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Filtrage par: Contributor Roman, Luis J.

The stochastic discount factor and the generalized method of moments

Mot-clé:

SDF, GMM, and CAPM

Créateur:

Koci, Eni

Advisor:

Roman, Luis J.

Éditeur:

Worcester Polytechnic Institute

date créée:

2006-05-31

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences
Expected Maximum Drawdowns Under Constant and Stochastic Volatility

Mot-clé:

maximum drawdowns and drawdowns

Créateur:

Nouri, Suhila Lynn

Advisor:

Roman, Luis J.

Éditeur:

Worcester Polytechnic Institute

date créée:

2006-05-04

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences
The Valuation of Credit Default Swaps

Mot-clé:

Credit Risk, Credit Default Swap, Merton model, and Hazard rate approach

Créateur:

Diallo, Nafi C

Advisor:

Roman, Luis J.

Éditeur:

Worcester Polytechnic Institute

date créée:

2006-01-11

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences