Now showing items 1-20 of 22

    • Asset Return Correlations in Episodes of Systemic Crises 

      Melkuev, David (University of Waterloo, 2014-08-22)
      This thesis explores asset return correlation dynamics in relation to systemic crises. The eigenvalues obtained from principal component analysis performed on the sample return correlation matrix equal the variance explained ...
    • Bounds on Aggregate Assets 

      Jiang, Xiao (University of Waterloo, 2014-01-23)
      Aggregating financial assets together to form a portfolio, commonly referred to as "asset pooling", is a standard practice in the banking and insurance industries. Determining a suitable probability distribution for this ...
    • Calibration and Model Uncertainty of a Two-Factor Mean-Reverting Diffusion Model for Commodity Prices 

      Chuah, Jue Jun (University of Waterloo, 2013-08-28)
      With the development of various derivative instruments and index products, commodities have become a distinct asset class which can offer enhanced diversification benefits to the traditional asset allocation of stocks and ...
    • Convex Stochastic Control and Conjugate Duality in a Problem of Unconstrained Utility Maximization Under a Regime Switching Model 

      Situ, Aaron Xin (University of Waterloo, 2015-05-22)
      In this thesis, we examine a problem of convex stochastic optimal control applied to mathematical finance. The goal is to maximize the expected utility from wealth at close of trade (or terminal wealth) under a regime ...
    • A Copula-based Quantile Risk Measure Approach to Hedging under Regime Switching 

      Hu , Xin (University of Waterloo, 2015-10-16)
      In this thesis, our work builds on the future hedging strategy presented by Barbi and Romagnoli (2014). The authors propose the optimal hedge ratio as the minimizer of a generic quantile risk measure (QRM), which includes ...
    • Data-Driven Models: An Alternative Discrete Hedging Strategy 

      Nian, Ke (University of Waterloo, 2023-08-16)
      Options hedging is a critical problem in financial risk management. The prevailing approach in financial derivative pricing and hedging has been to first assume a parametric model describing the underlying price dynamics. ...
    • An Efficient Quasi-Monte Carlo Simulation for Pricing Asian Options under Heston's Model 

      Yu, Kewei (University of Waterloo, 2015-09-11)
      The market for path-dependent options has been expanded considerably in the financial industry. The approach for pricing the path-dependent options in this thesis is developed by Kolkiewicz (2014) based on a quasi-Monte ...
    • Financial Fraud: A Game of Cat and Mouse 

      Gornall, William (University of Waterloo, 2010-06-11)
      This thesis models rational criminals and regulators with flawed incentives. In it we develop a rational model of crime and regulation that we use to show the SEC's current incentive structure is ineffective at preventing ...
    • Implied Volatility Modelling 

      Zhu, Anyi (University of Waterloo, 2014-01-08)
      We propose extensions on calibrating the volatility surface through multi-factor regression models. The proposed models are back-tested against the historical S&P 500 prices during both the volatile and non-volatile periods ...
    • Inflation derivatives pricing with a forward CPI model 

      Ruest, Eric (University of Waterloo, 2010-05-21)
      The Zero-Coupon Inflation Indexed Swap (ZCIIS) is a derivative contract through which inflation expectations on the Consumer Price Index (CPI) are actively traded in the US. In this thesis we consider different ways to use ...
    • Optimal Execution Strategies: A Computational Finance Approach 

      Liu, Chang (University of Waterloo, 2015-01-27)
      In today's competitive business environment, strategies relating to market forecasting, decision making and risk management have received a lot of attention. The empirical results reveal that the market movement is not ...
    • Optimal Portfolio Rule: When There is Uncertainty in The Parameter Estimates 

      Jin, Hyunjong (University of Waterloo, 2012-04-11)
      The classical mean-variance model, proposed by Harry Markowitz in 1952, has been one of the most powerful tools in the field of portfolio optimization. In this model, parameters are estimated by their sample counterparts. ...
    • Optimal Strategies with Tail Correlation Constraints 

      Ringe, Eduard (University of Waterloo, 2014-05-16)
      Optimal strategies under worst-case scenarios have been studied in Bernard et al. [2013a]. Bernard et al. utilize copulas to construct cost-efficient strategies with a predefined dependence structure in the tail between ...
    • Optimal Trading Strategies for an Asset with Disordered Return 

      Pastor, Kyle (University of Waterloo, 2015-09-18)
      We explore various trading strategies from a mathematical and practical perspective. Using a geometric Brownian motion with a disorder to model asset price bubbles, we apply this model to multiple periods and explore the ...
    • An Optimized Least Squares Monte Carlo Approach to Calculate Credit Exposures for Asian and Barrier Options 

      Sun, Yuwei (University of Waterloo, 2015-09-16)
      Counterparty credit risk management has become an important issue for financial institutions since the Basel III framework was introduced. Expected exposure (EE) is defined as the average (positive) exposure at a future ...
    • Pricing Asian Options by the Method of Moments Matching 

      Chan, Pak Keung (University of Waterloo, 2015-06-16)
      This Master's Thesis explores the method of moments matching for pricing Asian options. In this thesis, the underlying asset is assumed to be non-dividend paying and its price process either follows the standard geometric ...
    • Pricing derivatives using Gram-Charlier Expansions 

      Cheng, Yin-Hei (University of Waterloo, 2013-04-22)
      In this thesis, we provide several applications of Gram-Charlier expansions in derivative pricing. We first give an exposition on how to calculate swaption prices under the the CIR2 model. Then we extend this method to ...
    • Social Networks, Asset Allocation and Portfolio Diversification 

      Wang, Qiutong (University of Waterloo, 2015-02-18)
      In this thesis we consider the problem of choosing financial assets from the equity markets for portfolio construction purposes. We adapt various measures to model the dependence structure among financial assets, taking ...
    • Sovereign Credit Risk Analysis for Selected Asian and European Countries 

      Zhang, Min (University of Waterloo, 2013-05-21)
      We analyze the nature of sovereign credit risk for selected Asian and European countries through a set of sovereign CDS data for an eighty-year period that includes the episode of the 2008-2009 financial crisis. Our ...
    • Static and Dynamic Modelling of Credit Default Risk: Tails, Moments, and Calibration 

      Salmon-Bélisle, Louis-Étienne (University of Waterloo, 2014-08-26)
      Credit risk modelling can take many different approaches. Each method has its strengths and weaknesses and studying a variety of them can help find new ways of performing credit risk analysis. We present here three different ...


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