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Filtering by: Contributor Capponi, Agostino Creator Pang, Weijie Keyword option pricing

In the Wake of the Financial Crisis - Regulators' and Investors' Perspectives

Keyword:

financial crisis, contagion, systemic risk, backward stochastic differential equations, value adjustments, interbank networks, Eisenbergâ€“Noe clearing vector, option pricing, arbitrage pricing, and sensitivity analysis

Creator:

Pang, Weijie

Advisor:

Sturm, Stephan

Publisher:

Worcester Polytechnic Institute

Date Created:

2019-04-23

Resource Type:

Dissertation

Degree:

PhD

Unit (Department):

Mathematical Sciences