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- Keyword:
- financial crisis, contagion, systemic risk, backward stochastic differential equations, value adjustments, interbank networks, Eisenberg–Noe clearing vector, option pricing, arbitrage pricing, and sensitivity analysis
- Creator:
- Pang, Weijie
- Advisor:
- Sturm, Stephan
- Publisher:
- Worcester Polytechnic Institute
- Date Created:
- 2019-04-23
- Resource Type:
- Dissertation
- Degree:
- PhD
- Unit (Department):
- Mathematical Sciences
