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Sturm, Stephan
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Resultados de la búsqueda
Price Impact in the VIX Futures Market and Mean-Field Games in two Order Books
Palabra clave:
S&P500
,
VIX
,
ETFs
,
Price impact
,
ETNs
, and
VIX futures
Creador:
Santawisook, Patchara
Advisor:
Sturm, Stephan
Editor:
Worcester Polytechnic Institute
Fecha de Creacion:
2022-12-07
Resource Type:
Dissertation
Degree:
PhD
Unit (Department):
Mathematical Sciences
Stochastic Controls in Competitions and Mean Field Games
Palabra clave:
Mutual Funds
,
Mean Field Games
,
Game Theory
,
Nash Equilibrium
,
Tax
, and
Stochastic Controls
Creador:
Ye, Jiaxuan
Advisor:
Sturm, Stephan
and
Wang, Gu
Editor:
Worcester Polytechnic Institute
Fecha de Creacion:
2022-04-26
Resource Type:
Dissertation
Degree:
PhD
Unit (Department):
Mathematical Sciences
In the Wake of the Financial Crisis - Regulators' and Investors' Perspectives
Palabra clave:
financial crisis
,
contagion
,
systemic risk
,
backward stochastic differential equations
,
value adjustments
,
interbank networks
,
Eisenberg–Noe clearing vector
,
option pricing
,
arbitrage pricing
, and
sensitivity analysis
Creador:
Pang, Weijie
Advisor:
Sturm, Stephan
Editor:
Worcester Polytechnic Institute
Fecha de Creacion:
2019-04-23
Resource Type:
Dissertation
Degree:
PhD
Unit (Department):
Mathematical Sciences
Numerical Methods for European Option Pricing with BSDEs
Palabra clave:
FT scheme
,
XVA
,
Linear Regression Monte Carlo method
, and
BSDE
Creador:
Min, Ming
Advisor:
Sturm, Stephan
Editor:
Worcester Polytechnic Institute
Fecha de Creacion:
2018-04-24
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
Arbitrage-Free Pricing of XVA for American Options in Discrete Time
Palabra clave:
funding spread
,
XVA
,
American option
,
counterpart credit risk
, and
no-arbitrage
Creador:
Zhou, Tingwen
Advisor:
Sturm, Stephan
Editor:
Worcester Polytechnic Institute
Fecha de Creacion:
2017-04-26
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
Implied Volatility and Extracted Risk Neutral Density of VIX Options during the Crisis and Relatively Calm Periods
Palabra clave:
VIX
,
VIX futures
, and
Implied volatility
Creador:
Santawisook, Patchara
Advisor:
Sturm, Stephan
Editor:
Worcester Polytechnic Institute
Fecha de Creacion:
2015-04-30
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
Quickest Change-Point Detection with Sampling Right Constraints
Palabra clave:
Sequential Analysis
,
Quikckest Detection
, and
Samping Right Constraint
Creador:
Geng, Jun
Advisor:
Lai, Lifeng
Editor:
Worcester Polytechnic Institute
Fecha de Creacion:
2015-01-03
Resource Type:
Dissertation
Degree:
PhD
Unit (Department):
Electrical & Computer Engineering
A discrete model for the default risk of inter-banking networks
Palabra clave:
contagion
,
Networks
,
default
, and
banking system
Creador:
Andrei, Mihnea Stefan
Advisor:
Sturm, Stephan
Editor:
Worcester Polytechnic Institute
Fecha de Creacion:
2014-05-01
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
Barrier Option Pricing under SABR Model Using Monte Carlo Methods
Palabra clave:
SABR
,
Black-Scholes
,
Monte Carlo
, and
Barrier Option
Creador:
Hu, Junling
Advisor:
Sturm, Stephan
Editor:
Worcester Polytechnic Institute
Fecha de Creacion:
2013-05-02
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
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Andrei, Mihnea Stefan
1
Geng, Jun
1
Hu, Junling
1
Min, Ming
1
Pang, Weijie
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1
Sturm, Stephan
8
Wang, Gu
1
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Blais, Marcel Y.
1
Brown D. Richard, III
1
Capponi, Agostino
1
Cialenco, Igor
1
Lai, Lifeng
1
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Unit (Department)
Electrical & Computer Engineering
1
Mathematical Sciences
8
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Worcester Polytechnic Institute
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