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Roman, Luis J.
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The stochastic discount factor and the generalized method of moments
Keyword:
SDF
,
GMM
, and
CAPM
Creator:
Koci, Eni
Advisor:
Roman, Luis J.
Publisher:
Worcester Polytechnic Institute
Date Created:
2006-05-31
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
Expected Maximum Drawdowns Under Constant and Stochastic Volatility
Keyword:
maximum drawdowns
and
drawdowns
Creator:
Nouri, Suhila Lynn
Advisor:
Roman, Luis J.
Publisher:
Worcester Polytechnic Institute
Date Created:
2006-05-04
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
The Valuation of Credit Default Swaps
Keyword:
Credit Risk
,
Credit Default Swap
,
Merton model
, and
Hazard rate approach
Creator:
Diallo, Nafi C
Advisor:
Roman, Luis J.
Publisher:
Worcester Polytechnic Institute
Date Created:
2006-01-11
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
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Koci, Eni
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Roman, Luis J.
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Contributor
Roman, Luis J.
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Mathematical Sciences
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Worcester Polytechnic Institute
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