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Santawisook, Patchara
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Price Impact in the VIX Futures Market and Mean-Field Games in two Order Books
Keyword:
S&P500
,
VIX
,
ETFs
,
Price impact
,
ETNs
, and
VIX futures
Creator:
Santawisook, Patchara
Advisor:
Sturm, Stephan
Publisher:
Worcester Polytechnic Institute
Date Created:
2022-12-07
Resource Type:
Dissertation
Degree:
PhD
Unit (Department):
Mathematical Sciences
Barclays Mobile Reporting Application
Creator:
McMahon, Caitlin Ann
,
Santawisook, Patchara
, and
Mao, Jian
Advisor:
Hofri, Micha
and
Abraham, Jon P.
Publisher:
Worcester Polytechnic Institute
Date Created:
2013-01-03
Resource Type:
Major Qualifying Project
Virtual Learning Project
Keyword:
Academic achievement
,
Computer-assisted instruction
,
Education, Secondary
, and
Interdisciplinary approach in education
Creator:
Santawisook, Patchara
,
Do, Amy
,
Nguyen, Khanh-Nhan P.
, and
Nguyen, Tran
Advisor:
Djamasbi, Soussan
Publisher:
Worcester Polytechnic Institute
Date Created:
2011-10-20
Resource Type:
Interactive Qualifying Project
Implied Volatility and Extracted Risk Neutral Density of VIX Options during the Crisis and Relatively Calm Periods
Keyword:
VIX
,
VIX futures
, and
Implied volatility
Creator:
Santawisook, Patchara
Advisor:
Sturm, Stephan
Publisher:
Worcester Polytechnic Institute
Date Created:
2015-04-30
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
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Do, Amy
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2
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1
Osterrieder, Jörg
1
Papanicolaou, Andrew
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Song, Qingshuo
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Actuarial Mathematics
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