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Vermes, Domokos
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Pricing Mortgage-Backed Securities using Prepayment Functions and Pathwise Monte Carlo Simulation.
Keyword:
Mortgage-Backed securities
Creator:
Acheampong, Osman K
Advisor:
Vermes, Domokos
Publisher:
Worcester Polytechnic Institute
Date Created:
2003-04-30
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
Valuation of Mortgage Backed Securities with Prepayment using BDT Model and Monte Carlo Methods
Keyword:
Monte Carlo mthoed
,
mortgage backed securities
, and
BDT model
Creator:
Tang, Yuxiao
Advisor:
Vermes, Domokos
Publisher:
Worcester Polytechnic Institute
Date Created:
2015-04-30
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
Risk Measures Extracted from Option Market Data Using Massively Parallel Computing
Keyword:
Financial risk management
,
Massively parallel GPU comtuing
,
Stochastic volatility model
, and
Black-Scholes Formula
Creator:
Zhao, Min
Advisor:
Vermes, Domokos
Publisher:
Worcester Polytechnic Institute
Date Created:
2011-04-27
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Organization & Analysis of Stock Option Market Data
Keyword:
Implied volatility
and
volatility smile
Creator:
Zhang, Jun
Advisor:
Vermes, Domokos
Publisher:
Worcester Polytechnic Institute
Date Created:
2011-01-08
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Bayesian Predictive Inference and Multivariate Benchmarking for Small Area Means
Keyword:
bayesian predictive inference
,
benchmarking
,
Small Area Estimation
, and
multivariate
Creator:
Toto, Ma. Criselda Santos
Advisor:
Nandram, Balgobin
Publisher:
Worcester Polytechnic Institute
Date Created:
2010-04-20
Resource Type:
Dissertation
Degree:
PhD
Unit (Department):
Mathematical Sciences
Interdependence of US Industry Sectors Using Vector Autoregression
Keyword:
VaR
and
Interdependence
Creator:
Dutta Bordoloi, Suwodi
Advisor:
Vermes, Domokos
and
Zhao, Wanli
Publisher:
Worcester Polytechnic Institute
Date Created:
2009-10-28
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Pricing of Multi-Name Credit Derivatives Using Copulas
Keyword:
first-to-default baskets
,
multi-name credit derivatives
, and
copula functions
Creator:
Liu, Xinjia
Advisor:
Vermes, Domokos
Publisher:
Worcester Polytechnic Institute
Date Created:
2008-01-08
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Implementation of Some Finite Difference Methods for the Pricing of Derivatives using C++ Programming.
Keyword:
Pricing
,
Finite
,
C++
, and
Finite Difference
Creator:
Ampadu, Ebenezer
Advisor:
Vermes, Domokos
Publisher:
Worcester Polytechnic Institute
Date Created:
2007-05-18
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
Portfolio Optimization Based on Robust Estimation Procedures
Keyword:
Portfolio Optimization
and
robust estimation
Creator:
Gao, Weiguo
Advisor:
Vermes, Domokos
Publisher:
Worcester Polytechnic Institute
Date Created:
2004-04-30
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
Prices of Credit Default Swaps and the Term Structure of Credit Risk
Keyword:
Credit Default Swaps
and
Credit Risk
Creator:
Desrosiers, Mary Elizabeth
Advisor:
Vermes, Domokos
Publisher:
Worcester Polytechnic Institute
Date Created:
2007-05-01
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
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Unit (Department)
Mathematical Sciences
16
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Worcester Polytechnic Institute
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