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Filtering by: Contributor Blais, Marcel Y. Remove constraint Contributor: Blais, Marcel Y. Collections Masters Theses Remove constraint Collections: Masters Theses

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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
Risk Analysis for Corporate Bond Portfolios

Keyword:

Fama-French multi-factor model, Value at Risk, Credit Risk, liquidity risk, and market risk

Creator:

Zhao, Yunfeng

Advisor:

Blais, Marcel Y.

Publisher:

Worcester Polytechnic Institute

Date Created:

2013-05-02

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences
Risk Analysis for Corporate Bond Portfolios

Keyword:

Credit Risk, Fama-French multi-factor model, Value at Risk, liquidity risk, and market risk

Creator:

Jiang, Qizhong

Advisor:

Blais, Marcel Y.

Publisher:

Worcester Polytechnic Institute

Date Created:

2013-05-02

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences
Markowitz-style Quartic Optimization for the Improvement of Leveraged ETF Trading

Keyword:

Markowitz, volatility, tracking error, trading, leveraged ETF, Optimization, and momentum trading

Creator:

DeWeese, Jackson Paul

Advisor:

Blais, Marcel Y.

Publisher:

Worcester Polytechnic Institute

Date Created:

2013-04-25

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences
Pricing American Options on Leveraged Exchange Traded Funds in the Binomial Pricing Model

Keyword:

Leveraged Exchange Traded Funds, American Options, and Binomial Pricing Model

Creator:

Wolf, Diana Holmes

Advisor:

Blais, Marcel Y.

Publisher:

Worcester Polytechnic Institute

Date Created:

2011-05-04

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences
Explorations of Trading Strategies for Leveraged Exchange-Traded Funds

Keyword:

ETF, FAS, Bootstrap, leverage, FAZ, and exchange-traded fund

Creator:

Posterro, Barry John

Advisor:

Blais, Marcel Y.

Publisher:

Worcester Polytechnic Institute

Date Created:

2009-11-16

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences

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Creator

Carr, Justin P1
DeWeese, Jackson Paul1
Jiang, Qizhong1
Posterro, Barry John1
Wolf, Diana Holmes1
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Advisor

Blais, Marcel Y.6

Contributor

Blais, Marcel Y.[remove]6

Unit (Department)

Mathematical Sciences6

Publisher

Worcester Polytechnic Institute6

Resource type

Thesis6

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