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Vermes, Domokos
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Pricing Mortgage-Backed Securities using Prepayment Functions and Pathwise Monte Carlo Simulation.
Parola chiave:
Mortgage-Backed securities
Creatore:
Acheampong, Osman K
Advisor:
Vermes, Domokos
Editore:
Worcester Polytechnic Institute
data di creazione:
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
Parola chiave:
Monte Carlo mthoed
,
mortgage backed securities
, and
BDT model
Creatore:
Tang, Yuxiao
Advisor:
Vermes, Domokos
Editore:
Worcester Polytechnic Institute
data di creazione:
2015-04-30
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
Risk Measures Extracted from Option Market Data Using Massively Parallel Computing
Parola chiave:
Financial risk management
,
Massively parallel GPU comtuing
,
Stochastic volatility model
, and
Black-Scholes Formula
Creatore:
Zhao, Min
Advisor:
Vermes, Domokos
Editore:
Worcester Polytechnic Institute
data di creazione:
2011-04-27
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Organization & Analysis of Stock Option Market Data
Parola chiave:
Implied volatility
and
volatility smile
Creatore:
Zhang, Jun
Advisor:
Vermes, Domokos
Editore:
Worcester Polytechnic Institute
data di creazione:
2011-01-08
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Bayesian Predictive Inference and Multivariate Benchmarking for Small Area Means
Parola chiave:
bayesian predictive inference
,
benchmarking
,
Small Area Estimation
, and
multivariate
Creatore:
Toto, Ma. Criselda Santos
Advisor:
Nandram, Balgobin
Editore:
Worcester Polytechnic Institute
data di creazione:
2010-04-20
Resource Type:
Dissertation
Degree:
PhD
Unit (Department):
Mathematical Sciences
Interdependence of US Industry Sectors Using Vector Autoregression
Parola chiave:
VaR
and
Interdependence
Creatore:
Dutta Bordoloi, Suwodi
Advisor:
Vermes, Domokos
and
Zhao, Wanli
Editore:
Worcester Polytechnic Institute
data di creazione:
2009-10-28
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Pricing of Multi-Name Credit Derivatives Using Copulas
Parola chiave:
first-to-default baskets
,
multi-name credit derivatives
, and
copula functions
Creatore:
Liu, Xinjia
Advisor:
Vermes, Domokos
Editore:
Worcester Polytechnic Institute
data di creazione:
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.
Parola chiave:
Pricing
,
Finite
,
C++
, and
Finite Difference
Creatore:
Ampadu, Ebenezer
Advisor:
Vermes, Domokos
Editore:
Worcester Polytechnic Institute
data di creazione:
2007-05-18
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
Portfolio Optimization Based on Robust Estimation Procedures
Parola chiave:
Portfolio Optimization
and
robust estimation
Creatore:
Gao, Weiguo
Advisor:
Vermes, Domokos
Editore:
Worcester Polytechnic Institute
data di creazione:
2004-04-30
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
Prices of Credit Default Swaps and the Term Structure of Credit Risk
Parola chiave:
Credit Default Swaps
and
Credit Risk
Creatore:
Desrosiers, Mary Elizabeth
Advisor:
Vermes, Domokos
Editore:
Worcester Polytechnic Institute
data di creazione:
2007-05-01
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
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Creatore
Acheampong, Osman K
1
Ampadu, Ebenezer
1
Asumeng-Denteh, Emmanuel
1
Desrosiers, Mary Elizabeth
1
Dutta Bordoloi, Suwodi
1
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Advisor
Lipton, Robert P.
1
Nandram, Balgobin
1
Vermes, Domokos
14
Zhao, Wanli
1
Contributor
Choi, Jai Won
1
Gatsonis, Nikolaos A.
1
Heinricher, Arthur C.
1
Katzoff, Myron
1
Lipton, Robert P.
1
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Unit (Department)
Mathematical Sciences
16
Editore
Worcester Polytechnic Institute
16
Tipo di risorsa
Thesis
9
Report
5
Dissertation
2