Current Search:  Kercheval, Alec N. (x)

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Variance Gamma Pricing of American Futures Options
On the Multidimensional Default Threshold Model for Credit Risk
Essays on Productivity, Labor Allocations, and Intangible Capital
Risk Forecasting and Portfolio Optimization with GARCH, Skewed t Distributions and Multiple Timescales
Essays on Public Policy and Financial Economics from a Macroeconomics Perspective
Jump Dependence and Multidimensional Default Risk
Modeling High-Frequency Order Book Dynamics with Support Vector Machines
Pricing and Hedging Derivatives with Sharp Profiles Using Tuned High Resolution Finite Difference Schemes
Essays in Human Captial Investment
Essays on Economic Fluctuations in a Vintage Capital Model
Spectral Element Method to Price Single and Multi-Asset European Options
Bayesian Modeling and Variable Selection for Complex Data
Ensemble Methods for Capturing Dynamics of Limit Order Books
Scalable and Structured High Dimensional Covariance Matrix Estimation
Optimal Portfolio Execution under Time-Varying Liquidity Constraints
Quasi-Monte Carlo and Markov Chain Quasi-Monte Carlo Methods in Estimation and Prediction of Time Series Models
Capital Flow Dynamics
Random Walks over Point Processes and Their Application in Finance
Essays on Sovereign Debt and Partial Default
Stock Market Agent-Based Model Using Evolutionary Game Theory and Quantum Mechanical Formalism
Asset Pricing in a Lucas Framework with Boundedly Rational, Heterogeneous Agents
Alternative Models for Stochastic Volatility Corrections for Equity and Interest Rate Derivatives
Calibration of Local Volatility Models and Proper Orthogonal Decomposition Reduced Order Modeling for Stochastic Volatility Models
Γ-Ray Spectroscopic Study of Calcium-48,49 and Scandium-50 Focusing on Low Lying Octupole Vibration Excitations
Asset Pricing Equilibria for Heterogeneous, Limited-Information Agents
Estimating Sensitivities of Exotic Options Using Monte Carlo Methods
Essays in Fiscal Policy
Monte Carlo and Quasi-Monte Carlo Methods in Financial Derivative Pricing
Asset Market Dynamics of Heterogeneous Agent Models with Learning
Radically Elementary Stochastic Summation with Applications to Finance
Asymptotic Behaviour of Convection in Porous Media
Exponential Convergence Fourier Method and Its Application to Option Pricing with Lévy Processes
Statistical Analysis on Object Spaces with Applications
Modeling Credit Risk in the Default Threshold Framework
Financial Assets in a Heterogeneous Agent General Equilibrium Model with Aggregate and Idiosyncratic Risk
GPU Computing in Financial Engineering
Modelling Limit Order Book Dynamics Using Hawkes Processes
Random Sobol' Sensitivity Analysis and Model Robustness
Game-Theoretic Models of Animal Behavior Observed in Some Recent Experiments