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Blais, Marcel Y.
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Pricing Security Derivatives under the Forward Measure
Keyword:
Security
,
forward
,
derivatives
,
binomial tree
, and
measure
Creator:
Twarog, Marek B
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2007-05-30
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Portfolio Optimization, CAPM & Factor Modeling Project
Keyword:
Portfolio Optimization
and
CAPM & Factor Modeling
Creator:
Zhou, Jie
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2012-04-25
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Financial Mathematics Project
Keyword:
Capital Asset Pricing Model
,
Modern Portfolio Theory
, and
multi-factor models
Creator:
Li, Jiang
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2012-04-24
Resource Type:
Report
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
Course Summary of Computational Methods of Financial Mathematics
Keyword:
financial mathematics
,
finite difference methods
,
Computational Methods
, and
Monte Carlo
Creator:
Copp, Jessica L.
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2009-05-05
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Option Pricing Using MATLAB
Keyword:
control variates
,
GBM
,
binomial model
, and
Monte Carlo simulation
Creator:
Gu, Chenchen
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2011-04-27
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Market and Credit Risk Models and Management Report
Keyword:
Value at Risk
,
Portfolio Optimization
,
ARMA-GARCH Model
,
Expected Shortfall
, and
Risk Reduction
Creator:
Qu, Jing
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2012-05-02
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Option Pricing Using Monte Carlo Methods
Keyword:
Monte Carlo
,
American put
, and
American call
Creator:
Lu, Mengliu
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2011-04-27
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Investment Analysis: Evaluating the Loss and Risk of a Stocks and Options Portfolio
Keyword:
Value at Risk
,
Expected Shortfall
, and
Loss Distribution
Creator:
Infantino, Shanna
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2012-05-02
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Liquidity Modeling Using Order Book Data
Keyword:
Mathematical Finance
,
Limit Order Book
, and
Liquidity
Creator:
Li, Yi
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2009-08-31
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
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Baker, Alison M
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Blais, Marcel Y.
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Mathematical Sciences
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