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Blais, Marcel Y.
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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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Baker, Alison M
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Chen, Huanting
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Blais, Marcel Y.
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Sturm, Stephan
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Blais, Marcel Y.
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38
Osterrieder, Jörg
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Papanicolaou, Andrew
1
Song, Qingshuo
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Sturm, Stephan
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Unit (Department)
Mathematical Sciences
38
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Worcester Polytechnic Institute
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1