword:

fintech, data analytics, data science, big data, Algorithm, Vestigo Ventures, Cogo Labs, and financial math

Creator:

Shoop, Alexander

Advisor:

Blais, Marcel Y.

Publisher:

Worcester Polytechnic Institute

Date Created:

2018-01-24

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences
Identifying and Evaluating Early Stage Fintech Companies: Working with Consumer Internet Data and Analytic Tools

Keyword:

Vestigo Ventures, big data, data science, fintech, Vestigo, Cogo Labs, financial math, data analytics, Cogo, and Algorithm

Creator:

Dymov, Khasan

Advisor:

Blais, Marcel Y.

Publisher:

Worcester Polytechnic Institute

Date Created:

2018-01-24

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences
Quantitative Risk Assessment for Residential Mortgages

Keyword:

home energy efficiency, regression, mortgage default risk, peer-to-peer, and loan lenders

Creator:

Ren, Qingyun

Advisor:

Blais, Marcel Y.

Publisher:

Worcester Polytechnic Institute

Date Created:

2017-05-01

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences
A Forex Trading System Using Evolutionary Reinforcement Learning

Keyword:

Algorithmic Trading, Machine Learning, Genetic Algorithms, Reinforcement Learning, and Foreign Exchange

Creator:

Song, Yupu

Advisor:

Blais, Marcel Y.

Publisher:

Worcester Polytechnic Institute

Date Created:

2017-05-01

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences

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Creator

Baker, Alison M1
Carr, Justin P1
Chen, Huanting1
Copp, Jessica L.1
Dang, Zhe1
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Blais, Marcel Y.37
Sturm, Stephan1

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Blais, Marcel Y.[remove]38
Osterrieder, Jörg1
Papanicolaou, Andrew1
Song, Qingshuo1
Sturm, Stephan1
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Unit (Department)

Mathematical Sciences[remove]38

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Worcester Polytechnic Institute38

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Report31
Thesis6
Dissertation1

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