Skip to Content
Toggle navigation
Inicio
Browse
Browse by Collection
Browse by Project Center
Browse Exhibits
About
About Us
Help
Iniciar sesión
Explore, Discover, Share
Ir
Advanced search
Buscar
Borrar filtros
Filtrado por:
Contributor
Sturm, Stephan
Eliminar la restricciónContributor: Sturm, Stephan
1
-
10
de
10
Ordenar por relevance
relevance
date uploaded ▼
date uploaded ▲
date modified ▼
date modified ▲
El número de resultados a mostrar por página
10 por página
10
por página
20
por página
50
por página
100
por página
Ver Resultados por:
Lista
Gallery
Masonry
Slideshow
Download search results to .CSV file
Resultados de la búsqueda
Add to Category
Remove From Category
Stochastic Analysis of Mean-Field Games, Portfolio Optimization and Low-Rank Matrix Approximation
Palabra clave:
Low-Rank Matrix Approximation
,
Portfolio Optimization
,
Mean-Field Games
, and
Stochastic Analysis
Creador:
Lai, Peiyao
Advisor:
Mangoubi, Oren Rami
Editor:
Worcester Polytechnic Institute
Fecha de Creacion:
2024-04-23
Resource Type:
Dissertation
Degree:
PhD
Unit (Department):
Mathematical Sciences
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
Toggle facets
Limite su búsqueda
Collections
PhD Dissertations
5
Masters Theses
4
Masters Reports
1
Year
Year range begin
–
Year range end
Current results range from
2013
to
2024
View distribution
Creador
Andrei, Mihnea Stefan
1
Geng, Jun
1
Hu, Junling
1
Lai, Peiyao
1
Min, Ming
1
más
Creadors
»
Advisor
Lai, Lifeng
1
Mangoubi, Oren Rami
1
Sturm, Stephan
8
Wang, Gu
1
Contributor
Blais, Marcel Y.
1
Brown D. Richard, III
1
Capponi, Agostino
1
Cialenco, Igor
1
Lai, Lifeng
1
más
Contributors
»
Unit (Department)
Electrical & Computer Engineering
1
Mathematical Sciences
9
Editor
Worcester Polytechnic Institute
10
UN SDG
Not Specified
1
Tipo de recurso
Dissertation
5
Thesis
4
Report
1